Category: Market Action

All eyes are on the BoC policy rate meeting:

The implied odds of a rate cut according to financial markets stand at just over 50 percent, and private-sector economists are almost evenly divided on whether the nation’s central bank will cut its policy rate to a financial crisis low of 0.25 percent.
…
During the press conference that followed Stephen Poloz’s first rate decision as governor, he said that “it is the output gap which guides the pressures on inflation through time.”

In that sense, the Bank of Canada’s January 2015 interest cut was proactive, foreseeing a widening of the output gap absent the addition of monetary stimulus following the collapse in oil prices. The July reduction was of a more reactive nature, responding to a drop in activity that turned out to be larger, and ultimately long-lived, than anticipated.

This month, a blend of both dynamics is at play: sluggish fourth-quarter data suggest that there is more economic slack than the Bank of Canada envisioned in October, while declining inflation expectations and subdued hiring plans imply more weakness on the horizon.
…
Financial stability concerns are nothing new for the central bank, which maintained a tightening bias until October 2013, in part due to worries over household credit growth and elevated indebtedness. But this is the first time in recent memory that economists see threats from multiple angles.

Recently announced macro-prudential measures alleviate some of the concerns, though a rate cut would undoubtedly put downward pressure on borrowing costs, offsetting some of the forces driving borrowing rates higher.
…
The new threat to financial stability stems from the collapse in the Canadian dollar, whose 25 percent plunge over the past two years marks its worst decline for that time period on record.

The Bank of Canada could be “playing with fire” if it chose to lower rates further and “set off a freefall in the exchange rate,” said CIBC’s [chief economist Avery] Shenfeld, citing the potential negative effects on confidence and consumers’ willingness to spend. Since total spending in an economy is equal to total income, if everyone cut back on expenditures at once, Canada would be adding a household deleveraging process to its current terms of trade shock.
…
Scotia’s [Vice President of Economics Derek] Holt warns that the central bank would be stimulating unhealthy growth if it delivers a rate cut Wednesday.

“The effects of a rate cut are more likely to be reflected in interest rate sensitive sectors than the ones affected by the terms of trade shock,” he said. “[A cut] can do more to fuel financial imbalances than help the parts of the economy that are under stress.”

This potential conflict between a central bank’s most basic task–to stabilize the business cycle–and the quest to return inflation to target within a normal time frame, make the bank’s decision worth watching for market participants well beyond the nation’s borders.

Meanwhile, there is speculation that the Fed might not be as aggressive as first thought:

Less than three weeks into the new year, two of Wall Street’s biggest bond dealers are already dialing back the 2016 Treasury yield calls they made at the end of 2015.

JPMorgan Chase & Co. and Deutsche Bank AG reduced forecasts for 10-year yields at the end of last week, wagering the Federal Reserve won’t raise interest rates as many times as policy makers expect. The banks, among the 22 primary dealers that trade with the Fed, say pressures will build amid the depreciation of China’s currency, slowing global economic growth, investor flight from risky assets and a dimming inflation outlook.

Deutsche Bank predicts the 10-year yield will end the year at 1.75 percent, down from the 2.25 percent call it made in December, while JPMorgan says 10-year notes will yield 2.45 percent at year-end, down from a previous forecast of 2.75 percent.

But they’re not making much money on fixed income anyway!

Once Wall Street’s most lucrative business, fixed-income trading revenue declined for the third straight year in 2015. Net income from trading bonds, currencies, commodities and derivatives linked to them has fallen between 18 percent and 25 percent at five top banks since 2012.

Fixed-income has been in a slump with interest rates languishing near zero, oil prices falling and regulations making it tougher to place easy bets on future prices. Morgan Stanley said Tuesday that it doesn’t expect a rebound any time soon.

Which will make life interesting if downgrades pop:

More companies were at risk of having their credit ratings cut at the end of December than at the close of any other year since 2009, according to Standard & Poor’s.

The number of potential downgrades was at 655, compared with 824 reported by the finish of 2009, the rating company said in a report on Tuesday. The year-end total for 2015 was “exceptionally” higher than a yearly average of 613, it said. S&P removed 85 issuers from the list in December and added 56, of which 27 are in the U.S.

Here’s some news for the middle class:

Over five million jobs will be lost by 2020 as a result of developments in genetics, artificial intelligence, robotics and other technological change, according to World Economic Forum research.

About 7 million jobs will be lost and 2 million gained as a result of technological change in 15 major developed and emerging economies, WEF founder Klaus Schwab and managing board member Richard Samans said in “The Future of Jobs.” The findings are taken from a survey of 15 economies covering about 1.9 billion workers, or about 65 percent of the world’s total workforce.
….
To prevent a worst-case scenario — technological change accompanied by talent shortages, mass unemployment and growing inequality — reskilling and upskilling of today’s workers will be critical,” the authors said. “It is simply not possible to weather the current technological revolution by waiting for the next generation’s workforce to become better prepared.”

Administrative and office jobs will account for two-thirds of the losses, with “routine white-collar office functions at risk of being decimated,” and there will be gains in computer, mathematical, architecture and engineering-related fields. Women will be disproportionately hit by the changes because of their low participation in the STEM fields of science, technology, engineering and mathematics.

The full report is obsessed with the gender gap and gives the usual accolades to ‘reskilling and retraining’:

Responses to the Future of Jobs Survey indicate that business leaders are aware of these looming challenges but have been slow to act decisively. Just over two thirds of our respondents believe that future workforce planning and change management features as a reasonably high or very high priority on the agenda of their company’s or organization’s senior leadership, ranging from just over half in the Basic and Infrastructure sector to four out of five respondents in Energy and Healthcare. Across all industries, about two thirds of our respondents also report intentions to invest in the reskilling of current employees as part of their change management and future workforce planning efforts, making it by far the highest-ranked such strategy overall (Figure 13). However, companies that report recognizing future workforce planning as a priority are nearly 50% more likely to plan to invest in reskilling than companies who do not (61% against 39% of respondents).

Well, that might be a good enough survival tactic for individual companies, but I see very little consideration paid to the broader issues. While foretelling the future is something that is notorious for being hilarious even within twenty years, I believe we need to start addressing the topic of what the new world is going to look like.

For one thing, ‘things’ are going to become relatively cheaper and ‘entertainment’ is going to become relatively more expensive – and those are the two basic categories of things that get sold. We may have fewer doctors, as diagnosis becomes increasingly automated, but we will have more nurses, as the population ages and people in general can afford more care.

And this is the basic problem: productivity comes from leverage; you are more productive when you make widgets for ten customers as opposed to merely five. And personal services are very difficult, if not impossible to lever. So I suggest we’re going to end up with a society comprised of the ‘10%’, who have the skills to work on improving the system and the rest, who don’t. How do we address this? I never hear the politicians talking about it; they blithely assume that if we retrain a 55-year-old machine worker to become a programmer, everything will be OK.

Husky Energy, proud issuer of HSE.PR.A, HSE.PR.C, HSE.PR.E and HSE.PR.G, announced after the close today that it:

is taking additional steps to improve its resilience through the extended low commodity price environment.

“We continue to take decisive action in this period of persistent supply-demand imbalance,” said CEO Asim Ghosh. “These actions are in line with the principles we have established, namely, balancing capital spending with cash flow and maintaining a strong balance sheet. Our fundamental goal remains unchanged – the steps we are taking will see Husky emerge from this cycle as a more resilient and more profitable company.”

Updated 2016 Production and Capital Guidance

The capital plan has been revised to a range of $2.1-2.3 billion from a previous range of $2.9-3.1 billion. Savings will be achieved primarily through deferring discretionary activities in Western Canada.

The Company’s overall earnings break-even point is expected to be in the sub-$40s US WTI oil by the end of 2016. Further gains are expected to be achieved through the ongoing reduction of operating and sustaining costs.

Production is now expected to be in the range of 315,000-345,000 barrels of oil equivalent per day (boe/day), compared to the previous guidance of 330,000-360,000 boe/day.

“Within the updated capital plan, the transition into a low sustaining capital business continues unabated. Deferral of capital is in those areas that can be quickly switched on as commodity prices recover,” said Ghosh.

Dividend Update

The Company continues to triangulate its top three business priorities; a strong balance sheet, dividend and transition into a low sustaining capital business. While Husky fully recognizes the importance of the dividend, the balance sheet takes precedence in this environment.

A stock dividend was introduced in the third quarter as an interim measure in lieu of a cash dividend. Given the persistent downward pressure on oil prices and the extended lower for longer outlook, the Board of Directors has suspended the quarterly dividend. No cash or share dividend will be issued for the fourth quarter of 2015.

The Board will continue to review the dividend on a quarterly basis.

I saw some preferred share investors coming home from work tonight:

Those suffering from market-induced shell-shock may have trouble believing this, but it was a superb day for the Canadian preferred share market today, with PerpetualDiscounts gaining 105bp, FixedResets winning 329bp and DeemedRetractibles up 142bp. The Performance Highlights table is extraordinarily lengthy and, for a change, almost everything’s on the good side, with only one loser. Volume was very high.

So it’s clear somebody put a bit of money to work today, but we’ve been fooled on rallies before – in the second half of October and the second half of December. Will we look back on the second half of January as just another in a long series of false rallies? I don’t know – I advise everybody to invest according to the long-term properties of the asset class and leave the market timing to those who can afford the losses.

The overnight news doesn’t look too good!

U.S. index futures tumbled as the selloff in global equities intensified after oil dropped below $28 a barrel to extend a 12-year low.

Contracts on the Standard & Poor’s 500 Index due in March dropped 1.5 percent to 1,844.25 as of 7:21 a.m. in London, while Nasdaq 100 Index futures retreated 1.8 percent. West Texas Intermediate slumped 3.3 percent to $27.52 a barrel, heading for the lowest close since September 2003 and driving stock declines across Asia that sent Japanese shares into a bear market.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 15.85 to be $0.87 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.38 cheap at its bid price of 10.73.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 16.43 to be 1.10 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.10 to be 1.04 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.54 to be $1.41 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 17.23 and appears to be $0.98 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.59, looks $0.52 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.70 and is $0.79 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.35%, with two outliers above +1.00%. There is one junk outlier below -1.00% and one above 1.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.47 %	6.65 %	23,899	15.86	1	0.8130 %	1,421.8
FixedFloater	7.60 %	6.63 %	30,159	15.68	1	3.9069 %	2,615.9
Floater	4.90 %	4.94 %	76,117	15.62	4	0.0000 %	1,559.9
OpRet	0.00 %	0.00 %	0	0.00	0	1.1200 %	2,689.6
SplitShare	4.91 %	7.02 %	68,197	2.74	6	1.1200 %	3,147.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	1.1200 %	2,455.6
Perpetual-Premium	5.99 %	5.99 %	85,950	13.88	6	0.9218 %	2,464.3
Perpetual-Discount	5.94 %	6.00 %	99,035	13.91	33	1.0474 %	2,420.4
FixedReset	5.85 %	5.02 %	242,960	14.79	82	3.2909 %	1,763.0
Deemed-Retractible	5.40 %	5.96 %	134,095	6.94	34	1.4195 %	2,491.2
FloatingReset	2.82 %	4.94 %	64,410	5.61	13	1.7033 %	1,974.3

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.B	Floater	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 9.43 Evaluated at bid price : 9.43 Bid-YTW : 5.06 %
RY.PR.G	Deemed-Retractible	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 5.38 %
FTS.PR.G	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 4.95 %
BNS.PR.Z	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 7.38 %
BAM.PF.H	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.15 Evaluated at bid price : 24.95 Bid-YTW : 4.95 %
POW.PR.C	Perpetual-Premium	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 24.01 Evaluated at bid price : 24.26 Bid-YTW : 6.01 %
RY.PR.B	Deemed-Retractible	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.19 Bid-YTW : 5.51 %
ELF.PR.G	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 20.04 Evaluated at bid price : 20.04 Bid-YTW : 5.97 %
PWF.PR.P	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 4.84 %
BMO.PR.R	FloatingReset	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 4.88 %
GWO.PR.Q	Deemed-Retractible	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.03 Bid-YTW : 7.03 %
POW.PR.G	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.26 Evaluated at bid price : 23.70 Bid-YTW : 5.93 %
IFC.PR.C	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.45 Bid-YTW : 9.86 %
BNS.PR.Y	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.65 %
GWO.PR.F	Deemed-Retractible	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 5.96 %
GWO.PR.R	Deemed-Retractible	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.58 Bid-YTW : 7.63 %
CM.PR.P	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 4.72 %
RY.PR.K	FloatingReset	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 5.27 %
ELF.PR.H	Perpetual-Discount	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 22.14 Evaluated at bid price : 22.40 Bid-YTW : 6.17 %
POW.PR.A	Perpetual-Discount	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.35 Evaluated at bid price : 23.64 Bid-YTW : 5.96 %
FTS.PR.H	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 11.98 Evaluated at bid price : 11.98 Bid-YTW : 4.50 %
VNR.PR.A	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.91 Evaluated at bid price : 15.91 Bid-YTW : 5.49 %
NA.PR.Q	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.56 Bid-YTW : 5.97 %
TD.PF.E	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.94 %
GWO.PR.H	Deemed-Retractible	1.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.77 Bid-YTW : 7.55 %
IGM.PR.B	Perpetual-Premium	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 24.08 Evaluated at bid price : 24.54 Bid-YTW : 6.02 %
RY.PR.I	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.14 Bid-YTW : 5.42 %
BAM.PR.C	Floater	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 9.65 Evaluated at bid price : 9.65 Bid-YTW : 4.94 %
POW.PR.B	Perpetual-Discount	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 22.27 Evaluated at bid price : 22.54 Bid-YTW : 5.97 %
CU.PR.C	FixedReset	2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 4.82 %
SLF.PR.J	FloatingReset	2.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.00 Bid-YTW : 10.96 %
GWO.PR.N	FixedReset	2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.80 Bid-YTW : 11.76 %
GWO.PR.I	Deemed-Retractible	2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.77 Bid-YTW : 7.86 %
BAM.PF.D	Perpetual-Discount	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.46 %
TD.PF.B	FixedReset	2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.57 Evaluated at bid price : 16.57 Bid-YTW : 4.56 %
TD.PF.C	FixedReset	2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.53 Evaluated at bid price : 16.53 Bid-YTW : 4.57 %
GWO.PR.P	Deemed-Retractible	2.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 6.46 %
HSE.PR.E	FixedReset	2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 14.89 Evaluated at bid price : 14.89 Bid-YTW : 7.20 %
BMO.PR.M	FixedReset	2.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 4.45 %
PWF.PR.S	Perpetual-Discount	2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 5.85 %
BAM.PR.Z	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 5.37 %
CCS.PR.C	Deemed-Retractible	2.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 7.74 %
W.PR.J	Perpetual-Discount	2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 22.05 Evaluated at bid price : 22.34 Bid-YTW : 6.31 %
PVS.PR.C	SplitShare	2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 6.12 %
BAM.PR.M	Perpetual-Discount	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 6.42 %
MFC.PR.B	Deemed-Retractible	2.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.84 Bid-YTW : 8.01 %
MFC.PR.C	Deemed-Retractible	2.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.44 Bid-YTW : 8.13 %
MFC.PR.H	FixedReset	2.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.16 Bid-YTW : 8.29 %
BAM.PR.N	Perpetual-Discount	2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.83 Evaluated at bid price : 18.83 Bid-YTW : 6.38 %
RY.PR.Z	FixedReset	2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 4.52 %
W.PR.H	Perpetual-Discount	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 6.26 %
TD.PF.A	FixedReset	2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.53 %
BNS.PR.Q	FixedReset	2.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.29 Bid-YTW : 5.02 %
CU.PR.I	FixedReset	2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.07 Evaluated at bid price : 24.70 Bid-YTW : 4.51 %
BAM.PF.C	Perpetual-Discount	2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 6.43 %
BMO.PR.W	FixedReset	2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.48 Evaluated at bid price : 16.48 Bid-YTW : 4.61 %
HSE.PR.C	FixedReset	2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 7.01 %
SLF.PR.G	FixedReset	2.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.60 Bid-YTW : 11.00 %
SLF.PR.H	FixedReset	2.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.90 Bid-YTW : 10.68 %
RY.PR.H	FixedReset	3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.56 %
BMO.PR.Q	FixedReset	3.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.55 Bid-YTW : 7.44 %
BMO.PR.T	FixedReset	3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 4.63 %
TD.PR.Z	FloatingReset	3.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.66 Bid-YTW : 4.47 %
PWF.PR.T	FixedReset	3.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.17 %
BNS.PR.P	FixedReset	3.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 4.58 %
RY.PR.J	FixedReset	3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 4.84 %
BAM.PR.R	FixedReset	3.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 13.54 Evaluated at bid price : 13.54 Bid-YTW : 5.42 %
BNS.PR.R	FixedReset	3.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 4.94 %
BAM.PR.X	FixedReset	3.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 4.92 %
IAG.PR.A	Deemed-Retractible	3.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.68 Bid-YTW : 7.33 %
PVS.PR.D	SplitShare	3.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 7.11 %
IAG.PR.G	FixedReset	3.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.35 Bid-YTW : 8.59 %
MFC.PR.L	FixedReset	3.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.43 Bid-YTW : 8.96 %
BMO.PR.S	FixedReset	3.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.62 %
SLF.PR.A	Deemed-Retractible	3.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.66 Bid-YTW : 7.51 %
MFC.PR.I	FixedReset	3.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.38 Bid-YTW : 8.67 %
SLF.PR.B	Deemed-Retractible	3.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.74 Bid-YTW : 7.51 %
BAM.PR.G	FixedFloater	3.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 25.00 Evaluated at bid price : 12.50 Bid-YTW : 6.63 %
FTS.PR.K	FixedReset	3.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.59 Evaluated at bid price : 15.59 Bid-YTW : 4.64 %
SLF.PR.C	Deemed-Retractible	3.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.56 Bid-YTW : 7.95 %
MFC.PR.N	FixedReset	3.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.41 Bid-YTW : 9.12 %
SLF.PR.D	Deemed-Retractible	4.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 8.03 %
MFC.PR.J	FixedReset	4.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.88 Bid-YTW : 8.79 %
TD.PF.D	FixedReset	4.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 4.93 %
MFC.PR.G	FixedReset	4.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.10 Bid-YTW : 8.81 %
SLF.PR.I	FixedReset	4.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.95 Bid-YTW : 9.55 %
FTS.PR.M	FixedReset	4.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.81 %
W.PR.K	FixedReset	4.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 22.72 Evaluated at bid price : 23.88 Bid-YTW : 5.50 %
NA.PR.S	FixedReset	4.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.89 %
MFC.PR.M	FixedReset	4.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.75 Bid-YTW : 8.90 %
SLF.PR.E	Deemed-Retractible	4.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.66 Bid-YTW : 7.94 %
MFC.PR.K	FixedReset	4.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.24 Bid-YTW : 8.97 %
BMO.PR.Y	FixedReset	4.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.39 Evaluated at bid price : 18.39 Bid-YTW : 4.70 %
RY.PR.M	FixedReset	4.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.78 %
HSE.PR.G	FixedReset	4.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.03 Evaluated at bid price : 15.03 Bid-YTW : 7.13 %
BNS.PR.B	FloatingReset	5.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 5.04 %
TD.PR.S	FixedReset	5.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 4.33 %
NA.PR.W	FixedReset	5.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.76 Evaluated at bid price : 15.76 Bid-YTW : 4.84 %
TRP.PR.B	FixedReset	5.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 9.89 Evaluated at bid price : 9.89 Bid-YTW : 4.89 %
TD.PR.Y	FixedReset	6.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.02 Bid-YTW : 4.39 %
TRP.PR.A	FixedReset	6.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 5.26 %
BAM.PF.A	FixedReset	6.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.97 Evaluated at bid price : 17.97 Bid-YTW : 5.08 %
BAM.PR.T	FixedReset	6.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 14.42 Evaluated at bid price : 14.42 Bid-YTW : 5.21 %
BAM.PF.B	FixedReset	7.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 4.98 %
TRP.PR.D	FixedReset	7.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.09 Evaluated at bid price : 15.09 Bid-YTW : 5.22 %
TRP.PR.E	FixedReset	7.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.05 %
BAM.PF.G	FixedReset	7.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 5.08 %
TRP.PR.F	FloatingReset	8.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 11.39 Evaluated at bid price : 11.39 Bid-YTW : 4.94 %
BAM.PF.F	FixedReset	8.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.95 %
BAM.PF.E	FixedReset	9.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 4.99 %
TRP.PR.G	FixedReset	10.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.31 %
TRP.PR.C	FixedReset	14.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 10.73 Evaluated at bid price : 10.73 Bid-YTW : 4.93 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	222,335	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.25 Evaluated at bid price : 25.32 Bid-YTW : 5.16 %
TRP.PR.A	FixedReset	137,607	TD crossed 122,500 at 12.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 5.26 %
RY.PR.Q	FixedReset	126,716	RBC crossed 25,000 at 25.28. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.25 Evaluated at bid price : 25.36 Bid-YTW : 5.08 %
BAM.PR.Z	FixedReset	106,495	Scotia crossed 100,000 at 17.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 5.37 %
HSE.PR.C	FixedReset	102,098	RBC crossed 85,000 at 14.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 7.01 %
MFC.PR.I	FixedReset	100,510	Nesbitt crossed blocks of 30,000 and 50,000, both at 17.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.38 Bid-YTW : 8.67 %
There were 59 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.O	FloatingReset	Quote: 11.40 – 14.00 Spot Rate : 2.6000 Average : 1.8433 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.40 Bid-YTW : 11.47 %
PWF.PR.T	FixedReset	Quote: 18.81 – 20.16 Spot Rate : 1.3500 Average : 0.9088 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.17 %
BNS.PR.D	FloatingReset	Quote: 17.52 – 18.61 Spot Rate : 1.0900 Average : 0.7587 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.52 Bid-YTW : 7.53 %
RY.PR.P	Perpetual-Discount	Quote: 23.65 – 24.88 Spot Rate : 1.2300 Average : 0.9068 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.35 Evaluated at bid price : 23.65 Bid-YTW : 5.69 %
SLF.PR.G	FixedReset	Quote: 12.60 – 13.52 Spot Rate : 0.9200 Average : 0.6184 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.60 Bid-YTW : 11.00 %
BAM.PR.Z	FixedReset	Quote: 17.23 – 18.01 Spot Rate : 0.7800 Average : 0.5046 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 5.37 %

Here’s a lesson in counterparty risk management:

The demise of Invexstar Capital Management has also raised eyebrows about the ease with which a group of Italian financiers were able to trade billions of pounds of bonds with virtually no capital to back their positions.

BNP Paribas, Morgan Stanley and Nomura are among the banks to have lost at least £97 million, although the full scale of the losses is still being assessed months after the collapse.

Invexstar was a tiny broker that went under in the market meltdown that followed the spike in German government debt yields last May. The company had been set up in 2014, but, according to several sources with knowledge of its operations, the small outfit based in an office above The Daily Telegraph newspaper was able to trade billions of pounds of government and corporate bonds despite having capital of only a little over £630,000.
…
Based on the losses incurred by the banks, the size of Invexstar’s trading positions at the time of its failure would have been at least £2 billion, or more than 3,000 times the firm’s capital. Thus even a tiny movement in the value of its trading portfolio was enough to wipe out its backers’ money and leave its counterparties with huge shortfalls.

According to other traders, several banks had become suspicious about Invexstar before its failure. Lloyds Banking Group is understood to have cut its links after staff at the lender became concerned that Mr Statti repeatedly cancelled meetings to discuss the firm’s trading exposures.

In particular, suspicions had been raised at the way in which Invexstar had asked its counterparties to extend the settlement times for its trades. The settlement period is the time from when a trader places an order for some bonds to when they must pay for the securities they have agreed to purchase. While a normal settlement period in the fixed income markets is two days, Invexstar had asked for five days to pay for its trades and even as many as ten, according to sources with knowledge of the situation.

All eyes are on the potential for a BoC rate cut:

Trading in overnight index swaps currently implies the probability of a rate cut at about 60 per cent when the Bank of Canada releases its monetary policy report on Wednesday.

Economists calling for the key overnight lending rate to be maintained at 0.50 per cent say additional stimulus could test consumer sentiment. A cut to 0.25 per cent as expected by the market could bring about a “runaway exchange rate,” said Avery Shenfeld, chief economist at CIBC World Markets.
…
Over the past two years, the Canadian dollar has lost a full 25 cents in value – a downward slope unmatched in steepness, [National Bank Financial chief economist] Mr. [Stéfane] Marion said.

Certainly, a great deal of downside is to be expected considering Canada’s current economic circumstances. The precipitous decline of commodity prices has started to ripple through non-resource sectors this year, Canadian economic growth is shrinking as a result, and U.S. dollar strength has also combined to pull the loonie down forcefully.

But the losses should have been more like 10 cents, not 25 cents, Mr. Marion said. “Is the loonie out of whack with its fundamentals? We think so.”

Barclays is gung-ho:

The Bank of Canada will cut its key interest rate to at least zero this year and could move toward negative rates to offset the crude oil price slump, according to Barclays PLC.

The London-based bank expects the Bank of Canada to cut its overnight target rate 25-basis points to 0.25 per cent at its announcement on Wednesday, and a total of at least 50 basis points in 2016, Juan Prada and Andres Jaime Martinez wrote in a research note.

On a related note, S&P has Alberta on Outlook-Negative:

A second credit-rating agency has weighed in on Alberta’s debt, lowering its rating outlook to negative from stable due to the collapse in oil prices and the province’s mounting budget worries.

Moody’s Investors Service said it affirmed Alberta’s credit at triple-A, but it said the future looks riskier as world crude prices hover below $29 (U.S.) a barrel, heaping financial pressure on an energy industry that has been a major contributor to government revenues.

It is a less drastic step than a downgrade, which Standard & Poor’s did last month, lowering Alberta’s rating one notch after years of enjoying the safest category of public debt.

“While Alberta has entered the downturn in oil prices from a strong financial position, including substantial levels of cash and investments, low debt and low debt service levels, the decrease in oil prices could lead to a rapid fiscal deterioration that erodes these key supports to the triple-A rating,” Moody’s vice-president Michael Yake said in a statement.

Drones will change the world, whether we like it or not:

“Given the size, capability and versatility of drones, the risks to national security and individual privacy are high,” said Amber Dubey, head of aerospace and defense at global consultancy KPMG. “Governments should carefully strike a balance between ensuring the safety as well as not curtailing the growth of the drones and the advantages they bring.”

As countries draft new rules to respond to an explosion in sales, and a series of high-profile security concerns last year, regulators are concerned about the difficulty of enforcing regulations. Three months after the U.S. Secret Service recovered a drone on the White House grounds, Kyodo News reported in April that another was found on the roof of the Japanese prime minister’s office.

It’s only a matter of time before a drone is used to deliver a payload of explosive in a terrorist attack. I haven’t thought of a way of stopping a well-planned attack; I’m not sure if anybody has:

In an interview with the Sunday Times, Detective Chief Inspector Colin Smith, a security expert and adviser to the Home Office Centre for Applied Science and Technology, warned that small quadcopter drones could easily be used by terrorists for attacks and propaganda purposes.

Brompton Lifeco Split Corp., proud issuer of LCS and LCS.PR.A, has suspended the Capital Unit distribution:

In accordance with its articles of incorporation and the Class A Share Provisions, the regular, non-cumulative, monthly distribution for the month of January will not be paid on the class A shares of Brompton Lifeco Split Corp. The net asset value per unit as at January 14, 2016 was $14.34. Under the articles of incorporation, no cash distribution may be paid on the class A shares, if after payment of the distribution by the Fund, the net asset value per unit (consisting of one class A share and one preferred share) would be less than $15.00. The Fund will re-evaluate the payment of class A share distributions in each subsequent month with the expectation that normal monthly distributions will resume and a press release will be issued if the net asset value per unit meets this requirement.

In accordance with the Preferred Share Provisions, regular quarterly preferred share dividends will continue to be paid.

There’s a rumour that Bay Street is covered with these signs:

It was a poor day for the Canadian preferred share market, all because of FixedResets: PerpetualDiscounts gained 4bp, FixedResets lost 125bp and DeemedRetractibles were off 1bp. The Performance Highlights table is its usual horrid self, but there were quite a few winners today, rebounding from last week. Volume was well above average; a bit of a surprise, given that the US was closed for MLK day.

DC.PR.C fell back to ‘retail levels’ today on volume of 7,510, closing at 16.05-39, 21×1.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 14.75 to be $0.99 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.88 cheap at its bid price of 9.40.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 15.86 to be 1.08 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.41 to be 1.18 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.09 to be $0.98 cheap. BAM.PR.X, resetting at +180bp on 2017-6-30 is bid at 12.56 and appears to be $0.94 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.00, looks $0.36 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.55 and is $0.46 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of +0.11%, with one outlier above +1.00%. There is one junk outlier below -1.00% and two above 1.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.51 %	6.71 %	24,280	15.80	1	-2.3810 %	1,410.3
FixedFloater	7.90 %	6.88 %	28,947	15.38	1	-2.2746 %	2,517.6
Floater	4.90 %	4.97 %	76,939	15.56	4	-3.8624 %	1,559.9
OpRet	0.00 %	0.00 %	0	0.00	0	-1.1647 %	2,659.8
SplitShare	4.97 %	7.23 %	68,566	2.74	6	-1.1647 %	3,112.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-1.1647 %	2,428.4
Perpetual-Premium	6.04 %	6.07 %	84,459	13.83	6	0.0413 %	2,441.8
Perpetual-Discount	6.02 %	6.05 %	99,515	13.83	34	0.0420 %	2,395.3
FixedReset	6.04 %	5.42 %	239,689	14.16	82	-1.2484 %	1,706.9
Deemed-Retractible	5.48 %	5.96 %	133,686	6.92	34	-0.0118 %	2,456.4
FloatingReset	2.86 %	5.34 %	65,486	5.60	13	-0.6495 %	1,941.2

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.A	Floater	-10.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.79 %
MFC.PR.G	FixedReset	-4.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.41 Bid-YTW : 9.39 %
TRP.PR.A	FixedReset	-4.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 5.60 %
SLF.PR.G	FixedReset	-4.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.25 Bid-YTW : 11.38 %
MFC.PR.M	FixedReset	-4.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.01 Bid-YTW : 9.55 %
TD.PR.S	FixedReset	-3.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 5.24 %
HSE.PR.C	FixedReset	-3.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 13.71 Evaluated at bid price : 13.71 Bid-YTW : 7.21 %
HSE.PR.G	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 14.32 Evaluated at bid price : 14.32 Bid-YTW : 7.50 %
MFC.PR.H	FixedReset	-3.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.65 %
GWO.PR.N	FixedReset	-3.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.55 Bid-YTW : 12.05 %
VNR.PR.A	FixedReset	-3.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 5.58 %
HSE.PR.E	FixedReset	-3.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 7.37 %
TD.PF.E	FixedReset	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.02 %
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 : 16.74 Bid-YTW : 9.20 %
HSE.PR.A	FixedReset	-3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 8.85 Evaluated at bid price : 8.85 Bid-YTW : 6.55 %
SLF.PR.I	FixedReset	-3.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.30 Bid-YTW : 10.14 %
BNS.PR.B	FloatingReset	-3.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.01 Bid-YTW : 5.92 %
ENB.PR.A	Perpetual-Discount	-3.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 6.83 %
IAG.PR.G	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.76 Bid-YTW : 9.07 %
TRP.PR.G	FixedReset	-2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 5.89 %
TD.PF.D	FixedReset	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 5.13 %
FTS.PR.M	FixedReset	-2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 5.03 %
MFC.PR.J	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.21 Bid-YTW : 9.36 %
PVS.PR.C	SplitShare	-2.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 7.52 %
BAM.PR.E	Ratchet	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 25.00 Evaluated at bid price : 12.30 Bid-YTW : 6.71 %
TRP.PR.H	FloatingReset	-2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 8.79 Evaluated at bid price : 8.79 Bid-YTW : 4.56 %
BAM.PR.G	FixedFloater	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 25.00 Evaluated at bid price : 12.03 Bid-YTW : 6.88 %
IFC.PR.A	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.90 Bid-YTW : 11.72 %
TD.PR.Y	FixedReset	-2.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 5.53 %
BAM.PR.K	Floater	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 9.58 Evaluated at bid price : 9.58 Bid-YTW : 4.97 %
PWF.PR.P	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 11.12 Evaluated at bid price : 11.12 Bid-YTW : 4.89 %
MFC.PR.L	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.86 Bid-YTW : 9.46 %
BMO.PR.S	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.80 %
RY.PR.I	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.73 Bid-YTW : 5.77 %
CU.PR.C	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.68 Evaluated at bid price : 15.68 Bid-YTW : 4.92 %
FTS.PR.K	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.83 %
TRP.PR.F	FloatingReset	-1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.54 Evaluated at bid price : 10.54 Bid-YTW : 5.34 %
RY.PR.B	Deemed-Retractible	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.93 Bid-YTW : 5.72 %
PVS.PR.B	SplitShare	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 7.23 %
MFC.PR.F	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.91 Bid-YTW : 11.68 %
TRP.PR.D	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 5.62 %
BAM.PF.E	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.76 Evaluated at bid price : 15.76 Bid-YTW : 5.49 %
NA.PR.S	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 5.12 %
FTS.PR.F	Perpetual-Discount	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.97 %
BNS.PR.P	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 5.17 %
ELF.PR.G	Perpetual-Discount	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 6.04 %
BNS.PR.D	FloatingReset	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 7.55 %
FTS.PR.H	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 4.57 %
TRP.PR.E	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 5.45 %
CIU.PR.C	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.34 Evaluated at bid price : 10.34 Bid-YTW : 4.79 %
PVS.PR.D	SplitShare	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 7.83 %
BMO.PR.R	FloatingReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.99 Bid-YTW : 5.10 %
CM.PR.Q	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.97 %
IGM.PR.B	Perpetual-Premium	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.67 Evaluated at bid price : 24.10 Bid-YTW : 6.13 %
PWF.PR.T	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 18.23 Evaluated at bid price : 18.23 Bid-YTW : 4.31 %
BMO.PR.Q	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.99 Bid-YTW : 8.01 %
BNS.PR.N	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.66 Bid-YTW : 5.52 %
MFC.PR.C	Deemed-Retractible	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 8.50 %
BNS.PR.C	FloatingReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.76 Bid-YTW : 5.45 %
SLF.PR.J	FloatingReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.75 Bid-YTW : 11.24 %
BMO.PR.Z	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.88 Evaluated at bid price : 22.22 Bid-YTW : 5.70 %
RY.PR.G	Deemed-Retractible	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.57 %
BMO.PR.Y	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.93 %
BIP.PR.A	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 6.36 %
GWO.PR.I	Deemed-Retractible	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.35 Bid-YTW : 8.16 %
TRP.PR.C	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 5.63 %
MFC.PR.N	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.78 Bid-YTW : 9.68 %
MFC.PR.B	Deemed-Retractible	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.34 Bid-YTW : 8.38 %
ELF.PR.H	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.79 Evaluated at bid price : 22.08 Bid-YTW : 6.26 %
SLF.PR.H	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.51 Bid-YTW : 11.08 %
IAG.PR.A	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.98 Bid-YTW : 7.82 %
FTS.PR.J	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 6.01 %
BNS.PR.R	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.96 Bid-YTW : 5.58 %
PVS.PR.E	SplitShare	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 7.18 %
CM.PR.P	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.83 Evaluated at bid price : 15.83 Bid-YTW : 4.79 %
BNS.PR.Z	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.31 Bid-YTW : 7.57 %
BAM.PR.T	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 5.57 %
GWO.PR.S	Deemed-Retractible	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.92 Bid-YTW : 6.56 %
W.PR.J	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 6.46 %
POW.PR.A	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 6.04 %
POW.PR.C	Perpetual-Premium	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 6.08 %
SLF.PR.E	Deemed-Retractible	1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.78 Bid-YTW : 8.60 %
GWO.PR.H	Deemed-Retractible	1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 7.80 %
RY.PR.L	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 4.68 %
TD.PF.A	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.28 Evaluated at bid price : 16.28 Bid-YTW : 4.66 %
SLF.PR.A	Deemed-Retractible	1.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.92 Bid-YTW : 8.04 %
RY.PR.E	Deemed-Retractible	1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.89 Bid-YTW : 5.54 %
BAM.PF.A	FixedReset	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 5.42 %
TD.PR.T	FloatingReset	1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.04 Bid-YTW : 4.90 %
POW.PR.B	Perpetual-Discount	2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.84 Evaluated at bid price : 22.08 Bid-YTW : 6.09 %
W.PR.H	Perpetual-Discount	3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.26 Evaluated at bid price : 21.53 Bid-YTW : 6.43 %
FTS.PR.I	FloatingReset	4.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.60 Evaluated at bid price : 10.60 Bid-YTW : 4.20 %
PWF.PR.L	Perpetual-Discount	5.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.17 Evaluated at bid price : 21.17 Bid-YTW : 6.05 %
RY.PR.A	Deemed-Retractible	8.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.87 Bid-YTW : 5.50 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.E	FixedReset	260,218	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.20 Evaluated at bid price : 25.18 Bid-YTW : 5.11 %
BMO.PR.S	FixedReset	166,227	RBC crossed 161,400 at 16.47. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.80 %
TD.PF.G	FixedReset	151,572	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.23 Evaluated at bid price : 25.26 Bid-YTW : 5.17 %
BMO.PR.K	Deemed-Retractible	144,371	Nesbitt crossed 125,000 at 24.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 5.63 %
RY.PR.Q	FixedReset	127,975	RBC bought 12,000 from anonymous at 25.20, and crossed 20,000 at 25.23. Desjardins crossed 50,000 at 25.23. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.21 Evaluated at bid price : 25.21 Bid-YTW : 5.12 %
BNS.PR.A	FloatingReset	104,100	TD crossed blocks of 48,300 and 50,000, both at 22.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.99 Bid-YTW : 4.58 %
IGM.PR.B	Perpetual-Premium	101,750	RBC crossed 100,000 at 24.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.67 Evaluated at bid price : 24.10 Bid-YTW : 6.13 %
There were 41 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.O	FloatingReset	Quote: 11.40 – 13.00 Spot Rate : 1.6000 Average : 1.0136 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.40 Bid-YTW : 11.47 %
PWF.PR.A	Floater	Quote: 10.00 – 11.00 Spot Rate : 1.0000 Average : 0.6902 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.79 %
BNS.PR.B	FloatingReset	Quote: 20.01 – 20.63 Spot Rate : 0.6200 Average : 0.3975 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.01 Bid-YTW : 5.92 %
MFC.PR.M	FixedReset	Quote: 16.01 – 16.60 Spot Rate : 0.5900 Average : 0.3849 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.01 Bid-YTW : 9.55 %
PVS.PR.C	SplitShare	Quote: 24.00 – 24.50 Spot Rate : 0.5000 Average : 0.3202 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 7.52 %
TRP.PR.F	FloatingReset	Quote: 10.54 – 11.26 Spot Rate : 0.7200 Average : 0.5451 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.54 Evaluated at bid price : 10.54 Bid-YTW : 5.34 %

Holy Smokes, that was a day and a half!

Stocks tumbled around the world, with U.S. equities sinking to their lowest levels since August, and bonds and gold jumped as oil’s plunge below $30 sent markets reeling. Treasuries extended gains as economic data and earnings added to concern that global growth is faltering.

The Dow Jones Industrial Average sank 391 points, European stocks fell into a bear market and the Shanghai Composite Index wiped out gains from an unprecedented state-rescue campaign as global equities added to the worst start to a year on record. Oil touched $29.28 a barrel before closing at a 12-year low. A measure of default risk for junk-rated U.S. companies surged to the highest in three years. Yields on 10-year Treasury notes dipped under 2 percent as doubts grow that the Federal Reserve will raise interest rates. Gold surged the most in six weeks.
…
Figures on retail sales and manufacturing Friday showed the U.S. economy ended the year on a weak note, and the start of 2016 wasn’t any better. Energy firms are laying off workers and currency markets from commodity-producing countries are in turmoil. The slump is also denting the outlook for inflation, causing traders to curb bets on how far the Fed will raise rates this year.
…
The Standard & Poor’s 500 Index plunged 2.2 percent at 4 p.m. in New York. The index fell as much as 3.3 percent before paring the slide in afternoon trading. It still capped a third weekly retreat and closed at the lowest level since Aug. 25, the day that marked the bottom of the summer selloff. U.S. equities markets are closed Monday for a federal holiday.

The gauge has lost 12 percent from its May record, leaving it well short of sliding into a bear market. It capped a third weekly decline, the longest slide since July. The Dow tumbled 2.463 points as none of its 30 members advanced, while small caps added to a bear market.
…
West Texas Intermediate crude fell as much as 6.2 percent, before settling 5.7 percent lower at $29.42 a barrel. Brent fell 5.9 percent to $29.05 a barrel. The discount on global benchmark Brent reached a five-year high as Iran moved closer to restoring exports.
…
The Bloomberg Commodity Index, which measures returns on 22 raw materials, dropped 1.4 percent to the lowest level in data going back to 1991.

Given all that, effects on Canada followed:

The country’s benchmark Standard & Poor’s/TSX Composite Index fell 2.1 percent to 12,073.46 at 4 p.m. in Toronto, undoing Thursday’s rally and resuming a sell-off that’s pulled Canada into a bear market. Stocks plunged 7.2 percent this year and are down about 23 percent from a September 2014 record. The Canadian dollar slumped to a new 13-year low and yields on five-year government bonds fell to a record low of 0.511 percent on Wednesday as speculation builds the Bank of Canada will cut interest rates next week.

Canada’s economy, heavily weighed toward resource industries such as oil and mining, has been rocked by concerns about the slowdown in China that has pushed the price of West Texas Intermediate crude below $30 for the first time since 2003. Prices for Canada’s heavy crude, which trades at a discount to the U.S. benchmark, have sunk to around $15 a barrel.

And TransAlta common got thumped:

TransAlta Corp. slumped after the Alberta electricity generator cut its dividend in preparation for a phase-out of coal power in the province.

The shares fell 9.8 per cent to $3.94 at 11:40 a.m. in Toronto. It initially dropped 14 per cent, the most on an intraday basis since 2008, to a record low.

The quarterly dividend was cut to 4 cents a share from 18 cents, the company said in a release Thursday. Calgary– based TransAlta doesn’t expect to raise equity this year as the reduced dividend will “strengthen its balance sheet.”
…
TransAlta, which has more than 70 power plants in Canada, the U.S. and Australia, said it will negotiate with the government of Alberta to “ensure the company has the certainty and capacity” to invest in clean power.
…
The falling Canadian dollar is making it more expensive to build new wind and gas-powered generators, [TransAlta CEO Dawn] Farrell said. The cost to build new projects with those technologies is more than double the current market price for power of about C$30 a megawatt hour, she said.

Well, hey, maybe the Alberta government will get some advice from Ontario, and buy that Green Power for $90/MWH!

So the SEC is now awarding prizes to short-sale analysts!

The Securities and Exchange Commission today announced a whistleblower award of more than $700,000 to a company outsider who conducted a detailed analysis that led to a successful SEC enforcement action.

“The voluntary submission of high-quality analysis by industry experts can be every bit as valuable as first-hand knowledge of wrongdoing by company insiders,” said Andrew Ceresney, Director of the SEC’s Enforcement Division. “We will continue to leverage all forms of information and analysis we receive from whistleblowers to help better detect and prosecute federal securities law violations.”

No mission creep there, nope, not a bit of it.

On such a day, it is pleasant to think about drones, instead:

In October, a Kentucky judge dismissed criminal charges against a man who had shot down a drone flying over his property. Now the drone’s owner has brought a federal civil suit against the shooter, William Merideth, arguing that the Federal Aviation Administration is in charge of all airspace and that it allows drones to fly over private property.

All this amounts to a legal mess. The law, both state and federal, is still pretty unclear about where you can fly a drone, and what you as a citizen may do if a drone — probably with a camera on board — is hovering above your home.

What’s needed is a comprehensive legal regime that integrates state and federal jurisdictions. I want to propose the outlines of such a legal model, distinguishing what should belong to the feds and what should be within the realm of the states.
…
These features give reason for states to outlaw the use of drones to observe and record people on private property without their consent. Federal control over airways shouldn’t be interpreted to displace state law regulating drones. The federal interest is in flying from place to place, not hovering to get a better view.

Protecting privacy at the state level will allow drones to fly freely without sacrificing the individual’s legitimate interest in being left alone.
…
The slogan for drone regulation should be: Feds to let them fly, states to protect what they see. The balance should let us a benefit from a new technology without sacrificing ourselves to it.

But we can reflect that comparing costs for university education is much like comparing costs for investment advice:

So since 2011, the federal government has required all schools to provide something called a net price calculator on their websites. You put in some financial data, and the calculator estimates what your actual cost would be, after any scholarships. If you aren’t among the very affluent and are applying to a private college, that net price can be tens of thousands of dollars below the list price.

Not long after the calculator became standard, a service called College Abacus emerged, allowing families to compare multiple schools at once. That spared them the laborious task of plugging the same data into multiple calculators many times over.

And how did many colleges respond? By blocking College Abacus’s access to their calculators. Imagine if Expedia or Kayak could not search for tickets on some of the most desirable airlines, and you get the idea.
…
So what’s really going on here? One strong hint comes from a letter that [College Abacus co-founder] Ms. [Abigail] Seldin received from a dean of financial aid. He wrote to her after she sent a mass note last year urging the schools that were blocking her tool to reconsider. She declined to identify him, as she still hopes to win him and others over.

“We are experiencing record student demand, engage families early in financial aid discussions and are meeting our goals,” the dean told her. “Why you think I should open myself up to a purely financial comparison when we are so much more than that, I have no idea. It is probably because you have not sat where I sit. So, kindly cease communication with me.”

However, it seems to me that the preferred share market is signalling something …

It’s ridiculous. Right now the TXPR Total Return Index Value is down about 15.2% month-to-date. Assuming that this holds through to month-end and is reflected in the BMO CM-50 index, then we can conclude that this is the worst month on record: the worst is current November, 2008, at -10.7%, and October, 2008, at -8.2%. So the violence of this drop compared to the worst part of the Credit Crunch, when there were actual Bad Things happening, should give us pause.

We may also observe that such a return would imply that the Canadian preferred share market has experienced a cumulative total return of a big fat zero since July 31, 2009; a time-span of 78 months, which is 6.5 years.

And this assumption allows us to prepare the following graph:

So … assuming there’s no recovery in the second half of the month, we’re due to record the worst 12 months in Canadian preferred market history (well … back to 1993, anyway!) and has a six-and-a-half year cumulative total return that is only a little better than the worst on record. Nice.

Update
While pondering methods of making my Assiduous Readers feel even more terrible, it occurred to me that it’s actually worse than described above. In preparing the chart above, I simply picked the most recent time that the index moved through the estimated January value, but it also broke through this barrier in November, 2005. We may observe that the index’s total cumulative return from November 30, 2005, to [estimated] January month-end, 2016, is very slightly negative (-0.27%), so holding the index for the past 10 years and two months hasn’t made you any money. The previous low for the rolling cumulative 122-month return was reached (perhaps not surprisingly) in November, 2008, when it bottomed out at +7.78%. And this is worse.

It was an appalling day for the Canadian preferred share market, with PerpetualDiscounts down 211bp, FixedResets losing 277bp and DeemedRetractibles off 156bp. I will not discuss the Performance Highlights table. I will not! Volume was incredibly high.

It was yet another big day for DC.PR.C, with 122,599 shares changing hands at a VWAP of 16.92. It would seem that views are being taken! I suspect that current market conditions are making it less likely for the the abusive and debatable Plan of Arrangement to succeed … investors are attempting to cash out, not in!

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 15.00 to be $0.90 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.92 cheap at its bid price of 9.51.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 16.21 to be 0.98 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.25 to be 0.79 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.06 to be $0.91 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.05 and appears to be $0.85 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.30, looks $0.41 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.60 and is $0.69 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.17%, with two outliers below -1.00%. There is one junk outlier below -1.00% and one above 1.00%. Note that today I have shifted the vertical axis of the chart.

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	5.38 %	6.55 %	25,315	16.00	1	-3.1514 %	1,444.7
FixedFloater	7.72 %	6.73 %	29,483	15.57	1	-2.0684 %	2,576.2
Floater	4.71 %	4.86 %	77,910	15.77	4	-1.9785 %	1,622.6
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1949 %	2,691.1
SplitShare	4.91 %	6.50 %	69,578	2.75	6	-0.1949 %	3,149.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1949 %	2,457.1
Perpetual-Premium	6.05 %	6.03 %	85,337	13.86	6	-1.4112 %	2,440.8
Perpetual-Discount	6.03 %	6.06 %	99,102	13.81	34	-2.1090 %	2,394.3
FixedReset	5.96 %	5.41 %	240,878	14.12	82	-2.7720 %	1,728.4
Deemed-Retractible	5.48 %	6.12 %	131,708	6.94	34	-1.5601 %	2,456.7
FloatingReset	3.02 %	5.38 %	65,189	5.58	13	-2.2401 %	1,953.9

Performance Highlights
Issue	Index	Change	Notes
RY.PR.A	Deemed-Retractible	-10.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 7.05 %
FTS.PR.I	FloatingReset	-10.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 10.17 Evaluated at bid price : 10.17 Bid-YTW : 4.67 %
SLF.PR.H	FixedReset	-6.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.66 Bid-YTW : 11.03 %
TRP.PR.F	FloatingReset	-6.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 5.51 %
MFC.PR.K	FixedReset	-6.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.70 %
HSE.PR.G	FixedReset	-6.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 7.30 %
HSE.PR.A	FixedReset	-6.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.15 Evaluated at bid price : 9.15 Bid-YTW : 6.58 %
MFC.PR.N	FixedReset	-6.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.96 Bid-YTW : 9.56 %
BAM.PF.A	FixedReset	-5.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 5.64 %
MFC.PR.F	FixedReset	-5.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.14 Bid-YTW : 11.54 %
PWF.PR.L	Perpetual-Discount	-5.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 6.36 %
W.PR.H	Perpetual-Discount	-5.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 6.69 %
BAM.PF.G	FixedReset	-5.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 5.64 %
TRP.PR.D	FixedReset	-5.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 14.31 Evaluated at bid price : 14.31 Bid-YTW : 5.64 %
TRP.PR.E	FixedReset	-5.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 5.47 %
MFC.PR.I	FixedReset	-5.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.32 Bid-YTW : 8.80 %
MFC.PR.J	FixedReset	-4.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.63 Bid-YTW : 9.07 %
SLF.PR.I	FixedReset	-4.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.80 Bid-YTW : 9.78 %
RY.PR.E	Deemed-Retractible	-4.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.44 Bid-YTW : 5.90 %
MFC.PR.H	FixedReset	-4.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 8.18 %
BAM.PR.T	FixedReset	-4.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 13.36 Evaluated at bid price : 13.36 Bid-YTW : 5.79 %
BAM.PF.F	FixedReset	-4.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.53 %
BNS.PR.Q	FixedReset	-4.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 5.70 %
RY.PR.J	FixedReset	-4.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 5.11 %
RY.PR.M	FixedReset	-4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 5.10 %
BAM.PF.C	Perpetual-Discount	-4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.48 Evaluated at bid price : 18.48 Bid-YTW : 6.64 %
NA.PR.W	FixedReset	-4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.02 Evaluated at bid price : 15.02 Bid-YTW : 5.21 %
TD.PF.A	FixedReset	-4.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.86 %
BAM.PF.B	FixedReset	-4.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.52 %
MFC.PR.G	FixedReset	-4.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.77 %
TRP.PR.B	FixedReset	-4.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.35 Evaluated at bid price : 9.35 Bid-YTW : 5.36 %
IFC.PR.C	FixedReset	-4.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.25 Bid-YTW : 10.14 %
BMO.PR.Y	FixedReset	-4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.76 Evaluated at bid price : 17.76 Bid-YTW : 4.96 %
PWF.PR.P	FixedReset	-4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 11.37 Evaluated at bid price : 11.37 Bid-YTW : 4.98 %
IFC.PR.A	FixedReset	-4.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.20 Bid-YTW : 11.47 %
TRP.PR.G	FixedReset	-3.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.82 %
POW.PR.B	Perpetual-Discount	-3.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 6.28 %
BAM.PF.D	Perpetual-Discount	-3.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 6.60 %
HSE.PR.E	FixedReset	-3.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 7.20 %
NA.PR.Q	FixedReset	-3.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.31 Bid-YTW : 6.25 %
BAM.PR.M	Perpetual-Discount	-3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.53 %
FTS.PR.G	FixedReset	-3.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 5.12 %
BIP.PR.A	FixedReset	-3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 6.38 %
TD.PF.D	FixedReset	-3.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 5.09 %
TD.PR.T	FloatingReset	-3.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.63 Bid-YTW : 5.38 %
SLF.PR.E	Deemed-Retractible	-3.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 8.81 %
TRP.PR.A	FixedReset	-3.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 12.55 Evaluated at bid price : 12.55 Bid-YTW : 5.49 %
BNS.PR.R	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 5.41 %
BAM.PR.N	Perpetual-Discount	-3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 6.52 %
MFC.PR.M	FixedReset	-3.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.69 Bid-YTW : 9.00 %
BMO.PR.M	FixedReset	-3.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.26 Bid-YTW : 5.03 %
W.PR.J	Perpetual-Discount	-3.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.25 Evaluated at bid price : 21.52 Bid-YTW : 6.54 %
FTS.PR.K	FixedReset	-3.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 4.85 %
TRP.PR.C	FixedReset	-3.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.51 Evaluated at bid price : 9.51 Bid-YTW : 5.80 %
BAM.PR.E	Ratchet	-3.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 25.00 Evaluated at bid price : 12.60 Bid-YTW : 6.55 %
MFC.PR.L	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.21 Bid-YTW : 9.20 %
ENB.PR.A	Perpetual-Discount	-2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 6.61 %
SLF.PR.A	Deemed-Retractible	-2.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.56 Bid-YTW : 8.30 %
BAM.PF.E	FixedReset	-2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.49 %
GWO.PR.H	Deemed-Retractible	-2.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.09 Bid-YTW : 8.02 %
RY.PR.P	Perpetual-Discount	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.49 Evaluated at bid price : 23.80 Bid-YTW : 5.65 %
BAM.PR.B	Floater	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.59 Evaluated at bid price : 9.59 Bid-YTW : 4.97 %
HSE.PR.C	FixedReset	-2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 14.27 Evaluated at bid price : 14.27 Bid-YTW : 7.04 %
POW.PR.C	Perpetual-Premium	-2.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.40 Evaluated at bid price : 23.69 Bid-YTW : 6.15 %
BAM.PR.Z	FixedReset	-2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.65 %
RY.PR.W	Perpetual-Discount	-2.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 5.63 %
POW.PR.A	Perpetual-Discount	-2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.12 %
TD.PR.Y	FixedReset	-2.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.14 %
VNR.PR.A	FixedReset	-2.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 5.50 %
ELF.PR.F	Perpetual-Discount	-2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 6.18 %
SLF.PR.G	FixedReset	-2.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.80 Bid-YTW : 10.83 %
BAM.PR.C	Floater	-2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.54 Evaluated at bid price : 9.54 Bid-YTW : 4.99 %
BNS.PR.B	FloatingReset	-2.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 5.47 %
PWF.PR.T	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.34 %
SLF.PR.J	FloatingReset	-2.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.90 Bid-YTW : 11.25 %
BAM.PR.R	FixedReset	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 13.06 Evaluated at bid price : 13.06 Bid-YTW : 5.79 %
BNS.PR.P	FixedReset	-2.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.48 Bid-YTW : 4.90 %
RY.PR.C	Deemed-Retractible	-2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 5.43 %
IAG.PR.G	FixedReset	-2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.75 %
ELF.PR.H	Perpetual-Discount	-2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.97 Evaluated at bid price : 22.33 Bid-YTW : 6.18 %
RY.PR.L	FixedReset	-2.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 5.05 %
GWO.PR.N	FixedReset	-2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.00 Bid-YTW : 11.56 %
TD.PF.E	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 4.93 %
RY.PR.F	Deemed-Retractible	-2.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 5.35 %
PWF.PR.E	Perpetual-Discount	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 22.54 Evaluated at bid price : 22.79 Bid-YTW : 6.05 %
RY.PR.D	Deemed-Retractible	-2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.14 Bid-YTW : 5.33 %
CU.PR.F	Perpetual-Discount	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.10 %
SLF.PR.C	Deemed-Retractible	-2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.76 Bid-YTW : 8.54 %
BAM.PR.G	FixedFloater	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 25.00 Evaluated at bid price : 12.31 Bid-YTW : 6.73 %
BAM.PF.H	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 22.97 Evaluated at bid price : 24.45 Bid-YTW : 5.07 %
RY.PR.G	Deemed-Retractible	-1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 5.32 %
CU.PR.D	Perpetual-Discount	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 6.17 %
BNS.PR.M	Deemed-Retractible	-1.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 5.43 %
TD.PR.Z	FloatingReset	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 5.32 %
NA.PR.S	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.78 Evaluated at bid price : 15.78 Bid-YTW : 5.14 %
TD.PF.B	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 4.77 %
PWF.PR.F	Perpetual-Discount	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 6.06 %
RY.PR.H	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.42 Evaluated at bid price : 16.42 Bid-YTW : 4.81 %
GWO.PR.S	Deemed-Retractible	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 6.72 %
SLF.PR.D	Deemed-Retractible	-1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.71 Bid-YTW : 8.58 %
PWF.PR.A	Floater	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 4.27 %
ELF.PR.G	Perpetual-Discount	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 5.93 %
BNS.PR.D	FloatingReset	-1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.80 Bid-YTW : 7.37 %
BMO.PR.Q	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.83 %
RY.PR.K	FloatingReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.99 Bid-YTW : 5.54 %
BMO.PR.Z	Perpetual-Discount	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 22.15 Evaluated at bid price : 22.50 Bid-YTW : 5.63 %
RY.PR.B	Deemed-Retractible	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.33 %
BNS.PR.Y	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.86 Bid-YTW : 6.80 %
BMO.PR.R	FloatingReset	-1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.31 Bid-YTW : 4.95 %
CM.PR.Q	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 4.99 %
IGM.PR.B	Perpetual-Premium	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 24.00 Evaluated at bid price : 24.46 Bid-YTW : 6.03 %
BNS.PR.L	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.35 %
TD.PF.F	Perpetual-Discount	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.68 Evaluated at bid price : 21.96 Bid-YTW : 5.58 %
CU.PR.E	Perpetual-Discount	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 6.13 %
PWF.PR.I	Perpetual-Premium	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 24.44 Evaluated at bid price : 24.68 Bid-YTW : 6.09 %
POW.PR.D	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.07 %
SLF.PR.B	Deemed-Retractible	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 8.03 %
FTS.PR.H	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 4.63 %
GWO.PR.Q	Deemed-Retractible	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 7.21 %
RY.PR.N	Perpetual-Discount	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.75 Evaluated at bid price : 22.05 Bid-YTW : 5.63 %
BAM.PR.X	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 5.29 %
PWF.PR.H	Perpetual-Premium	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.52 Evaluated at bid price : 23.79 Bid-YTW : 6.06 %
FTS.PR.J	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 5.94 %
BMO.PR.K	Deemed-Retractible	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 5.42 %
CU.PR.G	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 6.11 %
RY.PR.Q	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.19 Evaluated at bid price : 25.15 Bid-YTW : 5.19 %
MFC.PR.B	Deemed-Retractible	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.56 Bid-YTW : 8.21 %
PWF.PR.G	Perpetual-Premium	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 24.25 Evaluated at bid price : 24.55 Bid-YTW : 6.02 %
CM.PR.P	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.84 %
CU.PR.C	FixedReset	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.95 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	499,908	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.24 Evaluated at bid price : 25.29 Bid-YTW : 5.22 %
BAM.PR.K	Floater	352,668	TD crossed 300,000 at 10.00, then bought 11,100 from Goldman Sachs at 9.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 4.86 %
RY.PR.Q	FixedReset	327,782	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.19 Evaluated at bid price : 25.15 Bid-YTW : 5.19 %
BNS.PR.R	FixedReset	188,436	RBC crossed blocks of 131,300 and 16,000, both at 22.97. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 5.41 %
RY.PR.I	FixedReset	104,453	Scotia crossed 96,300 at 22.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.18 Bid-YTW : 5.42 %
BMO.PR.S	FixedReset	96,836	Scotia crossed 81,900 at 16.61. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.81 %
There were 89 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
RY.PR.A	Deemed-Retractible	Quote: 22.05 – 24.60 Spot Rate : 2.5500 Average : 1.3879 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 7.05 %
PWF.PR.L	Perpetual-Discount	Quote: 20.13 – 21.57 Spot Rate : 1.4400 Average : 0.8962 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 6.36 %
W.PR.H	Perpetual-Discount	Quote: 20.73 – 22.00 Spot Rate : 1.2700 Average : 0.7651 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 6.69 %
RY.PR.E	Deemed-Retractible	Quote: 23.44 – 24.55 Spot Rate : 1.1100 Average : 0.6248 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.44 Bid-YTW : 5.90 %
POW.PR.C	Perpetual-Premium	Quote: 23.69 – 24.81 Spot Rate : 1.1200 Average : 0.6487 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.40 Evaluated at bid price : 23.69 Bid-YTW : 6.15 %
BMO.PR.Q	FixedReset	Quote: 18.25 – 19.25 Spot Rate : 1.0000 Average : 0.5829 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.83 %

Equities had a good bounce today:

U.S. stocks rallied sharply Thursday as a rebound in oil prices allowed the main indexes to claw back much of the steep fall seen in the previous session.

Gains on Wall Street were across the board, but energy shares outperformed all others as crude-oil futures CLG6, -2.44% rose 2.4% to $31.20 a barrel.

Meanwhile, St. Louis Fed President James Bullard’s comment that reaching the inflation target will take longer was said to have invigorated some of the bulls who were betting on a slower pace of interest-rate increases this year.

The S&P 500 index SPX, +1.67% closed up 31.56 points, or 1.7%, at 1,921.84. The S&P 500 energy sector soared 4.5%, while all 10 main sectors advanced. The health care and technology sectors were up 2.7% and 2% respectively.

This happened even with Bullard raising a cautious note:

Federal Reserve Bank of St. Louis President James Bullard, one of the most vocal policy makers in recent months arguing to raise interest rates, sounded a more cautious note Thursday by saying the latest decline in oil prices may delay the return of inflation to the central bank’s 2 percent target.

“With renewed declines in crude oil prices in recent weeks, the associated decline in market-based inflation expectations measures is becoming worrisome,” Bullard, who votes on policy this year, said in a speech in Memphis, Tennessee. While central bankers typically “look through” oil price changes, “one circumstance where one may be more concerned is when inflation expectations themselves begin to change due to the changes in crude oil prices,” he said.
…
Bullard told reporters after his speech that strong U.S. employment would argue that the FOMC’S median projection of rate increases totaling 1 percentage point this year is “about right,” while inflation and price expectations concerns “would tend to push off rate increases.” Bullard said he would put more weight on expectations if they continue to decline.

“Generally speaking, the markets and the committee are not thinking in terms of a January move,” Bullard said. “As far as March, we would want to get more information and see how things play out before we make a judgment.”

The U.S. economy is likely to grow 2.5 percent to 3 percent this year, and recent market volatility is no reason to revise that forecast, he told reporters.

Meanwhile, Assiduous Reader IR brings to my attention the elevated level of US credit spreads (as of January 13):

The cost to protect against defaults by North American investment-grade companies soared to a three-year high as concern lingered over falling commodity prices and financial-market turmoil triggered by China.

The Standard & Poor’s 500 Index was poised for its lowest close since September, halting a global equities rally. The Bloomberg Commodities Index on Tuesday fell to the lowest level since at least 1991 on sluggish demand from developing nations. The benchmark rebounded by 0.3 percent at 3:16 p.m. on Wednesday in New York. While Chinese exports unexpectedly expanded in December in local-currency terms, the world’s second-largest economy is expected to report the slowest annual expansion since 1990 next week.

“The recent noise from the Chinese market and continued pressure on oil has prompted investors to adjust their default expectations upward,” said Ryan Jungk, a Hartford, Connecticut-based credit analyst at Newfleet Asset Management LLC. “Investment grades are not immune from the bearish sentiment.”

The risk premium on the Markit CDX North America Investment Grade Index, which is tied to 125 equally weighted companies, rose five basis points to 103.3, according to prices compiled by Bloomberg. The measure hasn’t closed above 100 since 2012.

Which reminds me, I must thank Assiduous Reader HS for the link to the story about grocery bills and the exchange rate highlighted yesterday. I forgot yesterday – oops!

I’m wondering if this widening has anything to do with revamped bank trading-book capital rules:

Banks face tougher capital requirements on swaps, bonds and other securities that they intend to trade, as global regulators tighten market-risk rules for the second time since the financial crisis.

The Basel Committee on Banking Supervision, whose members include the U.S. Federal Reserve and the People’s Bank of China, said updated rules published on Thursday will result in a weighted mean increase of about 40 percent in trading-book capital charges. The revised framework boosts the share of banks’ risk-weighted assets produced by market risk to nearly 10 percent from about 6 percent under existing rules, the Basel group said in a statement.

The overall capital burden on banks imposed by the Fundamental Review of the Trading Book, which takes effect in 2019, is nevertheless lower than was produced by earlier proposals, the Basel Committee said. The impact on specific asset classes and business lines is likely to be uneven and could hit some banks harder than others, even making some trading desks unviable.
…
The International Swaps and Derivatives Association said in an e-mailed statement on Thursday that while the Basel Committee had amended “several areas of concern identified by the industry,” its estimate of a 40 percent increase in market-risk capital requirements “would impose a considerable burden on banks on top of the increases already introduced following the crisis, as part of Basel 2.5.”

A report last year by ISDA and other industry groups estimated the capital requirement using Basel’s new standardized approach would be 4.2 times the total market-risk capital the firms currently have.

So making it tougher for depositary banks to function as investment banks is one thing and, I think, a good thing. But I still haven’t seen anything that would indicate any thought from the regulators as to what might come next. Do they want to make it easier for non-banks to become market-makers? I have often suggested that it would make sense hedge funds – already acting as market makers for equities – to hire bond desks and start trading corporate bonds vigorously. But there’s nothing. If anybody has seen any regulatory musing about where the risk will go after its presence in the banking sector has been reduced, let me know!

US authorities have gleefully announced another successful shake-down:

Goldman Sachs Group Inc. said it agreed to settle a U.S. probe into its handling of mortgage-backed securities for about $5.1 billion, cutting fourth-quarter profit by about $1.5 billion and closing out a year of record legal and litigation costs.

The proposed deal, which the bank announced in a statement Thursday, would be the latest multibillion-dollar settlement resulting from the government’s push to hold Wall Street firms to account for creating and selling subprime mortgage bonds that helped spur the 2008 financial crisis.
…
The government’s mortgage-backed security resolutions stem from a working group of prosecutors and other officials that President Barack Obama ordered up in 2012 to punish Wall Street for fueling the financial crisis with bonds linked to souring mortgages. Until then, the Justice Department had been pilloried for years for not having brought significant cases against banks and their executives.

Hey – it’s easier than raising taxes, or running for political office on the basis of policy!

And the SEC reminds us of how business gets done:

Washington D.C., Jan. 14, 2016 — The Securities and Exchange Commission today announced that State Street Bank and Trust Company agreed to pay $12 million to settle charges that it conducted a pay-to-play scheme through its then-senior vice president and a hired lobbyist to win contracts to service Ohio pension funds.

An SEC investigation found that Vincent DeBaggis, who headed State Street’s public funds group responsible for serving as custodians or sub-custodians to public retirement funds, entered into an agreement with Ohio’s then-deputy treasurer to make illicit cash payments and political campaign contributions. In exchange, State Street received three lucrative sub-custodian contracts to safeguard certain funds’ investment assets and effect the settlement of their securities transactions.

The market is also feeling sour about the Canadian economy:

Canadian benchmark bond yields fell to a new record low on Thursday, as the market increasingly bets on a rate cut to insulate the domestic economy from the oil crash.

With yields around the world declining this year as investors forsake riskier assets in favour of safe havens such as government bonds, Canadian 10-year government yields touched a record low of 1.192 per cent on Thursday.

The Canadian five-year benchmark yield marked its own new low point a day earlier, opening up a spread against its U.S. equivalent reminiscent of some dire economic episodes in Canada’s past, said Mark Chandler, head of fixed income research at Royal Bank of Canada.

“We’re at a point where it’s almost unprecedented,” he said. “If you think about market sentiment right now, it’s almost like Canada’s not going to live through this.”

The short year so far has seen market losses pile up in Canada at an alarming pace.

The Canadian dollar dipped to a new 13-year low of $0.6946 against the U.S. dollar on Thursday.

Oil sank below $30 (U.S.) a barrel on Tuesday for the first time since 2003, before rebounding modestly.

Meanwhile, the S&P/TSX composite index dipped to its lowest intraday level since July, 2013, in morning trading on Thursday before rebounding, as longer-term bond yields fell.

A thin majority of economists now expect the deteriorating conditions will compel Bank of Canada Governor Stephen Poloz to cut the overnight lending rate by 25 basis points to 0.25 per cent next week. The key policy rate has not been set that low since the depths of the financial crisis in late 2009 and early 2010.

But I think I’ve found another book about Canadian preferred shares:

It was another utterly appalling day for the Canadian preferred share market, with PerpetualDiscounts down 95bp, FixedResets losing 265bp and DeemedRetractibles off 53bp. The Performance Highlights table is headed by some incredible losses, virtually all of which are entirely genuine, albeit on markets that I would not feel comfortable characterizing as “orderly”. [I did write commentary on the worst ones; then clicked the wrong button when typing and lost it all. Damn.] Volume was extremely high.

It was another big day for DC.PR.C, with 119,915 shares changing hands at a VWAP of 17.00. It would seem that views are being taken! The current price of 17.00 corresponds to a yield of 9.20% to the extended retraction date of 2019-6-30, given a coupon of 7.50%, all of which assumes that the abusive and debatable Plan of Arrangement succeeds.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.11 to be $0.91 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.03 cheap at its bid price of 10.05.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 17.40 to be 0.75 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.55 to be 0.92 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.75 to be $1.09 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.83 and appears to be $0.67 rich.

FTS.PR.K, with a spread of +205bp, and bid at 16.74, looks $0.45 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 $0.73 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.63%, with no outliers. There is one junk outlier below -1.50% and one above 0.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.21 %	6.34 %	25,694	16.24	1	-1.8113 %	1,491.7
FixedFloater	7.56 %	6.59 %	29,756	15.74	1	-0.7893 %	2,630.6
Floater	4.62 %	4.82 %	77,185	15.84	4	-2.6860 %	1,655.3
OpRet	0.00 %	0.00 %	0	0.00	0	-0.9464 %	2,696.4
SplitShare	4.90 %	6.48 %	70,422	2.76	6	-0.9464 %	3,155.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.9464 %	2,461.9
Perpetual-Premium	5.96 %	5.96 %	86,337	13.97	6	-0.5801 %	2,475.8
Perpetual-Discount	5.90 %	5.97 %	98,417	13.95	34	-0.9528 %	2,445.9
FixedReset	5.80 %	5.21 %	240,007	14.43	82	-2.6460 %	1,777.7
Deemed-Retractible	5.39 %	5.95 %	126,298	6.94	34	-0.5335 %	2,495.6
FloatingReset	2.96 %	4.98 %	64,189	5.59	13	-1.1404 %	1,998.7

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.H	FixedReset	-10.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 4.58 %
HSE.PR.C	FixedReset	-8.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 6.82 %
CIU.PR.C	FixedReset	-6.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.93 %
FTS.PR.M	FixedReset	-6.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.95 %
PWF.PR.T	FixedReset	-6.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.23 %
FTS.PR.K	FixedReset	-5.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 4.69 %
MFC.PR.J	FixedReset	-5.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.49 Bid-YTW : 8.35 %
FTS.PR.I	FloatingReset	-5.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 4.20 %
NA.PR.Q	FixedReset	-5.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.51 %
IFC.PR.C	FixedReset	-4.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.90 Bid-YTW : 9.54 %
FTS.PR.G	FixedReset	-4.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.17 Evaluated at bid price : 15.17 Bid-YTW : 4.92 %
CCS.PR.C	Deemed-Retractible	-4.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 8.08 %
IAG.PR.G	FixedReset	-4.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.38 %
TRP.PR.G	FixedReset	-4.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 5.58 %
HSE.PR.G	FixedReset	-4.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 6.83 %
GWO.PR.O	FloatingReset	-4.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.40 Bid-YTW : 11.64 %
W.PR.K	FixedReset	-4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 5.80 %
RY.PR.I	FixedReset	-4.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 5.40 %
HSE.PR.E	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 6.92 %
NA.PR.W	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 4.97 %
SLF.PR.I	FixedReset	-4.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 9.07 %
SLF.PR.G	FixedReset	-4.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.15 Bid-YTW : 10.46 %
IFC.PR.A	FixedReset	-3.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.88 %
MFC.PR.L	FixedReset	-3.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.71 Bid-YTW : 8.77 %
MFC.PR.M	FixedReset	-3.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.53 %
MFC.PR.N	FixedReset	-3.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.01 Bid-YTW : 8.65 %
NA.PR.S	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.08 Evaluated at bid price : 16.08 Bid-YTW : 5.04 %
BMO.PR.T	FixedReset	-3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.85 %
RY.PR.Z	FixedReset	-3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.73 %
HSE.PR.A	FixedReset	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.76 Evaluated at bid price : 9.76 Bid-YTW : 6.16 %
BAM.PF.F	FixedReset	-3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 5.27 %
MFC.PR.I	FixedReset	-3.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.30 Bid-YTW : 8.01 %
TRP.PR.F	FloatingReset	-3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.52 Evaluated at bid price : 11.52 Bid-YTW : 5.14 %
CM.PR.Q	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.77 Evaluated at bid price : 17.77 Bid-YTW : 4.91 %
CU.PR.C	FixedReset	-3.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.03 %
GWO.PR.N	FixedReset	-3.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.30 Bid-YTW : 11.22 %
PWF.PR.A	Floater	-3.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.39 Evaluated at bid price : 11.39 Bid-YTW : 4.20 %
BIP.PR.A	FixedReset	-3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 6.14 %
SLF.PR.H	FixedReset	-3.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.64 Bid-YTW : 10.05 %
MFC.PR.K	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.57 Bid-YTW : 8.75 %
TRP.PR.A	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.29 %
TD.PF.C	FixedReset	-2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.71 %
MFC.PR.G	FixedReset	-2.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 8.16 %
BMO.PR.S	FixedReset	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.79 %
CU.PR.H	Perpetual-Discount	-2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.04 Evaluated at bid price : 22.35 Bid-YTW : 5.95 %
BAM.PR.K	Floater	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.87 Evaluated at bid price : 9.87 Bid-YTW : 4.82 %
TD.PF.D	FixedReset	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.90 %
BAM.PR.B	Floater	-2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.88 Evaluated at bid price : 9.88 Bid-YTW : 4.82 %
BNS.PR.R	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 4.79 %
W.PR.J	Perpetual-Discount	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.00 Evaluated at bid price : 22.23 Bid-YTW : 6.33 %
BMO.PR.W	FixedReset	-2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.81 %
TD.PR.S	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 4.49 %
TD.PF.B	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 4.68 %
PVS.PR.E	SplitShare	-2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 6.96 %
CIU.PR.A	Perpetual-Discount	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 6.02 %
BAM.PR.R	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 13.41 Evaluated at bid price : 13.41 Bid-YTW : 5.63 %
W.PR.H	Perpetual-Discount	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.28 %
TD.PF.A	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.64 %
BMO.PR.Z	Perpetual-Discount	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.52 Evaluated at bid price : 22.86 Bid-YTW : 5.54 %
TRP.PR.C	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.82 Evaluated at bid price : 9.82 Bid-YTW : 5.61 %
TRP.PR.H	FloatingReset	-2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.00 Evaluated at bid price : 9.00 Bid-YTW : 4.79 %
MFC.PR.H	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 7.50 %
TD.PF.E	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.81 %
BAM.PR.C	Floater	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 4.86 %
CM.PR.O	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.80 %
BAM.PF.G	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 5.31 %
RY.PR.H	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.72 %
BAM.PR.E	Ratchet	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 25.00 Evaluated at bid price : 13.01 Bid-YTW : 6.34 %
PVS.PR.D	SplitShare	-1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 7.28 %
FTS.PR.J	Perpetual-Discount	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 5.88 %
BAM.PF.E	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 5.32 %
CU.PR.G	Perpetual-Discount	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 6.04 %
FTS.PR.F	Perpetual-Discount	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.84 %
TRP.PR.D	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.15 Evaluated at bid price : 15.15 Bid-YTW : 5.32 %
CM.PR.P	FixedReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.83 Evaluated at bid price : 15.83 Bid-YTW : 4.90 %
TRP.PR.E	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.17 %
BMO.PR.Y	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.76 %
POW.PR.D	Perpetual-Discount	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.99 %
BIP.PR.B	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.14 Evaluated at bid price : 22.76 Bid-YTW : 6.10 %
ELF.PR.G	Perpetual-Discount	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.83 %
RY.PR.K	FloatingReset	-1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.33 Bid-YTW : 5.24 %
BNS.PR.C	FloatingReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.21 Bid-YTW : 5.17 %
GWO.PR.F	Deemed-Retractible	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 6.15 %
PWF.PR.K	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.00 %
BAM.PR.Z	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.48 %
SLF.PR.A	Deemed-Retractible	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.16 Bid-YTW : 7.85 %
RY.PR.M	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.87 %
BAM.PF.B	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.27 %
ENB.PR.A	Perpetual-Discount	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.55 Evaluated at bid price : 21.81 Bid-YTW : 6.40 %
CU.PR.E	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 6.05 %
PWF.PR.P	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 4.78 %
POW.PR.B	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.10 Evaluated at bid price : 22.32 Bid-YTW : 6.02 %
SLF.PR.E	Deemed-Retractible	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.19 Bid-YTW : 8.27 %
RY.PR.L	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.57 %
PVS.PR.B	SplitShare	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 6.48 %
BNS.PR.Q	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.55 Bid-YTW : 4.84 %
SLF.PR.B	Deemed-Retractible	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 7.85 %
TD.PR.Y	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 4.63 %
CU.PR.F	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.97 %
BMO.PR.M	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.41 %
MFC.PR.B	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.76 Bid-YTW : 8.05 %
BNS.PR.L	Deemed-Retractible	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.23 Bid-YTW : 5.08 %
BAM.PF.A	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 5.30 %
ELF.PR.H	Perpetual-Discount	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.57 Evaluated at bid price : 22.90 Bid-YTW : 6.03 %
VNR.PR.A	FixedReset	3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.35 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	2,212,913	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 23.25 Evaluated at bid price : 25.34 Bid-YTW : 5.21 %
RY.PR.Q	FixedReset	402,847	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 23.27 Evaluated at bid price : 25.41 Bid-YTW : 5.13 %
TD.PR.T	FloatingReset	88,325	Scotia crossed 79,200 at 21.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 4.71 %
BAM.PR.K	Floater	85,700	Nesbitt crossed 75,000 at 10.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.87 Evaluated at bid price : 9.87 Bid-YTW : 4.82 %
RY.PR.L	FixedReset	81,370	TD crossed blocks of 12,000 at 24.50 and 63,300 at 24.36. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.57 %
IFC.PR.A	FixedReset	78,400	Scotia crossed two blocks of 25,000 each at 14.32 and 10,200 at 14.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.88 %
There were 60 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BNS.PR.R	FixedReset	Quote: 22.95 – 23.79 Spot Rate : 0.8400 Average : 0.5294 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 4.79 %
SLF.PR.I	FixedReset	Quote: 16.60 – 17.40 Spot Rate : 0.8000 Average : 0.5117 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 9.07 %
W.PR.K	FixedReset	Quote: 22.80 – 23.55 Spot Rate : 0.7500 Average : 0.4672 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 5.80 %
IFC.PR.A	FixedReset	Quote: 13.75 – 14.50 Spot Rate : 0.7500 Average : 0.4759 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.88 %
RY.PR.K	FloatingReset	Quote: 21.33 – 22.36 Spot Rate : 1.0300 Average : 0.7583 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.33 Bid-YTW : 5.24 %
FTS.PR.I	FloatingReset	Quote: 11.30 – 12.22 Spot Rate : 0.9200 Average : 0.6609 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 4.20 %

The low dollar is attracting some notice:

On Tuesday, the Canadian dollar, commonly known as the loonie, broke below 70 U.S. cents for the first time since May 1, 2003.

For America’s northern neighbor, which imports about 80 percent of the fresh fruits and vegetables its citizens consume, this entails a sharp rise in prices for these goods. With lower-income households tending to spend a larger portion of income on food, this side effect of a soft currency brings them the most acute stress.
…
From coast-to-coast-to-coast, Canadians have taken to social media to express displeasure with soaring produce prices:

Bombardier is desperately reinventing its business model:

Bombardier Inc. scrapped $1.75 billion of business-aircraft orders, saying it anticipates making more money by reselling them directly to customers.

The Canadian planemaker also said it was ending a four-decade relationship with distributor TAG Aeronautics as part of a change in its sales strategy. Bombardier will book a $278 million pretax charge in the fourth quarter due to its moves to cut out the middleman standing between itself and aircraft buyers.

Bombardier is revamping its business-jet sales effort as the company’s finances have been strained by its $5.4 billion program for C Series commercial planes. The development of its largest-ever model is more than two years late and at least $2 billion over budget, and Bombardier has been seeking more government aid to right itself.

If it doesn’t work, they can always get another government cheque!

I’m not sure whether it’s a genuine attempt to track down laundered money or the misuse of government powers to follow a populist agenda, but I am sure we’ll hear calls for this in Canada!

Concerned about illicit money flowing into luxury real estate, the Treasury Department said Wednesday that it would begin identifying and tracking secret buyers of high-end properties.

The initiative will start in two of the nation’s major destinations for global wealth: Manhattan and Miami-Dade County. It will shine a light on the darkest corner of the real estate market: all-cash purchases made by shell companies that often shield purchasers’ identities.

It is the first time the federal government has required real estate companies to disclose names behind all-cash transactions, and it is likely to send shudders through the real estate industry, which has benefited enormously in recent years from a building boom increasingly dependent on wealthy, secretive buyers.

The initiative is part of a broader federal effort to increase the focus on money laundering in real estate. Treasury and federal law enforcement officials said they were putting greater resources into investigating luxury real estate sales that involve shell companies like limited liability companies, often known as L.L.C.s; partnerships; and other entities.

There will be ceaseless debate over the next twelve months regarding the advisability of Fed hikes … Larry Summers has fired the opening volley:

Policy makers need to heed the message from global commodity and stock markets that “risks are substantially tilted to the downside,” former U.S. Treasury Secretary Lawrence Summers said Wednesday.

Given the weakness in prices and growth, it’ll be hard for the world to take in stride four interest-rate increases that forecasters are penciling in from the Federal Reserve this year, Summers said in a Bloomberg TV interview.

“I would be surprised if the world economy could comfortably withstand four hikes, and I think that basically the markets agree with me,” he said, adding that’s why it’s important to prepare for a range of possibilities. “Really, what policy makers need to think about is, it is insurance against the more negative scenarios.”

It was another crummy day for equities:

U.S. stocks tumbled, with the Dow Jones Industrial Average plunging more than 370 points and small caps entering a bear market, as oil’s failure to maintain a 4 percent rally rekindled a flight from risk assets. Treasuries surged amid signs that demand for the relative safety of bonds is rising.

The Standard & Poor’s 500 Index fell past 1,900, a level it’s closed below only five times in the past 14 months. The Nasdaq 100 Index had its worst day since Aug. 24, as selling was heaviest in technology and consumer shares. The Russell 2000 Index capped a 22 percent slide from its June record. Brent crude dipped below $30 for the first time since 2004. The yield on the 10-year Treasury note fell to 2.04 percent, after an auction of $21 billion of 10-year notes was deemed ‘outstanding.’ Gold traded above $1,090 an ounce.
…
Treasuries rallied after investors flocked to a $21 billion auction of 10-year notes at the lowest yields since October amid concern that global growth is slowing. A class of investors that includes foreign central banks and mutual funds bought 71 percent of the sale, the second-highest amount on record.

Meanwhile, at time of writing, Chinese equities have bounced back a little … but nobody knows how much of that is manipulation:

The Shanghai Composite Index gained 2 percent to 3,007.65 at the close, reversing a loss of as much as 2.8 percent and sending a gauge of volatility to the highest levels since September. The ChiNext small-caps index surged the most in two months after 28 listed companies vowed to take action to stabilize the market, with some pledging not to sell shares over the next six months. State funds may have entered to buy stocks after the Shanghai index fell below the lowest levels reached in last year’s rout, according to Galaxy Securities Co.
…
The Shanghai gauge earlier dropped below the low of 2,927.29 set in August, when a summer rout wiped out $5 trillion and spurred the government to impose emergency rescue measures. The index, the worst performer among 93 global benchmark measures tracked by Bloomberg this year, fell as much as 20 percent from the December high before paring losses.

The question of trailer fees and the regulatory banishment thereof has been discussed many times on PrefBlog – a CSA request for comment was mentioned on December 13, 2012, for instance, which was clarified on December 18, 2012, with more discussion December 27, 2012. Assiduous Readers with good memories will remember that I have argued that the only problem with the Platonic ideals espoused by regulatory dreamers is that they won’t work in the real world (much like the regulatory dreamers themselves): Joe Lunchbucket does not want to pay a fee to his advisor unless the advisor trades a lot; this goes double if he’s just lost money in the market. So instead of buying an equity mutual fund like he should, he’ll go down to the bank and put his money into a GIC and every step in the process will be approved by the bank’s compliance department, stuffed to the gills with ex-regulators on fat salaries.

I was only one of many holding this view:

From now on, financial advisers will have to charge upfront fees to their customers rather than receive commission from companies supplying financial products. The move by the Financial Services Authority under its retail distribution review (RDR) includes pensions, Isas and unit trusts, and is designed to be more transparent and to reduce the risk of mis-selling.

It means that consumers will see clearly the cost of financial advice which may previously have appeared to be free since the charges were part of the commission payments made to the adviser. But some analysts believe that spelling out the costs, even though these can be spread over a number of years, could put many customers off seeking advice.

A recent survey by Rostrum Research found that nine out of 10 consumers would only pay up to £25 for an hour’s financial advice, compared with the mooted £50-£250 an hour fee range expected in the review.

I have been criticized for this view, but it appears that two years after banning producer payments to intermediaries, it is becoming clear that Joe Lunchbucket does not want to pay for advice:

An influential panel of experts appointed by the Government as part of the Financial Advice Market Review is considering radical reforms to regulation which would roll back key aspects of the RDR to boost access to advice, Money Marketing understands.

The FAMR, jointly led by the Treasury and the FCA, is assessing barriers to the provision of financial advice following the pensions overhaul introduced last April. In particular, the review is looking to tackle the advice gap for people with smaller pots to invest.
…
Sources close to the panel say a number of radical ideas have been seriously discussed during the three sessions held in the second half of last year. These include creating a new basic tier of advice with a lower qualification requirement for simple accumulation products, developing a new charging structure similar to commission and banning regulated advisers from selling unregulated products.
…

A separate source says allowing firms to receive commission on simple accumulation product sales is also under consideration.

The source says: “The panel have discussed putting forward an alternative commercial model for advice that would allow a fee to be built into the product. So today you might pay 1 per cent and it is normally paid by selling units in funds but it has to be agreed as part of your service agreement with the adviser. What is being discussed is more like commission.

“So you could invest in an Isa or a pension and the adviser receives a fee on completion of the transaction direct from the provider.”

Panel members have also discussed the possibility of banning regulated advisers from selling unregulated products.

No agreement has been reached on taking these proposals to the Government.

However, the very fact they are being discussed suggests the FAMR could fundamentally redraw the advice landscape yet again.

Shaw Communications, proud issuer of SJR.PR.A, will finance the acquisition of Wind Mobile by selling media assets to the related Corus Entertainment:

Corus Entertainment Inc. has agreed to pay $2.65-billion to acquire Shaw Media Inc. from Shaw Communications Inc., bulking up to compete in a shifting television landscape.

The price will be paid through a combination of $1.85-billion in cash and 71 million Corus class B shares at $11.21 per share. Both companies are ultimately controlled by the Shaw family of Alberta, but are separately listed on the Toronto Stock Exchange.
…
It also removes any doubt about how Shaw will pay for its $1.6-billion acquisition of Wind Mobile Corp., which it announced in December. There had been some speculation that it could sell its U.S. data centre business ViaWest or issue equity.

Instead, Shaw made it clear it intends to use the cash from the sale of Shaw Media to fund the Wind purchase.

Shaw expects its acquisition of Wind to close in the third quarter of its fiscal year, which is the three-month period ending May 31, and said Wednesday if that transaction closes earlier, it will rely on bridge financing to fund the deal.

DBRS comments:

Following the divestiture, DBRS notes that the loss of Shaw Media’s operating income and substantial cash generating capacity, in conjunction with the inclusion of the negative free cash flow wireless and existing business infrastructure services segments, will result in free cash flow (after cash dividend payments) turning negative until F2018. This signals a meaningful, albeit temporary, loss in financial flexibility and places greater reliance on growth in operating income to achieve stated financial leverage targets.

In its review, DBRS will focus on (1) assessing the business risk profile of the new entity, including organic growth prospects in the remaining segments and risks associated with integration of WIND; (2) the Company’s longer-term business strategy; (3) financial management intentions of the new entity going forward and its free cash flow trajectory profile; and (4) the Company’s liquidity profile over the near to medium term.

The proposed asset sale and the WIND acquisition are proceeding through customary regulatory, concurrently, and are both expected to close by Q3 F2016. As previously announced, the Company has secured a $1.7 billion bridge facility, which would allow it to complete the WIND acquisition in the event of a delay in completing the proposed divestiture. The Company would then repay the bridge upon receipt of proceeds from the Shaw Media divestiture.

The previously instated Under Review with Negative Implications rating action will be resolved once DBRS becomes confident that the proposed transaction will close under the current terms, at which point DBRS will likely downgrade Shaw’s ratings by one notch, to the BBB (low) rating category.

This follows prior news that SJR: Credit Agencies Nervous About Wind Acquisition.

GMP, proud issuer of GMP.PR.B, has swallowed hard and acknowledged hard times:

GMP Capital Inc.’s radical restructuring, which involves shutting down its United Kingdom and Australian operations as well as eliminating its dividend, is also hitting senior staff at home.

In total, seventy-three jobs are being axed in a new round of cuts announced Wednesday, affecting investment bankers, research analysts and employees in sales and trading. Twenty-nine positions are being eliminated in Canada, 22 in the U.K., 12 in Australia and 10 in the U.S. GMP said 97 positions – a quarter of its work force – have now been eliminated since the end of the third quarter.
…
GMP has lost money in three of the past four quarters. In the third quarter of 2015, revenue from the company’s energy sector investment banking cratered 87 per cent from a year ago.

The brokerage was founded in 1995 and went public in December, 2003. GMP was immensely profitable during the great bull run in resources and some of its proprietary traders, such as Michael Wekerle, were among the best paid people on Bay Street. In mid-2006, GMP’s share price peaked at $28. It closed Tuesday at $3.92 – not far from an all-time low.

I have not seen any reaction from the Credit Rating Agencies yet.

I came across the following on the Internet … I think it might be a book about Canadian preferred shares …

It was another horrible day for the Canadian preferred share market, with PerpetualDiscounts down 44bp, FixedResets losing 133bp and DeemedRetractibles off 29bp. The Performance Highlights table is as lengthy as one might expect, but on the bright side there were a few winners today! Volume was well below average.

It was a big day for DC.PR.C, which Assiduous Readers will remember is the target of an abusive Exchange Offer via a Plan of Arrangement which has been the subject of widespread interest. The issue traded 732,460 shares today in a range of 16.70-00, including a monster-block of 555,600, crossed by GMP shortly before the close at 17.00. When one considers that there are only 6-million shares out, one gets even more impressed! The stock was up sharply on the day. If we assume this is an actual arm’s-length cross (and not an internal cross between two accounts of the same manager), then it looks like somebody has started to feel good about the deal … all the more so since the record date to vote on the Plan of Arrangement has long since passed.

PerpetualDiscounts now yield 5.93%, equivalent to 7.71% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread is now about 355bp, a stunning increase from the 330bp that I should have reported last week. This is an incredible number, surpassed only for a month or so during the credit crunch … and this is happening without any significant credit worries!

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.11 to be $0.91 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.03 cheap at its bid price of 10.05.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 17.40 to be 0.75 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.55 to be 0.92 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.75 to be $1.09 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.83 and appears to be $0.67 rich.

FTS.PR.K, with a spread of +205bp, and bid at 16.74, looks $0.45 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 $0.73 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.63%, with no outliers. There is one junk outlier below -1.50% and one above 0.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.12 %	6.23 %	26,781	16.38	1	-4.2630 %	1,519.2
FixedFloater	7.50 %	6.54 %	31,078	15.80	1	0.0581 %	2,651.5
Floater	4.49 %	4.69 %	78,248	16.08	4	0.5017 %	1,701.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.0019 %	2,722.1
SplitShare	4.85 %	6.03 %	67,583	2.76	6	0.0019 %	3,185.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0019 %	2,485.4
Perpetual-Premium	5.93 %	5.82 %	85,246	2.71	6	-0.1684 %	2,490.2
Perpetual-Discount	5.84 %	5.93 %	93,623	14.03	34	-0.4432 %	2,469.4
FixedReset	5.65 %	5.08 %	238,260	14.57	81	-1.3328 %	1,826.0
Deemed-Retractible	5.36 %	5.59 %	121,511	5.27	34	-0.2872 %	2,509.0
FloatingReset	2.92 %	4.91 %	63,358	5.59	13	0.3148 %	2,021.7

Performance Highlights
Issue	Index	Change	Notes
VNR.PR.A	FixedReset	-7.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 5.52 %
HSE.PR.E	FixedReset	-5.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.38 Evaluated at bid price : 16.38 Bid-YTW : 6.63 %
MFC.PR.F	FixedReset	-5.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.80 Bid-YTW : 10.81 %
CU.PR.C	FixedReset	-4.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.27 Evaluated at bid price : 16.27 Bid-YTW : 4.87 %
BAM.PR.E	Ratchet	-4.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 25.00 Evaluated at bid price : 13.25 Bid-YTW : 6.23 %
FTS.PR.G	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 4.67 %
FTS.PR.K	FixedReset	-3.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.74 Evaluated at bid price : 16.74 Bid-YTW : 4.42 %
MFC.PR.H	FixedReset	-3.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.74 Bid-YTW : 7.18 %
NA.PR.S	FixedReset	-3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 4.84 %
TRP.PR.G	FixedReset	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.31 %
IFC.PR.C	FixedReset	-2.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.72 Bid-YTW : 8.83 %
BAM.PR.T	FixedReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 5.52 %
CM.PR.P	FixedReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.81 %
NA.PR.W	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.38 Evaluated at bid price : 16.38 Bid-YTW : 4.76 %
CM.PR.O	FixedReset	-2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 4.70 %
TRP.PR.D	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 15.41 Evaluated at bid price : 15.41 Bid-YTW : 5.22 %
BAM.PF.A	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 5.24 %
BMO.PR.W	FixedReset	-2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.63 Evaluated at bid price : 16.63 Bid-YTW : 4.68 %
TRP.PR.C	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 10.05 Evaluated at bid price : 10.05 Bid-YTW : 5.48 %
HSE.PR.C	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 6.21 %
BAM.PR.X	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 12.69 Evaluated at bid price : 12.69 Bid-YTW : 5.21 %
BMO.PR.S	FixedReset	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.65 %
TD.PF.E	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.70 %
TRP.PR.F	FloatingReset	-2.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 11.91 Evaluated at bid price : 11.91 Bid-YTW : 4.97 %
IFC.PR.A	FixedReset	-2.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.32 Bid-YTW : 10.29 %
CU.PR.I	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 22.95 Evaluated at bid price : 24.40 Bid-YTW : 4.58 %
BAM.PF.D	Perpetual-Discount	-2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 19.64 Evaluated at bid price : 19.64 Bid-YTW : 6.30 %
HSE.PR.G	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.68 Evaluated at bid price : 16.68 Bid-YTW : 6.50 %
BAM.PF.F	FixedReset	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 5.08 %
TRP.PR.B	FixedReset	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 9.77 Evaluated at bid price : 9.77 Bid-YTW : 5.12 %
SLF.PR.G	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.70 Bid-YTW : 9.90 %
RY.PR.H	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.03 Evaluated at bid price : 17.03 Bid-YTW : 4.63 %
BAM.PF.C	Perpetual-Discount	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 19.44 Evaluated at bid price : 19.44 Bid-YTW : 6.30 %
ELF.PR.H	Perpetual-Discount	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 22.36 Evaluated at bid price : 22.66 Bid-YTW : 6.09 %
BAM.PR.N	Perpetual-Discount	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 6.28 %
SLF.PR.I	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 : 8.47 %
TD.PF.B	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 4.55 %
NA.PR.Q	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.33 Bid-YTW : 4.54 %
SLF.PR.D	Deemed-Retractible	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 8.20 %
BIP.PR.A	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 5.94 %
MFC.PR.M	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.95 Bid-YTW : 7.96 %
RY.PR.J	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.85 %
IAG.PR.A	Deemed-Retractible	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.06 Bid-YTW : 7.75 %
RY.PR.M	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.80 %
BAM.PR.Z	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.40 %
MFC.PR.N	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.09 %
RY.PR.Z	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.55 %
SLF.PR.C	Deemed-Retractible	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.35 Bid-YTW : 8.09 %
FTS.PR.M	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.63 %
BAM.PR.M	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 6.28 %
IAG.PR.G	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.60 Bid-YTW : 7.68 %
TRP.PR.A	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 5.13 %
MFC.PR.I	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 7.52 %
BAM.PF.B	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 5.20 %
MFC.PR.J	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.46 Bid-YTW : 7.59 %
MFC.PR.K	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.08 Bid-YTW : 8.32 %
CU.PR.D	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 5.99 %
W.PR.H	Perpetual-Discount	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 22.27 Evaluated at bid price : 22.54 Bid-YTW : 6.13 %
SLF.PR.E	Deemed-Retractible	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.43 Bid-YTW : 8.09 %
PWF.PR.T	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 3.96 %
TRP.PR.E	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.11 Evaluated at bid price : 16.11 Bid-YTW : 5.08 %
TD.PF.D	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 4.77 %
BAM.PF.G	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 5.20 %
BAM.PR.R	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 5.49 %
BMO.PR.Y	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.68 %
MFC.PR.B	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.97 Bid-YTW : 7.90 %
TD.PF.A	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 4.53 %
CM.PR.Q	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 4.75 %
BAM.PF.E	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.83 Evaluated at bid price : 16.83 Bid-YTW : 5.22 %
TD.PR.Y	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.02 Bid-YTW : 4.42 %
RY.PR.K	FloatingReset	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 4.96 %
POW.PR.C	Perpetual-Premium	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 24.30 Evaluated at bid price : 24.61 Bid-YTW : 5.92 %
BAM.PF.H	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 23.20 Evaluated at bid price : 25.10 Bid-YTW : 4.91 %
BNS.PR.Q	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 4.63 %
PWF.PR.P	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 4.71 %
MFC.PR.G	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.55 Bid-YTW : 7.74 %
BAM.PR.K	Floater	2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 10.15 Evaluated at bid price : 10.15 Bid-YTW : 4.69 %
BNS.PR.R	FixedReset	2.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.57 Bid-YTW : 4.28 %
CCS.PR.C	Deemed-Retractible	2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.28 Bid-YTW : 7.35 %
BNS.PR.D	FloatingReset	3.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.08 Bid-YTW : 7.08 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	288,467	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 23.28 Evaluated at bid price : 25.46 Bid-YTW : 5.11 %
BNS.PR.E	FixedReset	158,036	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 23.29 Evaluated at bid price : 25.47 Bid-YTW : 5.10 %
NA.PR.S	FixedReset	108,125	TD crossed 98,800 at 16.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 4.84 %
TD.PR.T	FloatingReset	65,152	Scotia crossed 63,200 at 21.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.58 Bid-YTW : 4.56 %
RY.PR.I	FixedReset	43,400	Nesbitt crossed 35,000 at 23.21. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 4.57 %
BNS.PR.L	Deemed-Retractible	39,064	RBC crossed 35,300 at 24.48. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.48 Bid-YTW : 4.88 %
There were 20 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.O	FloatingReset	Quote: 11.95 – 13.75 Spot Rate : 1.8000 Average : 1.4048 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.95 Bid-YTW : 11.01 %
VNR.PR.A	FixedReset	Quote: 16.17 – 17.11 Spot Rate : 0.9400 Average : 0.7033 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 5.52 %
FTS.PR.M	FixedReset	Quote: 18.25 – 18.87 Spot Rate : 0.6200 Average : 0.4595 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.63 %
FTS.PR.H	FixedReset	Quote: 13.50 – 13.99 Spot Rate : 0.4900 Average : 0.3545 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 4.11 %
HSE.PR.G	FixedReset	Quote: 16.68 – 17.29 Spot Rate : 0.6100 Average : 0.4813 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.68 Evaluated at bid price : 16.68 Bid-YTW : 6.50 %
GWO.PR.L	Deemed-Retractible	Quote: 23.90 – 24.36 Spot Rate : 0.4600 Average : 0.3511 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 6.37 %

The big news of the day was the diving of the loonie:

The currency fell as much as 0.6 percent to 69.90 U.S. cents Tuesday in Toronto,, the first time it touched that level since May 2003, as crude oil fell to a 12-year low of $29.93 per barrel in New York. The first time the Canadian dollar weakened below 70 U.S. cents was 1997, before the country’s oil industry took off and when its government was wrestling with a budget deficit.

It mostly traded below 70 U.S. cents between 1997 and 2003, a period when manufacturing made up a larger part of exports than oil. It’s all-time low was 61.76 U.S. cents in 2002.
…
Even though [Macquarie Group forecaster David] Doyle predicted Canada’s central bank will cut its benchmark rate to a record low 0.25 percent on Jan. 20, a weakened manufacturing sector and more competition from Mexico in the U.S. market, Canada’s largest trading partner, mean it will take longer for the country to see an economic benefit with oil prices still depressed.

Once the loonie, as the currency is called for the aquatic bird on the C$1 coin, reaches its record low, it will stay depressed through the end of 2018, Doyle said.

“Manufacturing and non-energy exports have far less ability to propel the economic outlook than they have in the past,” Doyle said. “Many of our oil and oil-related sectors have grown, and a lot of our manufacturing sectors have not grown and remained low.”

Meanwhile, it appears that insurance and SIFI regulation is having some of its intended effect:

MetLife joins General Electric Co.’s finance unit in seeking to simplify operations after being designated by a U.S. panel as a non-bank systemically important financial institution, a tag that can lead to stricter limits on the balance sheet. [MetLife CEO Steve] Kandarian has sought to reverse that designation in court.

The retail business, as part of a SIFI, faces “higher capital requirements that could put it at a significant competitive disadvantage,” Kandarian said in the statement. “Even though we are appealing our SIFI designation in court and do not believe any part of MetLife is systemic, this risk of increased capital requirements contributed to our decision to pursue the separation.”
…
The retail unit slated for separation is a provider of variable annuities, where results can be tied to fluctuations in stock markets and interest rates. The new company would also include life insurance entities. MetLife didn’t outline a timetable for the plan, saying the completion of a transaction could depend on market conditions, and also regulatory approvals.
…
MetLife is among four non-bank companies that were named SIFIs by the Financial Stability Oversight Council. That panel was created by the 2010 Dodd-Frank law and charged with monitoring potential threats to the financial system after the near collapse in 2008 of companies including insurer American International Group Inc., which required a U.S. bailout.

GE has been divesting finance operations and has said it will apply to drop its tag as a SIFI. Prudential Financial Inc., the second-largest U.S. life insurer, in 2013 opted against filing a lawsuit to overturn its SIFI status.

AIG, also a SIFI, has been facing pressure from activist investor Carl Icahn to break up into three separate businesses — one offering property-casualty coverage, another selling life insurance and a third backing mortgages. Icahn has said the risk tag is intended to be a tax on size and AIG’s businesses would be worth more to shareholders if they’re not part of a systemically important company.

So, up to a point, I approve of this. Huge financial empires can lead to trouble. My problem with the implementation, however, is that too much is left to opinion and there is too sharp a break between SIFI and non-SIFI status. I would prefer to see a surcharge on risk-weighted assets so that companies can find their optimal size, without the inevitable games-playing that is intrinsic to the current solution; for more discussion, see my post Capital Surcharges for Globally Important Investment Banks.

Assiduous Reader JP brings to my attention new rules on lease reporting:

The International Accounting Standards Board (IASB) published a new rule on Wednesday requiring leases of more than a year to be placed on balance sheets from January 2019.

“It’s a major change and will affect around half of all companies, especially airlines, shipping and retail. They will have significantly different financial statements,” IASB Chairman Hans Hoogervorst told Reuters.

Some defunct retailers have surprised investors by disclosing that off-balance sheet leases were almost 66 times the value of on-balance sheet debt, the IASB said.
…
Hoogervorst’s predecessor, David Tweedie, kicked off the reform two decades ago and annoyed leasing companies by saying he wanted to fly the Atlantic in a plane that was on the airline’s balance sheet.

“It will change balance sheets massively,” Tweedie told Reuters. “You can’t be paying rent for an aeroplane you have to stick in the Arizona desert and pretend it’s not a liability.”

I have often thought that the main value of ‘green’ legislation is that it forces a certain amount of thinking about why we do things the way we do. Humans are intrinsically lazy, and will seek to apply cookie-cutter solutions that have worked out reasonably well in the past instead of redesigning everything from scratch. Most of the time, that’s the proper thing to do, of course; but every now and then a fresh look makes the light-bulb spring to life:

The clinical white beam of LEDs and frustrating time-delay of ‘green’ lighting has left many hankering after the instant, bright warm glow of traditional filament bulbs.

But now scientists in the US believe they have come up with a solution which could see a reprieve for incandescent bulbs.

Researchers at MIT have shown that by surrounding the filament with a special crystal structure in the glass they can bounce back the energy which is usually lost in heat, while still allowing the light through.

They refer to the technique as ‘recycling light’ because the energy which would usually escape into the air is redirected back to the filament where it can create new light.
…
Usually traditional light bulbs are only about five per cent efficient, with 95 per cent of the energy being lost to the atmosphere. In comparison LED or florescent bulbs manage around 14 per cent efficiency. But the scientists believe that the new bulb could reach efficiency levels of 40 per cent.

And it shows colours far more naturally than modern energy-efficient bulbs. Traditional incandescent bulbs have a ‘colour rendering index’ rating of 100, because they match the hue of objects seen in natural daylight. However even ‘warm’ finish LED or florescent bulbs can only manage an index rating of 80 and most are far less.

“This experimental device is a proof-of-concept, at the low end of performance that could be ultimately achieved by this approach,” said principal research scientist Ivan Celanovic.

Meanwhile, Lockhart points out that the financial system does not perfectly reflect the real economy:

Federal Reserve Bank of Atlanta President Dennis Lockhart said he favors continued tightening of monetary policy this year, and a global selloff in stock markets is unlikely to affect the U.S. economy.

“When such volatility develops, I think it’s helpful to look at the real economy of the United States as opposed to the financial economy and ask if something is fundamentally wrong,” Lockhart said in a speech Monday in Atlanta. “Are there serious imbalances that make the broad economy vulnerable to foreign shocks? I don’t see that kind of connection in current circumstances. ”

Lockhart told reporters after his speech the persistence of turmoil such as what occurred starting in August might change that view.

“If the volatility continues for several weeks, I may have to revise my view that I don’t now see a connection between financial markets abroad and the real economy,” Lockhart said. “It is a matter of how long it lasts.”

Failed politicians and backscratchers are getting very excited about the creation of a brand new regulated business:

Liberal MP Bill Blair wants to make it clear the growth and sale of legal marijuana in Canada will not be a free-for-all.

In an interview, the chief architect of the country’s new marijuana regime frequently used such words as “control” and “strict regulation” as he discussed the federal government’s options.
…
“There is a need for some control,” he said. “Our intent is to legalize, regulate and restrict. There needs to be reasonable restrictions on making sure that we keep it away from kids, because I think that is very much in the public interest. We also have to ensure that the social and the health harms are properly managed and mitigated, and that can be done through regulation.”

Illegal pot dispensaries are appearing in greater numbers across the country. In addition, some advocates of legalization say that the Trudeau government’s promise to make pot legal means police should immediately stop charging people for possessing marijuana.

On the other hand, some people in the marijuana industry say only licensed and regulated operators should be able to grow and sell the drug. In particular, a number of investors in the medical marijuana business, which was heavily regulated by the Conservative government, want similar rules and restrictions for recreational pot.

Yes, it is only through restriction of competition that hopelessly incompetent ex-politicians like George ‘e-Health’ Smitherman will be able to make a living:

A former high-ranking colleague and friend of MP Bill Blair, the Liberal government’s point man on marijuana legalization, will lobby the ex-Toronto police chief in hopes of ensuring a tightly controlled system in which only licensed firms are allowed to grow the lucrative drug.

Kim Derry, a deputy chief of the Toronto Police Service under Mr. Blair, is a promoter of marijuana facility THC Meds Ontario Inc., along with George Smitherman, a former Ontario Liberal deputy premier. Mr. Blair, put in charge of the marijuana file last week, will play a key role in determining who gets to grow the product once it is legalized.

While some growers want loosely regulated production across the country, the operators of companies such as THC Meds say production licences should be limited to professional operations.

In an interview, Mr. Derry said the government should aim to “get rid of the goons” who are currently in the marijuana business, calling for tight regulations on who can grow and sell the product.

There is a reasonably good book excerpt about annuities in the Globe:

One of the signs will be when the gap between the yields on long-term government bonds and inflation is relatively high–that is to say, when the real yield on long-term bonds is high.

You might wonder what long-term bonds have to do with annuities. The interest rate that determines the cost of annuities is never advertised by the insurer but it happens to be closely tied to the yield on long-term government bonds, which is readily available. The gap between long-term bond yields and inflation is currently rather small, even though inflation is low which means that now might not be the best time to buy an annuity. Note that the nominal yield on bonds is not important, just the real yield. Hence, you are better off buying an annuity when long-term bond yields are 4 per cent and inflation is 2 per cent than when long-term bond yields and inflation are both 5 per cent.

It’s nice to see some rational discussion of annuity pricing in the popular press, but I must say I find great fault with the author’s arguments on market timing. Dammit, it can’t be done! And it is unbelievably reckless to indulge in timing when making a significant, irreversible decision to annuitize, even if it’s with only a portion of the nest egg.

As I have discussed in PrefLetter (and in one free article, for you cheapskates) annuities are lousy investments, but they are great insurance. Any retiree who is encroaching on his capital to fund his living expenses should very carefully consider buying an annuity of sufficient size that he becomes cash-flow neutral, i.e., that all normal living expenses are covered by the annuity payments and the income from the remaining investment portfolio. That way, you’ve got the encroachment on capital done all at once and have considerably less worry about what happens when there’s no more capital to be encroached upon.

At time of writing there is some hope that markets might not go down tomorrow:

Asian stocks rallied from a three-year low, tracking a rebound in the U.S. amid speculation a selloff that erased more than $5 trillion from global equity values this year had gone too far. Oil rose for the first time this year and the offshore yuan strengthened for a fifth day.

The MSCI Asia-Pacific Index climbed the most in four weeks as benchmark share indexes rallied across the region. U.S. index futures gained after the Standard & Poor’s 500 Index advanced for a second day. Treasuries took back some of the last session’s gains, which were spurred by crude’s decline to below $30 for the first time in 12 years. The more positive sentiment diminished the appeal of haven currencies, with the yen retreating as Australia’s dollar appreciated.

On the other hand the Royal Bank of Scotland issued some cheery advice:

Investors face a “cataclysmic year” where stock markets could fall by up to 20% and oil could slump to $16 a barrel, economists at the Royal Bank of Scotland have warned.

In a note to its clients the bank said: “Sell everything except high quality bonds. This is about return of capital, not return on capital. In a crowded hall, exit doors are small.” It said the current situation was reminiscent of 2008, when the collapse of the Lehman Brothers investment bank led to the global financial crisis. This time China could be the crisis point.
…
RBS is not the only negative voice at the moment. Analysts at JP Morgan have advised clients to sell stocks on any bounce.

Morgan Stanley has said oil could fall to $20 a barrel, while Standard Chartered has predicted an even bigger slide, to as low as $10. Standard said: “Given that no fundamental relationship is currently driving the oil market towards any equilibrium, prices are being moved almost entirely by financial flows caused by fluctuations in other asset prices, including the US dollar and equity markets.

“We think prices could fall as low as $10 a barrel before most of the money managers in the market conceded that matters had gone too far.”

But in the meantime, Canadian preferred share investors are looking at their account balances:

It was an incredibly horrible day for the Canadian preferred share market, with PerpetualDiscounts down 92bp, FixedResets losing 243bp and DeemedRetractibles off 58bp. The Performance Highlights table is immense, of course, with not a single winner. Volume was extremely high.

All I can think of by way of explanation is that with the dollar down so much due to oil and speculation of a Bank of Canada policy cut in the future, people are getting ever more gloomy about the prospect of five year Canadas ever yielding more than one percent – yields dropped precipitously today to 0.57%, which is below the all-time low (based on BoC weekly data) of 0.62%, reached 2015-2-4. One wonders how many people lost their houses in the tightening of the early eighties and are now getting crushed by loosening in their retirement accounts.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.30 to be $0.79 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.99 cheap at its bid price of 10.30.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 17.50 to be 0.55 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.25 to be 1.49 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.90 to be $1.17 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 18.81 and appears to be $0.80 rich.

FTS.PR.K, with a spread of +205bp, and bid at 17.37, looks $0.68 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.64 and is $0.46 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.62%, with no outliers; note that the vertical axis has been shifted upwards today. There is one junk outlier below -1.50% and one above 0.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.90 %	5.95 %	26,900	16.71	1	-4.2215 %	1,586.9
FixedFloater	7.36 %	6.54 %	32,338	15.52	1	-3.0075 %	2,650.0
Floater	4.52 %	4.69 %	79,057	16.08	4	-3.1467 %	1,692.5
OpRet	0.00 %	0.00 %	0	0.00	0	-0.5113 %	2,722.1
SplitShare	4.85 %	6.02 %	68,527	2.77	6	-0.5113 %	3,185.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.5113 %	2,485.3
Perpetual-Premium	5.92 %	5.74 %	86,220	2.71	6	-0.2887 %	2,494.4
Perpetual-Discount	5.82 %	5.91 %	94,766	14.06	34	-0.9198 %	2,480.4
FixedReset	5.58 %	5.02 %	239,105	14.81	81	-2.4289 %	1,850.7
Deemed-Retractible	5.35 %	5.25 %	121,610	5.27	34	-0.5837 %	2,516.2
FloatingReset	2.93 %	4.91 %	65,755	5.60	13	-1.4163 %	2,015.4

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.P	FixedReset	-7.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.83 Evaluated at bid price : 11.83 Bid-YTW : 4.78 %
TRP.PR.E	FixedReset	-6.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 5.02 %
TRP.PR.A	FixedReset	-6.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 13.58 Evaluated at bid price : 13.58 Bid-YTW : 5.06 %
TRP.PR.B	FixedReset	-6.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 9.96 Evaluated at bid price : 9.96 Bid-YTW : 5.02 %
CCS.PR.C	Deemed-Retractible	-5.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 7.74 %
HSE.PR.A	FixedReset	-5.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.22 Evaluated at bid price : 10.22 Bid-YTW : 5.88 %
HSE.PR.G	FixedReset	-5.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 6.36 %
TRP.PR.G	FixedReset	-5.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.03 Evaluated at bid price : 18.03 Bid-YTW : 5.15 %
MFC.PR.G	FixedReset	-5.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.97 %
TRP.PR.D	FixedReset	-5.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.09 %
BAM.PR.Z	FixedReset	-5.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 5.32 %
TRP.PR.C	FixedReset	-5.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.30 Evaluated at bid price : 10.30 Bid-YTW : 5.35 %
BAM.PR.X	FixedReset	-4.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.08 %
BAM.PR.R	FixedReset	-4.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 5.43 %
BAM.PR.T	FixedReset	-4.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 5.36 %
PWF.PR.A	Floater	-4.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.07 %
BMO.PR.T	FixedReset	-4.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.68 %
RY.PR.M	FixedReset	-4.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.73 %
BAM.PR.E	Ratchet	-4.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 25.00 Evaluated at bid price : 13.84 Bid-YTW : 5.95 %
CM.PR.P	FixedReset	-4.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 4.67 %
TRP.PR.F	FloatingReset	-4.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 12.19 Evaluated at bid price : 12.19 Bid-YTW : 4.86 %
SLF.PR.J	FloatingReset	-3.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.25 Bid-YTW : 10.85 %
IFC.PR.C	FixedReset	-3.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 8.43 %
CM.PR.O	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.57 %
FTS.PR.I	FloatingReset	-3.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.92 Evaluated at bid price : 11.92 Bid-YTW : 3.98 %
HSE.PR.E	FixedReset	-3.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.23 %
BNS.PR.D	FloatingReset	-3.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.54 Bid-YTW : 7.63 %
MFC.PR.L	FixedReset	-3.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 8.11 %
RY.PR.J	FixedReset	-3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.27 Evaluated at bid price : 18.27 Bid-YTW : 4.78 %
IAG.PR.G	FixedReset	-3.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.49 %
BAM.PR.B	Floater	-3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.15 Evaluated at bid price : 10.15 Bid-YTW : 4.69 %
SLF.PR.H	FixedReset	-3.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.13 Bid-YTW : 9.58 %
VNR.PR.A	FixedReset	-3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 5.08 %
RY.PR.Z	FixedReset	-3.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.48 %
BAM.PF.B	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.13 %
TD.PR.Y	FixedReset	-3.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 4.62 %
NA.PR.S	FixedReset	-3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.69 %
BAM.PR.G	FixedFloater	-3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 25.00 Evaluated at bid price : 12.90 Bid-YTW : 6.54 %
ENB.PR.A	Perpetual-Discount	-2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.97 Evaluated at bid price : 22.20 Bid-YTW : 6.28 %
RY.PR.H	FixedReset	-2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.34 Evaluated at bid price : 17.34 Bid-YTW : 4.54 %
PWF.PR.T	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 3.91 %
SLF.PR.I	FixedReset	-2.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.24 %
BMO.PR.W	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.56 %
BAM.PF.G	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 5.14 %
TD.PF.A	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.48 %
GWO.PR.L	Deemed-Retractible	-2.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 6.25 %
CIU.PR.C	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 4.55 %
TD.PF.E	FixedReset	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.59 %
GWO.PR.O	FloatingReset	-2.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.95 Bid-YTW : 11.01 %
BAM.PR.C	Floater	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.05 Evaluated at bid price : 10.05 Bid-YTW : 4.74 %
BMO.PR.Q	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.42 %
BNS.PR.Q	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 4.88 %
BNS.PR.R	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.97 Bid-YTW : 4.76 %
MFC.PR.I	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 7.33 %
TD.PF.B	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.48 %
BAM.PR.N	Perpetual-Discount	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 6.18 %
BIP.PR.B	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.37 Evaluated at bid price : 23.16 Bid-YTW : 5.98 %
BAM.PR.K	Floater	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 9.91 Evaluated at bid price : 9.91 Bid-YTW : 4.80 %
CU.PR.G	Perpetual-Discount	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 5.90 %
BAM.PF.E	FixedReset	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.17 %
BAM.PF.A	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 5.11 %
MFC.PR.K	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.30 Bid-YTW : 8.14 %
TD.PF.D	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.71 %
BMO.PR.S	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.72 Evaluated at bid price : 17.72 Bid-YTW : 4.53 %
NA.PR.W	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 4.63 %
HSE.PR.C	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.05 %
BAM.PR.M	Perpetual-Discount	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 6.20 %
CU.PR.H	Perpetual-Discount	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.64 Evaluated at bid price : 23.00 Bid-YTW : 5.77 %
RY.PR.L	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 4.33 %
RY.PR.K	FloatingReset	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 5.17 %
BIP.PR.A	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.85 %
BNS.PR.Z	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.55 Bid-YTW : 7.41 %
MFC.PR.J	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.41 %
POW.PR.B	Perpetual-Discount	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.97 %
GWO.PR.M	Deemed-Retractible	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 5.92 %
MFC.PR.M	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.22 Bid-YTW : 7.75 %
BMO.PR.Y	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.63 %
GWO.PR.I	Deemed-Retractible	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.70 Bid-YTW : 7.89 %
PVS.PR.E	SplitShare	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 6.49 %
GWO.PR.G	Deemed-Retractible	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.12 Bid-YTW : 7.01 %
MFC.PR.F	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.55 Bid-YTW : 10.03 %
W.PR.H	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.56 Evaluated at bid price : 22.82 Bid-YTW : 6.05 %
FTS.PR.K	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.37 Evaluated at bid price : 17.37 Bid-YTW : 4.25 %
CU.PR.D	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.92 %
FTS.PR.F	Perpetual-Discount	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.53 Evaluated at bid price : 21.79 Bid-YTW : 5.69 %
FTS.PR.M	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.56 %
ELF.PR.G	Perpetual-Discount	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 5.77 %
BAM.PF.D	Perpetual-Discount	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.17 %
W.PR.K	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.64 Evaluated at bid price : 23.70 Bid-YTW : 5.55 %
BNS.PR.P	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 4.26 %
GWO.PR.S	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 6.34 %
POW.PR.D	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.91 %
POW.PR.C	Perpetual-Premium	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 24.05 Evaluated at bid price : 24.30 Bid-YTW : 6.00 %
PWF.PR.K	Perpetual-Discount	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.94 %
TD.PF.C	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.53 %
GWO.PR.N	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.75 Bid-YTW : 10.73 %
BAM.PF.H	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.09 Evaluated at bid price : 24.78 Bid-YTW : 4.99 %
NA.PR.Q	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 4.24 %
TD.PR.Z	FloatingReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 5.01 %
POW.PR.G	Perpetual-Discount	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.29 Evaluated at bid price : 23.73 Bid-YTW : 5.92 %
GWO.PR.Q	Deemed-Retractible	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.18 Bid-YTW : 6.91 %
BAM.PF.F	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.98 %
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 : 20.77 Bid-YTW : 7.53 %
W.PR.J	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 6.10 %
IFC.PR.A	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 9.97 %
CM.PR.Q	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 4.70 %
PWF.PR.O	Perpetual-Premium	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 24.01 Evaluated at bid price : 24.50 Bid-YTW : 5.92 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.T	FloatingReset	300,555	Scotia crossed 300,000 at 21.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 4.58 %
RY.PR.I	FixedReset	232,300	Nesbitt crossed 76,800 at 23.30; RBC crossed 149,900 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 4.56 %
RY.PR.Q	FixedReset	219,115	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.30 Evaluated at bid price : 25.50 Bid-YTW : 5.10 %
IFC.PR.A	FixedReset	131,050	Desjardins crossed 107,000 at 14.85; Nesbitt crossed 15,700 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 9.97 %
BNS.PR.L	Deemed-Retractible	108,575	RBC crossed 71,200 at 24.54. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.41 Bid-YTW : 4.94 %
BAM.PF.H	FixedReset	98,870	Desjardins crossed 71,600 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.09 Evaluated at bid price : 24.78 Bid-YTW : 4.99 %
There were 57 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.C	FixedReset	Quote: 17.20 – 18.99 Spot Rate : 1.7900 Average : 1.0550 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 8.43 %
HSE.PR.C	FixedReset	Quote: 16.50 – 18.31 Spot Rate : 1.8100 Average : 1.1658 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.05 %
PWF.PR.A	Floater	Quote: 11.75 – 13.25 Spot Rate : 1.5000 Average : 0.8901 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.07 %
CCS.PR.C	Deemed-Retractible	Quote: 20.72 – 22.00 Spot Rate : 1.2800 Average : 0.9257 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 7.74 %
PWF.PR.P	FixedReset	Quote: 11.83 – 12.81 Spot Rate : 0.9800 Average : 0.6258 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.83 Evaluated at bid price : 11.83 Bid-YTW : 4.78 %
BNS.PR.A	FloatingReset	Quote: 22.00 – 22.99 Spot Rate : 0.9900 Average : 0.6437 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.68 %