Category: Market Action

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

This has provoked howls of anguish:

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

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

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

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

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

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

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

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.98 %	6.06 %	33,112	16.57	1	-0.3650 %	1,558.0
FixedFloater	7.25 %	6.43 %	35,636	15.72	1	-0.0763 %	2,691.0
Floater	4.34 %	4.46 %	83,721	16.52	4	-0.6391 %	1,760.0
OpRet	4.87 %	4.24 %	25,393	0.69	1	0.0397 %	2,735.4
SplitShare	4.87 %	6.04 %	82,279	1.87	6	-0.0968 %	3,172.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0968 %	2,475.4
Perpetual-Premium	5.82 %	5.89 %	97,851	13.96	7	0.4765 %	2,489.7
Perpetual-Discount	5.77 %	5.84 %	102,586	14.08	33	0.2777 %	2,484.3
FixedReset	5.24 %	4.68 %	271,798	14.86	81	-0.2172 %	1,972.7
Deemed-Retractible	5.22 %	4.88 %	139,760	5.31	33	0.4316 %	2,567.1
FloatingReset	2.79 %	4.26 %	68,255	5.68	11	0.4952 %	2,113.9

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

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

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

The hot news of the day is the FOMC Statement:

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

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

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

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

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

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

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

The telecoms are changing:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.66 to be $1.45 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.12 cheap at its bid price of 12.06.

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.96 %	6.03 %	33,638	16.60	1	0.3663 %	1,563.8
FixedFloater	7.25 %	6.42 %	35,518	15.72	1	1.9440 %	2,693.1
Floater	4.31 %	4.36 %	84,444	16.72	4	0.5739 %	1,771.4
OpRet	4.87 %	4.28 %	26,297	0.69	1	0.0000 %	2,734.3
SplitShare	4.87 %	5.81 %	82,956	1.87	6	0.0415 %	3,175.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0415 %	2,477.8
Perpetual-Premium	5.85 %	5.91 %	98,476	13.90	7	0.5310 %	2,477.8
Perpetual-Discount	5.78 %	5.86 %	104,697	14.05	33	1.0227 %	2,477.5
FixedReset	5.22 %	4.72 %	265,864	15.31	80	3.3632 %	1,977.0
Deemed-Retractible	5.25 %	5.30 %	135,940	5.31	33	0.5933 %	2,556.1
FloatingReset	2.81 %	4.27 %	68,373	5.67	11	1.9011 %	2,103.5

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

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	1,558,368	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 23.17 Evaluated at bid price : 25.10 Bid-YTW : 5.25 %
IFC.PR.A	FixedReset	135,504	Desjardins crossed blocks of 39,600 and 58,100, both at 16.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.24 Bid-YTW : 8.54 %
W.PR.K	FixedReset	102,801	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 22.89 Evaluated at bid price : 24.28 Bid-YTW : 5.36 %
RY.PR.W	Perpetual-Discount	92,464	Nesbitt crossed 75,000 at 21.87. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 21.69 Evaluated at bid price : 21.94 Bid-YTW : 5.63 %
HSE.PR.G	FixedReset	87,537	Scotia crossed 65,600 at 18.72. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.76 %
RY.PR.N	Perpetual-Discount	86,776	Nesbitt crossed 75,000 at 22.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 21.79 Evaluated at bid price : 22.11 Bid-YTW : 5.58 %
There were 93 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.E	Ratchet	Quote: 13.70 – 15.50 Spot Rate : 1.8000 Average : 1.3113 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 25.00 Evaluated at bid price : 13.70 Bid-YTW : 6.03 %
TD.PR.T	FloatingReset	Quote: 22.25 – 23.35 Spot Rate : 1.1000 Average : 0.6731 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 4.07 %
PWF.PR.A	Floater	Quote: 11.75 – 12.75 Spot Rate : 1.0000 Average : 0.6683 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.05 %
IGM.PR.B	Perpetual-Premium	Quote: 24.99 – 25.74 Spot Rate : 0.7500 Average : 0.4456 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 24.70 Evaluated at bid price : 24.99 Bid-YTW : 5.98 %
TD.PR.Z	FloatingReset	Quote: 22.15 – 22.97 Spot Rate : 0.8200 Average : 0.5641 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 4.23 %
VNR.PR.A	FixedReset	Quote: 19.00 – 19.66 Spot Rate : 0.6600 Average : 0.4336 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.88 %

The equities markets did well today:

The Standard & Poor’s 500 Index capped its first back-to-back gains in more than a month as energy companies led a rally with crude oil, while Federal Reserve officials started a two-day meeting at which they’re widely expected to raise interest rates for the first time since 2006.
…
The S&P 500 climbed 1.1 percent to 2,043.41 at 4 p.m. in New York, marking its first consecutive increases since Nov. 3. The Dow Jones Industrial Average rose 156.41 points, or 0.9 percent, to 17,524.91, even as 3M’s retreat amounted to about 63 points off the index. The Nasdaq Composite Index rallied 0.9 percent. About 8.1 billion shares traded hands on U.S. exchanges, 12 percent above the three-month average.
…
Fed officials announce their rate decision tomorrow at 2 p.m. in Washington, and traders are pricing in a 78 percent chance of a liftoff. Data today reinforced expectations for a gradual increase in rates, with the cost of living holding steady in November, underscoring scant inflation that is well below the Fed’s goal. Among the other few economic cues before the rate announcement are reports on housing starts and industrial production Wednesday.

And the junk market is hearing some whispering from bottom feeders:

Amid an almost 6 percent selloff in high-yield debt this year, speculative-grade credit is yielding 3.52 percentage points more than stocks in the Standard & Poor’s 500 Index are earning — the widest spread since 2010, according to data compiled by Bloomberg. Since the start of the 6 1/2-year bull market, junk securities have held an advantage of less than half that — 1.36 percent — over equity counterparts, the data show.

Tracy Alloway of Bloomberg points out that regulations affecting repos indirectly affect corporate bond liquidity:

While the focus, when it comes to a lack of liquidity in the bond market, has often been placed squarely on the shrinking amount of bonds on dealer-bank balance sheets, a further change to the banking business is arguably exacerbating the recent downward spiral in debt. That change is the shrinking of the repo business, which involves banks lending their balance sheets to clients and is often described as the great lubricator for financial markets.

The business has been shrinking in recent years. A huge regulatory overhaul has made repo more expensive in the face of various new mandates, including the leverage ratio and the net stable funding ratio, encouraging banks to pull back on their repo business and helping to push repo rates higher.

Barrick announced pricing for its debt tender deal.

Dominion and Anglo Investment Corporation Limited, which is a major vehicle of the Jackman family, has tightened control of E-L Financial, proud issuer of ELF.PR.F, ELF.PR.G and ELF.PR.H:

Dominion and Anglo Investment Corporation Limited (“Dominion and Anglo”) announces that it acquired a further 80,000 Common Shares of E-L Financial Corporation Limited (“E-L Financial”) (TSX:ELF) (TSX:ELF.PR.F) (TSX:ELF.PR.G) (TSX:ELF.PR.H), increasing its ownership from 1,302,323 (32.4%) of the Common Shares to 1,382,323 (34.39%) of the Common Shares. Dominion and Anglo has an informal understanding with other shareholders of E-L Financial under which they act in concert with respect to the voting of securities of E-L Financial held by them. The purchase increases the ownership of Dominion and Anglo and these other shareholders from 2,748,329 (68.38%) of the Common Shares to 2,828,329 (70.37%) of the Common Shares. The purchase was effected through the facilities of the Toronto Stock Exchange for consideration of $680.00 per share.

But guess what, preferred share fans? Santa came early!

It was an extremely strong day for the Canadian preferred share market … I suspect some major player decided to get in now rather than wait for the end of tax-loss selling season, when every other potential buyer will be in the market while the tax-loss sellers enjoy the holidays. PerpetualDiscounts gained 68bp, FixedResets won 430bp and DeemedRetractibles were up 81bp. The Performance Highlights table is, of course, immense, with no less than 31 issues exceeding the 5% change level that is normally indicative of some kind of problem; there were no losers. Volume continued to be extremely heavy.

For those keeping score, TXPR is now down 5.65% on the month to date, but 3.68% above its low of yesterday.

TXPL is down 7.07% on the month to date, but 5.24% above its low of yesterday.

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.98 %	6.06 %	35,128	16.58	1	3.0189 %	1,558.0
FixedFloater	7.39 %	6.54 %	36,155	15.57	1	0.7048 %	2,641.7
Floater	4.34 %	4.41 %	84,987	16.61	4	3.5910 %	1,761.3
OpRet	4.87 %	4.27 %	27,384	0.70	1	0.0000 %	2,734.3
SplitShare	4.87 %	5.85 %	83,582	1.87	6	0.2237 %	3,174.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2237 %	2,476.8
Perpetual-Premium	5.88 %	5.97 %	91,219	13.86	7	0.0866 %	2,464.8
Perpetual-Discount	5.84 %	5.91 %	103,412	13.96	33	0.6836 %	2,452.4
FixedReset	5.40 %	4.88 %	260,807	15.12	79	4.2975 %	1,912.7
Deemed-Retractible	5.28 %	5.33 %	135,712	5.31	33	0.8071 %	2,541.0
FloatingReset	2.86 %	4.53 %	67,455	5.67	11	0.7549 %	2,064.3

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.N	Perpetual-Discount	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 19.14 Evaluated at bid price : 19.14 Bid-YTW : 6.23 %
SLF.PR.B	Deemed-Retractible	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.37 Bid-YTW : 6.99 %
GWO.PR.G	Deemed-Retractible	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.55 Bid-YTW : 6.66 %
GWO.PR.F	Deemed-Retractible	1.21 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-01-14 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : -2.10 %
BAM.PF.H	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 23.14 Evaluated at bid price : 24.95 Bid-YTW : 4.92 %
CM.PR.O	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 4.78 %
PWF.PR.R	Perpetual-Discount	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 23.20 Evaluated at bid price : 23.60 Bid-YTW : 5.90 %
TD.PR.Z	FloatingReset	1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.77 Bid-YTW : 4.54 %
BMO.PR.R	FloatingReset	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.32 %
SLF.PR.E	Deemed-Retractible	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.23 Bid-YTW : 7.42 %
ELF.PR.G	Perpetual-Discount	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.01 %
SLF.PR.C	Deemed-Retractible	1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.09 Bid-YTW : 7.47 %
SLF.PR.D	Deemed-Retractible	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.96 Bid-YTW : 7.56 %
TD.PR.S	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.08 Bid-YTW : 4.35 %
PVS.PR.E	SplitShare	1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 6.07 %
HSB.PR.D	Deemed-Retractible	1.46 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-01-14 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.83 %
BNS.PR.B	FloatingReset	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.38 Bid-YTW : 4.89 %
ELF.PR.H	Perpetual-Discount	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 22.67 Evaluated at bid price : 23.02 Bid-YTW : 6.07 %
BNS.PR.Y	FixedReset	1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.70 %
CU.PR.I	FixedReset	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 23.04 Evaluated at bid price : 24.65 Bid-YTW : 4.50 %
GWO.PR.H	Deemed-Retractible	1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.41 Bid-YTW : 7.02 %
NA.PR.Q	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 : 4.20 %
SLF.PR.G	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.50 Bid-YTW : 9.11 %
BAM.PF.E	FixedReset	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 5.14 %
TRP.PR.F	FloatingReset	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 13.02 Evaluated at bid price : 13.02 Bid-YTW : 4.53 %
CM.PR.P	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.80 %
W.PR.H	Perpetual-Discount	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 22.14 Evaluated at bid price : 22.42 Bid-YTW : 6.24 %
NA.PR.W	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.91 %
BMO.PR.Z	Perpetual-Discount	1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 22.52 Evaluated at bid price : 22.85 Bid-YTW : 5.51 %
NA.PR.S	FixedReset	2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.93 %
GWO.PR.I	Deemed-Retractible	2.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.38 Bid-YTW : 7.32 %
W.PR.J	Perpetual-Discount	2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 22.36 Evaluated at bid price : 22.63 Bid-YTW : 6.30 %
RY.PR.Z	FixedReset	2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.54 %
MFC.PR.H	FixedReset	2.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.12 %
BMO.PR.T	FixedReset	2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 4.69 %
RY.PR.H	FixedReset	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.58 %
BNS.PR.P	FixedReset	2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 4.04 %
CIU.PR.C	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 13.33 Evaluated at bid price : 13.33 Bid-YTW : 4.03 %
TRP.PR.H	FloatingReset	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 9.93 Evaluated at bid price : 9.93 Bid-YTW : 4.33 %
MFC.PR.F	FixedReset	2.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.95 Bid-YTW : 9.68 %
TRP.PR.A	FixedReset	2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.68 %
TD.PF.B	FixedReset	2.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 4.61 %
BAM.PF.F	FixedReset	2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.01 %
BAM.PR.E	Ratchet	3.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 25.00 Evaluated at bid price : 13.65 Bid-YTW : 6.06 %
BMO.PR.W	FixedReset	3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 4.66 %
BIP.PR.A	FixedReset	3.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 5.77 %
BNS.PR.Q	FixedReset	3.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.04 Bid-YTW : 4.61 %
RY.PR.M	FixedReset	3.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.33 Evaluated at bid price : 18.33 Bid-YTW : 4.72 %
TRP.PR.G	FixedReset	3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.88 %
PWF.PR.T	FixedReset	3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 21.42 Evaluated at bid price : 21.76 Bid-YTW : 3.80 %
BMO.PR.Q	FixedReset	3.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.68 Bid-YTW : 6.44 %
RY.PR.J	FixedReset	3.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.78 %
BAM.PF.G	FixedReset	3.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.97 %
BNS.PR.Z	FixedReset	3.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.84 Bid-YTW : 7.36 %
HSE.PR.G	FixedReset	3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 6.03 %
TD.PF.A	FixedReset	3.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 4.53 %
CU.PR.C	FixedReset	3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.50 %
HSE.PR.E	FixedReset	3.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.96 %
TD.PF.C	FixedReset	3.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.39 Evaluated at bid price : 17.39 Bid-YTW : 4.62 %
RY.PR.L	FixedReset	3.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 4.08 %
TD.PF.E	FixedReset	4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 4.67 %
HSE.PR.C	FixedReset	4.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.95 %
BAM.PR.B	Floater	4.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.41 %
BAM.PR.C	Floater	4.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.50 %
BAM.PR.X	FixedReset	4.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 13.36 Evaluated at bid price : 13.36 Bid-YTW : 5.10 %
GWO.PR.N	FixedReset	4.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.10 Bid-YTW : 10.21 %
TRP.PR.E	FixedReset	4.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.60 %
RY.PR.I	FixedReset	4.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 4.27 %
FTS.PR.G	FixedReset	4.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.62 %
BAM.PF.A	FixedReset	4.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 5.11 %
BAM.PF.B	FixedReset	5.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 5.01 %
VNR.PR.A	FixedReset	5.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 4.97 %
BMO.PR.Y	FixedReset	5.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.57 %
TRP.PR.C	FixedReset	5.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 4.97 %
SLF.PR.I	FixedReset	5.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 7.03 %
BMO.PR.M	FixedReset	5.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.77 Bid-YTW : 3.80 %
BNS.PR.R	FixedReset	5.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.82 Bid-YTW : 4.26 %
TD.PF.D	FixedReset	5.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 19.28 Evaluated at bid price : 19.28 Bid-YTW : 4.67 %
BAM.PR.R	FixedReset	5.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 5.19 %
SLF.PR.H	FixedReset	5.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.45 Bid-YTW : 8.47 %
BAM.PR.T	FixedReset	5.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 15.73 Evaluated at bid price : 15.73 Bid-YTW : 5.03 %
TRP.PR.D	FixedReset	6.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.57 Evaluated at bid price : 17.57 Bid-YTW : 4.75 %
FTS.PR.K	FixedReset	6.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.19 %
BAM.PR.K	Floater	6.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 10.66 Evaluated at bid price : 10.66 Bid-YTW : 4.43 %
MFC.PR.K	FixedReset	6.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.41 %
BMO.PR.S	FixedReset	6.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 4.58 %
BAM.PR.Z	FixedReset	7.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 5.09 %
FTS.PR.M	FixedReset	7.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 4.38 %
CM.PR.Q	FixedReset	7.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.72 %
MFC.PR.L	FixedReset	7.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.47 Bid-YTW : 7.35 %
TRP.PR.B	FixedReset	7.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 4.57 %
IAG.PR.G	FixedReset	7.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.45 Bid-YTW : 6.39 %
MFC.PR.M	FixedReset	7.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.34 %
MFC.PR.J	FixedReset	8.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.50 %
HSE.PR.A	FixedReset	8.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 5.42 %
IFC.PR.C	FixedReset	8.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.05 Bid-YTW : 7.06 %
MFC.PR.N	FixedReset	8.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.19 %
MFC.PR.G	FixedReset	9.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.52 Bid-YTW : 6.38 %
IFC.PR.A	FixedReset	9.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.64 Bid-YTW : 9.05 %
MFC.PR.I	FixedReset	9.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.03 Bid-YTW : 6.09 %
FTS.PR.H	FixedReset	11.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 4.02 %

Volume Highlights
Issue	Index	Shares Traded	Notes
W.PR.K	FixedReset	241,305	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 22.81 Evaluated at bid price : 24.10 Bid-YTW : 5.41 %
GWO.PR.N	FixedReset	119,159	Scotia crossed 10,000 at 12.67. RBC sold blocks of 58,700 and 20,000 to anonymous, both at 13.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.10 Bid-YTW : 10.21 %
BAM.PF.A	FixedReset	77,694	Scotia crossed 30,000 at 18.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 5.11 %
MFC.PR.F	FixedReset	72,914	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.95 Bid-YTW : 9.68 %
CM.PR.O	FixedReset	69,950	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 4.78 %
BAM.PR.R	FixedReset	63,185	Scotia crossed 22,300 at 14.76. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 5.19 %
There were 87 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.G	FixedFloater	Quote: 12.86 – 14.50 Spot Rate : 1.6400 Average : 0.9694 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 25.00 Evaluated at bid price : 12.86 Bid-YTW : 6.54 %
MFC.PR.H	FixedReset	Quote: 21.35 – 22.33 Spot Rate : 0.9800 Average : 0.5651 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.12 %
PWF.PR.P	FixedReset	Quote: 13.01 – 13.75 Spot Rate : 0.7400 Average : 0.4394 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-15 Maturity Price : 13.01 Evaluated at bid price : 13.01 Bid-YTW : 4.58 %
MFC.PR.M	FixedReset	Quote: 18.75 – 19.61 Spot Rate : 0.8600 Average : 0.5880 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.34 %
SLF.PR.I	FixedReset	Quote: 19.25 – 20.00 Spot Rate : 0.7500 Average : 0.4837 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 7.03 %
BNS.PR.P	FixedReset	Quote: 23.76 – 24.48 Spot Rate : 0.7200 Average : 0.4757 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 4.04 %

Mohamed A. El-Erian commented on the Third Avenue fund closure:

The scale of the accident increases significantly if individual managers within the asset class have ventured to more exotic and less liquid securities in search of returns. I don’t mean to say that it isn’t worthwhile to pursue such investments, especially when underpinned by solid credit research. It is, but in the proper context and size. Such investments can be particularly dangerous to an open-fund structure during periods of market dislocations if a significant part of the investor base acts on the belief that daily liquidity for exit is available at a decent valuation.
…
Depending on how far the situation deteriorates, price overshoots can take valuations well beyond what is warranted by credit and economic fundamentals, as well as fuel contagion within the asset class. Then, investor outflows are likely to accelerate further, putting pressure on both liquid and illiquid names. And even though the turmoil can create attractive investment opportunities, fresh cash takes time to engage.

The greater the dislocation of the asset class, the higher the risk of spillovers to other types of investments, starting with the asset classes that share the same characteristics of credit, default and liquidity risks.

Broker-dealers will be less willing and able to act as stabilizers by stepping up with their own balance sheets. Both regulatory and market forces have limited their appetite for this countercyclical role. In addition, their willingness to accumulate such inventory decreases as we get closer to the close of their fiscal year (which, for many, is December).

There’s one casualty already:

Third Avenue Management is parting ways with Chief Executive Officer David M. Barse after he announced plans last week to freeze redemptions in its troubled high-yield mutual fund, the Wall Street Journal reported, citing unidentified people familiar with the matter.

Barse was let go and isn’t allowed back in the building, the newspaper said, citing a security guard at the firm’s New York headquarters. Daniel Gagnier, a spokesman for Third Avenue, declined to comment when reached by Bloomberg. Barse didn’t respond to messages left at his home over the weekend.

A C.D.Howe paper by Craig Alexander and Paul Jacobson titled Mortgaged to the Hilt: Risks From The Distribution of Household Mortgage Debt has some interesting things to say:

The National Balance Sheet Accounts show the dramatic rise of household mortgage debt growth since 1999, jumping from $375 billion to $1.16 trillion in 2014. The increasing size of mortgages was clearly tied to rising demand and soaring cost for residential real estate. From 1999 to 2014, national average resale home prices soared by 158 percent, requiring larger mortgages for many buyers.
…
According to the national average data from the National Balance Sheet Accounts, mortgage debt as a share of disposable income climbed from 66 percent in 1999 to 99 percent in 2012 and reached 104 percent in 2014. But, these economy-wide averages understate the degree of financial risk for those that carried mortgages because they divide the value of mortgages across the income of households with and without mortgages.

The SFS data show that primary mortgages have increased significantly. The primary mortgage debt-to-disposable income ratio has climbed from 144 percent of income in 1999 to 204 percent in 2012. However, this also understates the degree of financial risk for a significant minority of households. The share of exceptionally high mortgage-leverage households has increased. This can be seen in the ratio of primary residence mortgage debt to after-tax income across mortgaged households. In 1999, 12.6 percent of households had mortgages that exceeded 300 percent of disposable income (Figure 1). By 2012, the share had reached 27.4 percent. And, the share of households with mortgages at 500 percent or more of disposable income has climbed from 3.4 percent in 1999 to 10.8 percent in 2012. The underlying story is that as older, smaller mortgages were paid off, they were replaced by larger new mortgages reflecting the increase in home prices that has far outpaced household income growth.

And it looks like OSFI’s contemplating making mortgage applications even more of a paperwork nightmare than they are already:

Canada’s banking and insurance regulator highlighted fraudulent mortgage practices as a key threat to the country’s financial system, prompting consultations with lenders over how to ensure that the system can withstand a severe housing market downturn.

“It has come to light that institutions have been, I would say inadvertently, making mortgages to people whose income has been falsified,” said Jeremy Rudin, superintendent of financial institutions.

“One of things we’ve been doing is encouraging sound risk management. And as we set out in our guideline on mortgage underwriting, income verification – checking to make sure the borrower has the ability to carry the loan – is an important part of sound underwriting.”

Decisions, decisions…:

As the Treasury Department ponders which American woman should be featured on the $10 bill, an abundance of ideas is delaying the decision until next year.

The department is taking additional time to consider a range of options after receiving more suggestions than originally expected, the Treasury said Friday in an e-mailed statement. Secretary Jacob Lew is now expected to announce the choice in 2016.

I vote for Scarlett Johansson, nude.

But such happy thoughts are interrupted by warning stickers that might be put on preferred share buy confirmations soon:

It was an utterly appalling day for the Canadian preferred share market, with PerpetualDiscounts down 84bp, FixedResets losing 194bp and DeemedRetractibles off 44bp. What can I say about the Performance Highlights table. “It is long”? How does that sound? Volume was enormous again.

For those keeping score, TXPR is now down 9.00% on the month to date and is now 1.07% below the low of October 14.

TXPL is down about 11.70% on the month to date and is 2.50% below the low the October 14.

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 17.60 to be $1.26 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.08 cheap at its bid price of 11.10.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 20.85 to be 0.73 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.81 to be 0.68 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.12 to be $1.04 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 18.60 and appears to be $0.79 rich.

FTS.PR.K, with a spread of +205bp, and bid at 16.93, looks $0.82 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.75 and is $0.79 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.09%, with no outliers. There is one junk outlier below -1.00% and one above +1.00%. Note the vertical axis of this graph has been changed.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.13 %	6.24 %	33,251	16.36	1	-0.3759 %	1,512.4
FixedFloater	7.44 %	6.59 %	33,611	15.52	1	-0.6226 %	2,623.3
Floater	4.49 %	4.61 %	85,427	16.24	4	-0.9656 %	1,700.2
OpRet	4.87 %	4.25 %	28,516	0.70	1	0.0000 %	2,734.3
SplitShare	4.88 %	5.85 %	84,172	1.88	6	-0.5928 %	3,167.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.5928 %	2,471.3
Perpetual-Premium	5.88 %	5.95 %	91,987	13.85	7	-0.0750 %	2,462.6
Perpetual-Discount	5.88 %	5.96 %	102,618	13.90	33	-0.8390 %	2,435.7
FixedReset	5.63 %	5.06 %	254,121	14.65	78	-1.9400 %	1,833.9
Deemed-Retractible	5.32 %	5.88 %	135,492	7.03	33	-0.4371 %	2,520.7
FloatingReset	2.88 %	4.62 %	64,478	5.67	11	-1.0367 %	2,048.8

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.N	FixedReset	-7.26 %	A little bit real, but not quite as bad as it looks. The issue traded 32,758 shares in a range of 12.87-77 before closing at 12.52-75, 2×3 … so while the bid is reasonable compared to the offer, the offer is below the low for the day, which is less reasonable. The last trade of the day was at 13.04, timestamped 3:58, for 100 shares. VWAP was 13.23. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.52 Bid-YTW : 10.80 %
HSE.PR.A	FixedReset	-6.68 %	Quite real enough! The issue traded 19,609 shares today in a range of 10.61-40 before closing at 10.61-02, 2×4. There were six trades totalling 900 shares timestamped 3:59 done at 10.61. VWAP was 10.99. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 10.61 Evaluated at bid price : 10.61 Bid-YTW : 5.88 %
W.PR.J	Perpetual-Discount	-6.54 %	Not real. The issue traded 1,100 shares today in a range of 23.10-26 before closing at 22.16-08, 6×6. The last trade of the day was for 100 shares at 23.10, timestamped 3:47. VWAP was 23.22. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.92 Evaluated at bid price : 22.16 Bid-YTW : 6.43 %
W.PR.H	Perpetual-Discount	-6.46 %	Not real, as the issue traded 1,335 shares in a range of 22.92-50 before closing at 22.56-80, 12×10. It will be noted that here I am reporting a 22.56 closing bid and using a 22.00 bid for calculation purposes. Well, all I can say is that the 22.00 is what I have bought from the Toronto Exchange at great expense, and the 22.56 is what they report on their website. I suppose the National Best Bid was on another exchange. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.36 %
TRP.PR.C	FixedReset	-6.01 %	It looks like this issue was targeted by the seller who took the market down late in the day, as the last twenty-four trades all list “anonymous” as the seller. These trades started at 3:51 at a price of 11.13 and lasted until 3:59 at 11.12 – most of the trades were executed above these levels. These trades totalled 3,000 shares, vs. 28,104 on the day. The day’s VWAP was 11.53. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 11.10 Evaluated at bid price : 11.10 Bid-YTW : 5.24 %
BIP.PR.B	FixedReset	-4.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.91 Evaluated at bid price : 22.40 Bid-YTW : 6.17 %
PWF.PR.P	FixedReset	-4.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 12.90 Evaluated at bid price : 12.90 Bid-YTW : 4.62 %
TRP.PR.D	FixedReset	-4.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 5.06 %
CIU.PR.C	FixedReset	-4.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 4.14 %
BMO.PR.S	FixedReset	-4.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.77 Evaluated at bid price : 16.77 Bid-YTW : 4.90 %
BNS.PR.Z	FixedReset	-4.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.20 Bid-YTW : 7.99 %
HSE.PR.C	FixedReset	-4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.32 Evaluated at bid price : 16.32 Bid-YTW : 6.20 %
PWF.PR.T	FixedReset	-3.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 3.96 %
TRP.PR.A	FixedReset	-3.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 14.59 Evaluated at bid price : 14.59 Bid-YTW : 4.81 %
MFC.PR.F	FixedReset	-3.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.58 Bid-YTW : 10.04 %
IFC.PR.A	FixedReset	-3.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.32 Bid-YTW : 10.28 %
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 : 19.17 Bid-YTW : 7.36 %
TRP.PR.B	FixedReset	-3.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.92 %
BNS.PR.R	FixedReset	-3.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.53 Bid-YTW : 5.30 %
MFC.PR.G	FixedReset	-3.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.81 Bid-YTW : 7.57 %
BAM.PR.R	FixedReset	-2.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 14.12 Evaluated at bid price : 14.12 Bid-YTW : 5.50 %
BNS.PR.Y	FixedReset	-2.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 6.98 %
BMO.PR.Y	FixedReset	-2.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 4.82 %
PVS.PR.D	SplitShare	-2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 7.25 %
BMO.PR.T	FixedReset	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.67 Evaluated at bid price : 16.67 Bid-YTW : 4.80 %
BMO.PR.W	FixedReset	-2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 4.81 %
CU.PR.C	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.36 Evaluated at bid price : 17.36 Bid-YTW : 4.67 %
CM.PR.P	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.44 Evaluated at bid price : 16.44 Bid-YTW : 4.90 %
RY.PR.I	FixedReset	-2.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.11 %
FTS.PR.H	FixedReset	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 12.77 Evaluated at bid price : 12.77 Bid-YTW : 4.48 %
CM.PR.Q	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 5.06 %
CU.PR.I	FixedReset	-2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 22.89 Evaluated at bid price : 24.25 Bid-YTW : 4.59 %
BMO.PR.M	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 4.81 %
NA.PR.W	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 5.01 %
TRP.PR.E	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.82 %
PWF.PR.A	Floater	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.05 %
RY.PR.L	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 4.82 %
NA.PR.Q	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 4.52 %
SLF.PR.H	FixedReset	-2.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.53 Bid-YTW : 9.25 %
TD.PF.E	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.86 %
RY.PR.M	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.76 Evaluated at bid price : 17.76 Bid-YTW : 4.88 %
BNS.PR.Q	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.33 Bid-YTW : 5.19 %
RY.PR.J	FixedReset	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.94 %
BMO.PR.Z	Perpetual-Discount	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 22.09 Evaluated at bid price : 22.41 Bid-YTW : 5.62 %
TD.PR.Z	FloatingReset	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.48 Bid-YTW : 4.78 %
MFC.PR.N	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.31 Bid-YTW : 8.37 %
MFC.PR.J	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 7.57 %
CM.PR.O	FixedReset	-1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.85 %
RY.PR.A	Deemed-Retractible	-1.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 5.13 %
TRP.PR.F	FloatingReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 4.62 %
HSE.PR.G	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.26 %
BAM.PR.Z	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 5.45 %
BIP.PR.A	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.95 %
FTS.PR.G	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.85 %
IAG.PR.G	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.40 %
SLF.PR.J	FloatingReset	-1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.72 Bid-YTW : 10.26 %
TRP.PR.H	FloatingReset	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 9.68 Evaluated at bid price : 9.68 Bid-YTW : 4.44 %
TD.PF.B	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 4.75 %
TD.PF.C	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 4.80 %
ELF.PR.H	Perpetual-Discount	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 22.37 Evaluated at bid price : 22.66 Bid-YTW : 6.17 %
GWO.PR.F	Deemed-Retractible	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 6.02 %
BAM.PR.X	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 5.34 %
PVS.PR.C	SplitShare	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.41 Bid-YTW : 6.21 %
NA.PR.S	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.03 %
BNS.PR.P	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.18 Bid-YTW : 4.49 %
FTS.PR.I	FloatingReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 4.17 %
CIU.PR.A	Perpetual-Discount	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 5.78 %
RY.PR.O	Perpetual-Discount	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.50 Evaluated at bid price : 21.80 Bid-YTW : 5.66 %
TD.PR.Y	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.60 %
GWO.PR.G	Deemed-Retractible	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 6.81 %
TD.PF.F	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.60 Evaluated at bid price : 21.93 Bid-YTW : 5.65 %
BAM.PF.H	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 23.04 Evaluated at bid price : 24.65 Bid-YTW : 4.99 %
MFC.PR.M	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.38 Bid-YTW : 8.39 %
BNS.PR.D	FloatingReset	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.86 Bid-YTW : 7.30 %
TD.PF.A	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.70 %
BMO.PR.R	FloatingReset	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 4.56 %
BAM.PF.A	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.36 %
GWO.PR.I	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.96 Bid-YTW : 7.61 %
FTS.PR.J	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 5.69 %
RY.PR.F	Deemed-Retractible	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 5.06 %
IFC.PR.C	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 8.22 %
RY.PR.P	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 24.04 Evaluated at bid price : 24.40 Bid-YTW : 5.47 %
MFC.PR.K	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.10 Bid-YTW : 8.30 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Z	FixedReset	94,695	GMP bought blocks of 18,400 and 16,900 from National at 17.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.65 %
TRP.PR.A	FixedReset	69,180	RBC crossed 50,400 at 15.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 14.59 Evaluated at bid price : 14.59 Bid-YTW : 4.81 %
TRP.PR.F	FloatingReset	59,315	RBC crossed 53,000 at 12.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 4.62 %
TRP.PR.D	FixedReset	56,782	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 5.06 %
BAM.PF.H	FixedReset	54,415	Nesbitt crossed 25,000 at 24.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 23.04 Evaluated at bid price : 24.65 Bid-YTW : 4.99 %
NA.PR.S	FixedReset	53,016	Nesbitt crossed 29,000 at 16.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.03 %
There were 82 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BIP.PR.B	FixedReset	Quote: 22.40 – 23.40 Spot Rate : 1.0000 Average : 0.5767 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.91 Evaluated at bid price : 22.40 Bid-YTW : 6.17 %
W.PR.J	Perpetual-Discount	Quote: 22.16 – 23.08 Spot Rate : 0.9200 Average : 0.5539 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.92 Evaluated at bid price : 22.16 Bid-YTW : 6.43 %
W.PR.H	Perpetual-Discount	Quote: 22.00 – 22.80 Spot Rate : 0.8000 Average : 0.4906 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.36 %
BMO.PR.S	FixedReset	Quote: 16.77 – 17.30 Spot Rate : 0.5300 Average : 0.3183 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.77 Evaluated at bid price : 16.77 Bid-YTW : 4.90 %
CIU.PR.C	FixedReset	Quote: 13.00 – 13.79 Spot Rate : 0.7900 Average : 0.5804 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 4.14 %
CM.PR.Q	FixedReset	Quote: 17.81 – 18.46 Spot Rate : 0.6500 Average : 0.4432 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 5.06 %

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

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

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

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

The backgrounder reveals nothing relevant:

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

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

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

And the FAQs are puerile:

Why is the Government making this change at this time?

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

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

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

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

But the cheerleaders were out in force:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

… and this map of US federal programmes:

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

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

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

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

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

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

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

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

Here’s TRP:

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.11 %	6.21 %	33,729	16.39	1	1.0638 %	1,518.1
FixedFloater	7.39 %	6.55 %	33,493	15.58	1	-2.5038 %	2,639.7
Floater	4.45 %	4.63 %	86,239	16.21	4	-1.5309 %	1,716.8
OpRet	4.87 %	4.20 %	28,843	0.71	1	0.0000 %	2,734.3
SplitShare	4.85 %	5.62 %	84,680	1.89	6	-0.5335 %	3,186.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.5335 %	2,486.0
Perpetual-Premium	5.88 %	5.94 %	93,087	13.89	7	0.2430 %	2,464.5
Perpetual-Discount	5.83 %	5.91 %	102,793	13.96	33	0.3315 %	2,456.3
FixedReset	5.52 %	4.90 %	258,329	14.80	78	-0.1508 %	1,870.1
Deemed-Retractible	5.30 %	5.46 %	136,053	5.32	33	0.4072 %	2,531.7
FloatingReset	2.85 %	4.44 %	64,555	5.68	11	-0.4301 %	2,070.3

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

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.A	FloatingReset	378,986	TD crossed blocks of 80,476 and 284,943, both at 22.82. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 4.07 %
PWF.PR.K	Perpetual-Discount	305,430	Nesbitt crossed 300,000 at 21.46. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 5.86 %
PWF.PR.E	Perpetual-Discount	301,700	Nesbitt crossed 300,000 at 23.36. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 23.10 Evaluated at bid price : 23.36 Bid-YTW : 5.96 %
PWF.PR.S	Perpetual-Discount	213,165	Nesbitt crossed 200,000 at 20.82. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.91 %
BAM.PR.K	Floater	211,400	TD crossed 200,000 at 10.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 10.10 Evaluated at bid price : 10.10 Bid-YTW : 4.68 %
BAM.PR.C	Floater	207,699	TD crossed 200,000 at 10.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 10.15 Evaluated at bid price : 10.15 Bid-YTW : 4.65 %
PWF.PR.L	Perpetual-Discount	203,425	Nesbitt crossed 200,000 at 21.82. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 21.57 Evaluated at bid price : 21.83 Bid-YTW : 5.91 %
CU.PR.I	FixedReset	149,244	Desardins crossed 50,000 at 24.90. Scotia crossed blocks of 25,000 and 50,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 23.09 Evaluated at bid price : 24.80 Bid-YTW : 4.46 %
TD.PF.B	FixedReset	109,519	Nesbitt crossed 65,700 at 17.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 4.67 %
FTS.PR.E	OpRet	100,400	Scotia crossed 100,000 at 25.22. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2016-08-31 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 4.20 %
There were 77 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
RY.PR.L	FixedReset	Quote: 24.37 – 25.00 Spot Rate : 0.6300 Average : 0.3805 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.37 Bid-YTW : 4.40 %
CIU.PR.A	Perpetual-Discount	Quote: 20.36 – 21.19 Spot Rate : 0.8300 Average : 0.6453 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 5.70 %
HSE.PR.C	FixedReset	Quote: 17.00 – 17.50 Spot Rate : 0.5000 Average : 0.3312 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.95 %
GWO.PR.M	Deemed-Retractible	Quote: 24.81 – 25.26 Spot Rate : 0.4500 Average : 0.2836 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 5.90 %
TD.PF.E	FixedReset	Quote: 19.38 – 19.90 Spot Rate : 0.5200 Average : 0.3627 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 4.76 %
MFC.PR.G	FixedReset	Quote: 19.43 – 19.97 Spot Rate : 0.5400 Average : 0.4013 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.43 Bid-YTW : 7.12 %

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

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

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

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

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

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

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

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

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

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

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

From her statement:

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

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

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

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

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

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

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.17 %	6.28 %	33,816	16.31	1	-3.5897 %	1,502.1
FixedFloater	7.21 %	6.38 %	33,212	15.78	1	-0.9023 %	2,707.5
Floater	4.34 %	4.56 %	80,043	16.21	4	-3.2889 %	1,743.5
OpRet	4.87 %	4.18 %	26,709	0.71	1	0.0000 %	2,734.3
SplitShare	4.82 %	5.46 %	83,698	2.86	6	0.0342 %	3,203.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0342 %	2,499.3
Perpetual-Premium	5.89 %	5.96 %	95,099	13.84	7	-0.1387 %	2,458.5
Perpetual-Discount	5.84 %	5.94 %	100,369	13.95	33	-0.2700 %	2,448.2
FixedReset	5.50 %	5.04 %	259,405	14.40	78	-0.0913 %	1,873.0
Deemed-Retractible	5.31 %	5.48 %	137,966	5.32	33	0.2263 %	2,521.5
FloatingReset	2.83 %	4.33 %	66,482	5.69	11	-0.8330 %	2,079.2

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

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

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

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

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

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

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

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

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

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

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

Gold Trust, regrettably, was silent.

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

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

PerpetualDiscounts now yield 5.91%, equivalent to 7.68% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.2%, so the pre-tax interest-equivalent spread [in this context, the “Seniority Spread”] is now about 345bp, an incredibly high number, representing an explosive widening from the 310bp reported December 2.

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

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

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

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

Here’s TRP:

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.98 %	6.05 %	34,207	16.59	1	1.1111 %	1,558.0
FixedFloater	7.14 %	6.32 %	32,909	15.86	1	-1.4815 %	2,732.1
Floater	4.20 %	4.39 %	75,601	16.53	4	1.5801 %	1,802.8
OpRet	4.87 %	4.17 %	27,812	0.71	1	0.0000 %	2,734.3
SplitShare	4.82 %	5.25 %	84,704	2.86	6	0.3504 %	3,202.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3504 %	2,498.5
Perpetual-Premium	5.89 %	5.96 %	95,692	13.88	7	-0.4143 %	2,461.9
Perpetual-Discount	5.83 %	5.91 %	99,616	14.00	33	-0.9342 %	2,454.8
FixedReset	5.49 %	5.06 %	253,245	14.45	78	-1.3343 %	1,874.7
Deemed-Retractible	5.33 %	5.51 %	133,768	5.33	33	-0.4532 %	2,515.8
FloatingReset	2.80 %	4.29 %	64,866	5.69	11	-0.6531 %	2,096.7

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

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

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