Category: Market Action

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

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

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

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

And junk bond illiquidity is attracting notice:

Sinkholes are popping up in the credit market.

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

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

So why the precipitous drops without warning?

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

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

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

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

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

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

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

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

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.88 %	5.92 %	34,940	16.76	1	-8.5902 %	1,591.1
FixedFloater	6.55 %	5.78 %	29,545	16.54	1	-2.8131 %	2,980.7
Floater	4.44 %	4.50 %	84,051	16.33	3	-2.5351 %	1,777.7
OpRet	4.86 %	3.96 %	30,750	0.73	1	-0.1586 %	2,736.5
SplitShare	4.76 %	5.54 %	127,978	4.31	5	-0.0821 %	3,215.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0821 %	2,508.8
Perpetual-Premium	5.78 %	2.11 %	90,391	0.08	6	-0.3343 %	2,514.5
Perpetual-Discount	5.63 %	5.68 %	92,392	14.28	33	-0.7615 %	2,543.4
FixedReset	5.19 %	4.84 %	225,372	14.76	76	-1.9241 %	1,979.4
Deemed-Retractible	5.22 %	5.30 %	126,490	5.35	33	-1.0284 %	2,568.0
FloatingReset	2.66 %	3.81 %	63,333	5.72	10	-0.1030 %	2,168.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.G	FixedReset	-27.91 %	A nonsensical result, as the issue traded 17,784 shares in a range of 19.70-20.73 before closing at 14.85-20.19. It looks like there were nine timed or algorithmic sales of 100 shares each at 3:59 out of an anonymous broker [and three more out of Laurentian], which took the price down from 20.21 as of the prior trade at 3:50 to 19.70, at which point they stopped – whether due to algorithmic interruption of the programme or whether the sales were exhausted cannot be determined from the data. Anyway, it looks like these sales eroded the bid. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 6.86 %
BAM.PR.E	Ratchet	-8.59 %	More nonsense from Nonsense Central, as the issue traded 1700 shares in a range of 15.00-35 before closing at 13.94-15.23, 4×4. The last trade of the day was 700 shares changing hands at the low, timestamped 3:41pm. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 25.00 Evaluated at bid price : 13.94 Bid-YTW : 5.92 %
BAM.PR.B	Floater	-4.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 10.63 Evaluated at bid price : 10.63 Bid-YTW : 4.50 %
BAM.PF.A	FixedReset	-4.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.27 %
MFC.PR.J	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 6.72 %
CU.PR.C	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.57 %
MFC.PR.H	FixedReset	-3.85 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.54 %
BAM.PR.C	Floater	-3.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 10.56 Evaluated at bid price : 10.56 Bid-YTW : 4.54 %
IAG.PR.G	FixedReset	-3.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 6.13 %
FTS.PR.G	FixedReset	-3.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.84 %
BAM.PR.Z	FixedReset	-3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.26 %
MFC.PR.G	FixedReset	-3.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 6.11 %
BAM.PF.F	FixedReset	-3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.06 %
SLF.PR.I	FixedReset	-3.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.53 Bid-YTW : 6.30 %
MFC.PR.I	FixedReset	-3.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.32 Bid-YTW : 6.03 %
MFC.PR.N	FixedReset	-3.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.31 Bid-YTW : 6.93 %
FTS.PR.M	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 4.71 %
GWO.PR.H	Deemed-Retractible	-3.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.30 Bid-YTW : 7.06 %
ELF.PR.G	Perpetual-Discount	-3.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.64 Evaluated at bid price : 20.64 Bid-YTW : 5.85 %
SLF.PR.C	Deemed-Retractible	-2.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.89 Bid-YTW : 7.57 %
IFC.PR.C	FixedReset	-2.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 7.89 %
MFC.PR.K	FixedReset	-2.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.10 Bid-YTW : 7.62 %
SLF.PR.A	Deemed-Retractible	-2.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.23 Bid-YTW : 6.99 %
GWO.PR.G	Deemed-Retractible	-2.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 6.53 %
MFC.PR.C	Deemed-Retractible	-2.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.34 Bid-YTW : 7.34 %
BAM.PR.G	FixedFloater	-2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 25.00 Evaluated at bid price : 14.51 Bid-YTW : 5.78 %
SLF.PR.B	Deemed-Retractible	-2.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 6.94 %
SLF.PR.H	FixedReset	-2.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 7.72 %
BMO.PR.Y	FixedReset	-2.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 4.56 %
PWF.PR.P	FixedReset	-2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 4.59 %
RY.PR.M	FixedReset	-2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.61 %
FTS.PR.K	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 4.44 %
TRP.PR.H	FloatingReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 10.37 Evaluated at bid price : 10.37 Bid-YTW : 4.16 %
BAM.PR.X	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 5.09 %
TRP.PR.G	FixedReset	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.95 %
HSE.PR.C	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 5.38 %
PWF.PR.S	Perpetual-Discount	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 21.19 Evaluated at bid price : 21.19 Bid-YTW : 5.74 %
GWO.PR.I	Deemed-Retractible	-2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.79 Bid-YTW : 7.01 %
BAM.PF.B	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.18 %
PWF.PR.R	Perpetual-Discount	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 23.63 Evaluated at bid price : 24.10 Bid-YTW : 5.76 %
NA.PR.S	FixedReset	-2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 4.88 %
RY.PR.W	Perpetual-Discount	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.50 %
IFC.PR.A	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.88 Bid-YTW : 9.28 %
BAM.PR.T	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 5.50 %
SLF.PR.E	Deemed-Retractible	-1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.24 Bid-YTW : 7.38 %
GWO.PR.R	Deemed-Retractible	-1.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.44 Bid-YTW : 6.91 %
MFC.PR.B	Deemed-Retractible	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 7.05 %
BAM.PF.E	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.14 %
BMO.PR.T	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.64 %
SLF.PR.D	Deemed-Retractible	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.09 Bid-YTW : 7.43 %
TRP.PR.E	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.75 %
FTS.PR.H	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 4.33 %
TD.PF.D	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 4.65 %
TD.PF.E	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 4.48 %
TD.PF.A	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.65 %
POW.PR.A	Perpetual-Discount	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 24.16 Evaluated at bid price : 24.42 Bid-YTW : 5.81 %
TRP.PR.D	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.89 %
ELF.PR.F	Perpetual-Discount	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.74 Evaluated at bid price : 23.03 Bid-YTW : 5.83 %
BAM.PR.R	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 5.54 %
IAG.PR.A	Deemed-Retractible	-1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.27 Bid-YTW : 6.80 %
MFC.PR.M	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 6.77 %
POW.PR.D	Perpetual-Discount	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.63 %
PWF.PR.K	Perpetual-Discount	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 5.67 %
MFC.PR.L	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.23 %
TD.PF.B	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.18 Evaluated at bid price : 18.18 Bid-YTW : 4.60 %
BIP.PR.A	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 5.59 %
GWO.PR.P	Deemed-Retractible	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.03 Bid-YTW : 5.93 %
BMO.PR.S	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.52 %
ELF.PR.H	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 23.58 Evaluated at bid price : 24.05 Bid-YTW : 5.78 %
PWF.PR.E	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 23.82 Evaluated at bid price : 24.07 Bid-YTW : 5.78 %
TRP.PR.B	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 4.70 %
GWO.PR.Q	Deemed-Retractible	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 6.36 %
BNS.PR.D	FloatingReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.41 Bid-YTW : 5.80 %
PWF.PR.F	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.68 Evaluated at bid price : 22.97 Bid-YTW : 5.77 %
BMO.PR.W	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 4.63 %
CM.PR.O	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.34 Evaluated at bid price : 18.34 Bid-YTW : 4.66 %

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

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

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

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

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

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

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

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

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

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

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

Barrie McKenna in the Globe comments:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

… and Sun Life is reinforcing its global ambitions:

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

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

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

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

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

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

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

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

PerpetualDiscounts now yield 5.63%, equivalent to 7.32% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.2%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a widening from the 300bp reported November 26.

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.46 %	5.38 %	35,218	17.41	1	-1.6129 %	1,740.7
FixedFloater	6.36 %	5.60 %	29,163	16.76	1	-1.1258 %	3,067.0
Floater	4.33 %	4.36 %	84,507	16.61	3	-1.6521 %	1,823.9
OpRet	4.86 %	3.73 %	28,474	0.73	1	0.1589 %	2,740.8
SplitShare	4.76 %	5.54 %	127,686	4.32	5	-0.0962 %	3,218.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0962 %	2,510.8
Perpetual-Premium	5.76 %	-1.93 %	89,736	0.09	6	-0.2354 %	2,522.9
Perpetual-Discount	5.59 %	5.63 %	92,933	14.41	33	-0.4897 %	2,562.9
FixedReset	5.09 %	4.75 %	227,125	15.01	76	-0.9241 %	2,018.2
Deemed-Retractible	5.16 %	5.22 %	122,799	5.36	33	-0.1618 %	2,594.7
FloatingReset	2.66 %	3.84 %	63,980	5.72	10	-0.4768 %	2,170.2

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Some pioneering cranks have been doing this for some time:

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

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

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

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

Desperate Attempt by the Spicers to Preserve Fees

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

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

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

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

Silver Bullion Trust has fired back:

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

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

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

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

… and one from Scotia:

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

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

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

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

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

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

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.39 %	5.29 %	35,553	17.52	1	-0.6410 %	1,769.2
FixedFloater	6.29 %	5.53 %	29,440	16.85	1	-0.1323 %	3,101.9
Floater	4.26 %	4.31 %	84,461	16.71	3	-0.1200 %	1,854.5
OpRet	4.86 %	3.93 %	28,900	0.73	1	-0.2772 %	2,736.5
SplitShare	4.76 %	5.45 %	128,859	4.32	5	0.2219 %	3,221.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2219 %	2,513.3
Perpetual-Premium	5.75 %	-2.12 %	89,722	0.09	6	-0.1241 %	2,528.9
Perpetual-Discount	5.56 %	5.63 %	93,562	14.44	33	-0.1153 %	2,575.6
FixedReset	5.04 %	4.68 %	225,378	15.09	76	-0.3315 %	2,037.0
Deemed-Retractible	5.16 %	4.74 %	123,395	5.36	33	0.0458 %	2,598.9
FloatingReset	2.65 %	3.74 %	64,767	5.73	10	-0.7126 %	2,180.6

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

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.R	FixedReset	89,000	Nesbitt crossed 30,000 at 24.80; TD crossed 49,900 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 3.57 %
IFC.PR.A	FixedReset	61,200	Desjardins crossed 50,000 at 16.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 8.73 %
TRP.PR.D	FixedReset	53,830	RBC crossed 25,000 at 18.58. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.71 %
TRP.PR.B	FixedReset	52,226	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 4.68 %
FTS.PR.M	FixedReset	32,436	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.54 %
TD.PF.B	FixedReset	30,295	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.53 %
There were 64 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.E	FixedReset	Quote: 18.85 – 19.31 Spot Rate : 0.4600 Average : 0.2872 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.66 %
BNS.PR.C	FloatingReset	Quote: 22.72 – 23.13 Spot Rate : 0.4100 Average : 0.3019 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 3.97 %
RY.PR.J	FixedReset	Quote: 20.30 – 20.59 Spot Rate : 0.2900 Average : 0.1837 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.52 %
GWO.PR.F	Deemed-Retractible	Quote: 25.37 – 25.67 Spot Rate : 0.3000 Average : 0.2000 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : -17.11 %
TD.PF.F	Perpetual-Discount	Quote: 23.25 – 23.50 Spot Rate : 0.2500 Average : 0.1549 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 22.87 Evaluated at bid price : 23.25 Bid-YTW : 5.31 %
TD.PR.S	FixedReset	Quote: 24.33 – 24.66 Spot Rate : 0.3300 Average : 0.2355 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.33 Bid-YTW : 3.45 %

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

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

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

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

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

An Australian change of mortgage risk-weights last summer:

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

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

… and the change appears to have had some effect:

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

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

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

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

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

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

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

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.37 %	5.25 %	35,717	17.57	1	-0.3831 %	1,780.6
FixedFloater	6.28 %	5.53 %	28,774	16.86	1	-0.5263 %	3,106.0
Floater	4.25 %	4.31 %	87,423	16.71	3	3.1889 %	1,856.8
OpRet	4.85 %	3.54 %	28,050	0.74	1	0.1190 %	2,744.1
SplitShare	4.77 %	5.64 %	128,712	4.32	5	-0.2645 %	3,214.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2645 %	2,507.7
Perpetual-Premium	5.74 %	-5.60 %	89,084	0.09	6	0.2357 %	2,532.0
Perpetual-Discount	5.55 %	5.59 %	92,851	14.47	33	0.3031 %	2,578.5
FixedReset	5.02 %	4.66 %	224,971	14.99	76	-0.4183 %	2,043.8
Deemed-Retractible	5.14 %	5.14 %	122,615	5.36	33	0.1423 %	2,597.7
FloatingReset	2.63 %	3.61 %	65,192	5.73	10	0.4807 %	2,196.3

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.G	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 4.47 %
MFC.PR.J	FixedReset	-2.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.95 %
BAM.PF.B	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.97 %
TRP.PR.A	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.66 %
BAM.PR.R	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 5.27 %
SLF.PR.G	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.80 Bid-YTW : 8.89 %
RY.PR.M	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 4.46 %
TRP.PR.D	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 18.48 Evaluated at bid price : 18.48 Bid-YTW : 4.69 %
BAM.PF.F	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 20.34 Evaluated at bid price : 20.34 Bid-YTW : 4.92 %
HSE.PR.G	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.34 %
BMO.PR.S	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.45 %
FTS.PR.K	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 4.18 %
BNS.PR.D	FloatingReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.62 Bid-YTW : 5.61 %
BAM.PR.T	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 16.36 Evaluated at bid price : 16.36 Bid-YTW : 5.21 %
MFC.PR.K	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 6.74 %
TRP.PR.C	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 12.64 Evaluated at bid price : 12.64 Bid-YTW : 4.92 %
TRP.PR.B	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 11.66 Evaluated at bid price : 11.66 Bid-YTW : 4.69 %
CM.PR.P	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.65 %
NA.PR.Q	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 3.73 %
BNS.PR.Y	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.30 Bid-YTW : 5.52 %
TRP.PR.E	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.55 %
CU.PR.D	Perpetual-Discount	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 21.81 Evaluated at bid price : 22.15 Bid-YTW : 5.55 %
CU.PR.E	Perpetual-Discount	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 21.70 Evaluated at bid price : 22.00 Bid-YTW : 5.59 %
TD.PR.T	FloatingReset	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 3.39 %
CU.PR.C	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 19.34 Evaluated at bid price : 19.34 Bid-YTW : 4.38 %
GWO.PR.N	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.83 Bid-YTW : 9.82 %
MFC.PR.F	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.91 Bid-YTW : 8.98 %
PWF.PR.G	Perpetual-Premium	1.27 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-30 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : -16.42 %
CU.PR.H	Perpetual-Discount	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 23.62 Evaluated at bid price : 23.95 Bid-YTW : 5.50 %
TD.PR.Z	FloatingReset	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.06 Bid-YTW : 3.50 %
SLF.PR.H	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.22 %
IAG.PR.A	Deemed-Retractible	1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 6.45 %
PWF.PR.T	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 22.23 Evaluated at bid price : 22.70 Bid-YTW : 3.78 %
CU.PR.G	Perpetual-Discount	1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.52 %
BAM.PR.B	Floater	2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 11.10 Evaluated at bid price : 11.10 Bid-YTW : 4.31 %
BAM.PR.C	Floater	3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 11.13 Evaluated at bid price : 11.13 Bid-YTW : 4.30 %
TRP.PR.H	FloatingReset	3.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 3.99 %
BAM.PR.K	Floater	3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 11.10 Evaluated at bid price : 11.10 Bid-YTW : 4.31 %

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

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

Nothing happened today.

It was a moderately good day for the Canadian preferred share market today [for a change!] with PerpetualDiscounts up 13bp, FixedResets gaining 12bp and DeemedRetractibles winning 32bp. The Performance Highlights table is dominated by winners. Volume was above average.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.50 to be $1.27 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.97 cheap at its bid price of 12.80.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.53 to be 0.36 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 22.69 to be 0.26 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.19 to be $1.01 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.75 and appears to be $0.68 rich.

FTS.PR.K, with a spread of +205bp, and bid at 19.16, looks $1.04 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 19.83 and is $0.44 cheap.

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

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	4.35 %	5.23 %	35,879	17.60	1	-2.1250 %	1,787.5
FixedFloater	6.25 %	5.49 %	28,692	16.91	1	0.5291 %	3,122.4
Floater	4.39 %	4.44 %	85,919	16.47	3	0.7486 %	1,799.4
OpRet	4.86 %	3.66 %	29,102	0.75	1	0.0000 %	2,740.8
SplitShare	4.75 %	5.54 %	129,339	4.33	5	0.0246 %	3,222.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0246 %	2,514.3
Perpetual-Premium	5.75 %	-0.73 %	85,226	0.09	6	0.6657 %	2,526.1
Perpetual-Discount	5.57 %	5.63 %	90,847	14.44	33	0.1278 %	2,570.7
FixedReset	5.00 %	4.60 %	226,817	15.09	76	0.1177 %	2,052.4
Deemed-Retractible	5.14 %	5.16 %	120,161	5.37	33	0.3239 %	2,594.0
FloatingReset	2.60 %	3.74 %	65,226	5.74	10	0.2718 %	2,185.8

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.H	FloatingReset	-5.35 %	Quite real, as the price collapsed shortly before 3:30pm, while the issue traded 19,675 in a range of 10.30-10. 6,200 shares changed hands at 10.40, while another 1,000 traded at 10.41. VWAP was 10.69 and the closing quote was 10.44-79, 10×4. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 10.44 Evaluated at bid price : 10.44 Bid-YTW : 4.06 %
FTS.PR.M	FixedReset	-4.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 4.51 %
MFC.PR.F	FixedReset	-2.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.73 Bid-YTW : 9.14 %
BAM.PR.E	Ratchet	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 25.00 Evaluated at bid price : 15.66 Bid-YTW : 5.23 %
TD.PF.D	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 20.47 Evaluated at bid price : 20.47 Bid-YTW : 4.55 %
CM.PR.Q	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 4.48 %
FTS.PR.K	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.13 %
TRP.PR.D	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 4.62 %
PWF.PR.P	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 4.34 %
MFC.PR.J	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.54 Bid-YTW : 5.61 %
TD.PR.T	FloatingReset	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 3.54 %
MFC.PR.C	Deemed-Retractible	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.98 Bid-YTW : 6.89 %
FTS.PR.H	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 14.33 Evaluated at bid price : 14.33 Bid-YTW : 4.22 %
MFC.PR.H	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.87 Bid-YTW : 4.74 %
TD.PR.S	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 3.29 %
MFC.PR.B	Deemed-Retractible	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.46 Bid-YTW : 6.74 %
BNS.PR.D	FloatingReset	1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.90 Bid-YTW : 5.32 %
VNR.PR.A	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 4.93 %
BAM.PF.B	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 4.88 %
HSE.PR.G	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.26 %
BAM.PR.B	Floater	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 10.82 Evaluated at bid price : 10.82 Bid-YTW : 4.42 %
BAM.PR.R	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 5.19 %
BAM.PF.A	FixedReset	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 4.93 %
BAM.PR.C	Floater	1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 10.78 Evaluated at bid price : 10.78 Bid-YTW : 4.44 %
TRP.PR.F	FloatingReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 14.01 Evaluated at bid price : 14.01 Bid-YTW : 4.16 %
MFC.PR.M	FixedReset	2.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.63 Bid-YTW : 6.10 %
MFC.PR.N	FixedReset	2.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.53 Bid-YTW : 6.09 %
IGM.PR.B	Perpetual-Premium	2.68 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-31 Maturity Price : 25.75 Evaluated at bid price : 26.01 Bid-YTW : -0.73 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.K	Deemed-Retractible	178,236	Desjardins crossed 50,000 at 25.65; Scotia crossed 52,000 at the same price; and TD crossed 75,000 at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-27 Maturity Price : 25.25 Evaluated at bid price : 25.61 Bid-YTW : -11.37 %
TD.PR.T	FloatingReset	108,500	TD crossed 107,0000 at 22.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 3.54 %
MFC.PR.F	FixedReset	60,859	RBC crossed 50,000 at 15.15. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.73 Bid-YTW : 9.14 %
RY.PR.Z	FixedReset	58,162	TD crossed 30,000 at 18.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 18.58 Evaluated at bid price : 18.58 Bid-YTW : 4.46 %
RY.PR.B	Deemed-Retractible	57,950	RBC crossed 50,000 at 24.96. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.73 %
PWF.PR.F	Perpetual-Discount	53,400	Nesbitt crossed 45,900 at 23.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 22.95 Evaluated at bid price : 23.22 Bid-YTW : 5.71 %
There were 43 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PR.T	FloatingReset	Quote: 22.85 – 23.47 Spot Rate : 0.6200 Average : 0.3866 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 3.54 %
FTS.PR.M	FixedReset	Quote: 19.83 – 20.29 Spot Rate : 0.4600 Average : 0.3079 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 4.51 %
PWF.PR.P	FixedReset	Quote: 14.72 – 15.19 Spot Rate : 0.4700 Average : 0.3294 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 4.34 %
VNR.PR.A	FixedReset	Quote: 19.57 – 20.00 Spot Rate : 0.4300 Average : 0.2948 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 4.93 %
PWF.PR.T	FixedReset	Quote: 22.28 – 22.80 Spot Rate : 0.5200 Average : 0.3899 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 21.94 Evaluated at bid price : 22.28 Bid-YTW : 3.87 %
MFC.PR.F	FixedReset	Quote: 14.73 – 15.15 Spot Rate : 0.4200 Average : 0.2950 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.73 Bid-YTW : 9.14 %

I will be very disappointed if this is the end of the Silver-Sprott battle:

Today, Silver Bullion Trust (TSX:SBT.UN) (C$) (TSX:SBT.U) (US$) (“SBT”) entered into a new definitive agreement with Purpose Investments Inc. (“Purpose”), regarding the conversion of SBT into a silver bullion exchange-traded fund (“ETF”) managed by Purpose and Silver Administrators Limited. The proposed ETF conversion, which is subject to unitholder approval, has the unanimous support of your Independent Trustees and represents an exciting opportunity for SBT unitholders.

Purpose has current assets under management of over $1.4 billion across 17 funds and is one of Canada’s most experienced ETF managers, with significant experience in managing and marketing bullion funds. Purpose’s predecessor company, Claymore Investments, which was acquired by BlackRock in 2012, managed the Claymore Silver Bullion Trust, which was successfully converted into an ETF in 2012. For further information on Purpose, we encourage unitholders to visit their website at www.purposeinvest.com.

Andrew Jackson, of Carleton University and the Broadbent Institute, is making much more sense now that he no longer works for the Canadian Labour Congress! He’s written a piece for the Globe titled Global slump should be addressed by this monetary taboo, which includes a paen to micromanagement:

As Adair Turner shows in his new book, Between Debt and the Devil, private-sector debt soared as a share of GDP in most advanced economies after the 1980s, fuelling unproductive, debt-financed household consumption, housing bubbles and wasteful financial speculation.
…
Adair Turner, former chief regulator of British banks, argues that we need to reign in the growth of unproductive private debt by imposing tighter controls on banks through much higher capital requirements and by imposing limits on borrowing, such as maximum loan-to-value mortgage rules. Banks should, he argues, be pushed to support real business investment as opposed to highly leveraged financial speculation and household consumption.

Mr. Jackson’s egalitarian impulses were, no doubt, responsible for his refusal to use Lord Turner’s honorific!

The Grauniad’s review provides more detail:

When capitalism works, debt channels money into factories, machinery and know how. There will be bumps along the road, but the economy will grow. In the run up to 2007, however, the made-up money was not going into anything productive, but rather inflating the price of pre-existing homes. Indeed, Turner locates the roots of the crisis in the mismatch between a limited supply of urban land, and the limitless potential to finance rising demand for it. For individual banks, it can make sense to lend for unrealistically costly houses, since mortgaged families will sacrifice everything else to keep up payments and avoid ending up on the streets. For the economy as a whole, however, concentrating debt in property is a disaster, draining resources from worthwhile investment and wagering collective prosperity on a one-way bet. Worse, while debt-fuelled bursts of real activity will push up inflation, when all the money is in property that warning light never flashes. We’re all left exposed: unsafe as houses.
…
To kick our addiction to debt, Turner argues, we can and should restrain the banks, for example by forcing them to hold more reserves. We can and should also devise new ways to privilege productive investment over property speculation. Turner, who became chair of the Financial Services Authority days after Lehman Bros toppled, puts great emphasis on explaining how regulators could do all this practically, a dimension that gives the book extra importance, albeit at the occasional expense of readability. Every so often you yearn for him to say “posh houses”, rather than “locationally desirable real estate”.

The Independent offers some criticism:

Turner is admirably fearless. He goes where his fundamental analysis tells him to go. But is his underlying thesis right? A weakness of the book is that Turner doesn’t fully engage with the counter evidence. For instance, there are signs that small firms in the UK have been turned down for loans by their banks, or at least discouraged from seeking credit – an indication that lack of credit supply is part of the problem. Demand for mortgages in th UK seems to have bounced back, despite still elevated household debt to income ratios here in Britain.

There are also other plausible explanations, beyond excessive debt, for the weak recoveries across the world, not least the thesis of secular stagnation. Perhaps the incubus squatting on the chest of our economies is not a debt overhang, as Turner asserts, but slow growth brought on by demographic trends. Or maybe its dunderheaded fiscal austerity imposed by governments that’s primarily to blame.

Lord Turner’s previous notable production was highlighted on PrefBlog when UK FSA Publishes Turner Report on Bank Regulation with more commentary in HM Treasury Responds to Turner Report. It looks like it could be a decent book … I might buy it!

Oh, and speaking of houses:

Properties in Canadian cities don’t command New York prices but Canada is definitely rising in the ranks, Mr. Henry says.

Juwai.com crunched its latest numbers for The Globe and found that, within Canada, Chinese buyers of sumptuous properties have shifted their preference toward Toronto and away from Vancouver.

The average price for property viewed by Chinese property hunters in Toronto has increased over the past two years as the average price in Vancouver has declined, according to Juwai.com. The two cities have switched roles, with Toronto now attracting a higher-priced buyer mix than Vancouver.

In five of the past six months, Juwai.com’s users have searched for a higher average price in Toronto than in Vancouver.

In October, for example, the average search price in Toronto was $1,963,278, compared with $1,268,194 in Vancouver. In October of 2014, the average search price in Toronto was $1,582,300 and, in Vancouver, $1,840,999.

Brompton’s Life & Banc Split Corp., proud issuer of LBS.PR.A, was confirmed at Pfd-3(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the rating on the Preferred Shares issued by Life & Banc Split Corp. (the Company) at Pfd-3 (low). In October 2006, the Company raised gross proceeds of $300 million by issuing 12 million Preferred Shares (at $10 each) and an equal number of Class A Shares (at $15 each). Since then, the Company has completed several additional treasury offerings. The final redemption date for both classes of shares issued was originally November 29, 2013, but was extended to November 29, 2018.
…
The performance of the Portfolio has experienced some volatility over the past year, with the downside protection fluctuating between 41.8% and 52.0% from November 2014 to November 2015. As of November 19, 2015, the downside protection available to the Preferred Shares is approximately 45.4% and the dividend coverage ratio is about 1.1 times. The Pfd-3 (low) rating of the Preferred Shares is based primarily on the downside protection available and the additional protection provided by the asset coverage test, which does not permit any distributions to holders of the Class A Shares if the NAV of the Company falls below $15.

It was yet another mixed, mostly negative, bad-for-FixedResets day for the Canadian preferred share market, with PerpetualDiscounts off 2bp, FixedResets down 23bp and DeemedRetractibles gaining 2bp. The Performance Highlights table is lengthy. Volume was very high.

PerpetualDiscounts now yield 5.64%, equivalent to 7.33% interest at the standard conversion factor of 1.3x. Long Corporates now yield 4.33%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a widening from the 290bp reported November 4.

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 19.38 to be $1.23 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.89 cheap at its bid price of 12.85.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 19.74 to be 0.33 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 20.20 to be 0.20 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.95 to be $1.14 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.58 and appears to be $0.63 rich.

FTS.PR.K, with a spread of +205bp, and bid at 18.97, looks $0.77 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.20 and is $0.48 cheap.

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

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	4.26 %	5.10 %	34,483	17.75	1	1.0220 %	1,826.3
FixedFloater	6.28 %	5.52 %	28,694	16.87	1	0.1324 %	3,106.0
Floater	4.42 %	4.49 %	84,863	16.37	3	-2.1965 %	1,786.0
OpRet	4.86 %	3.65 %	30,197	0.75	1	0.0000 %	2,740.8
SplitShare	4.76 %	5.53 %	131,161	4.33	5	0.0678 %	3,221.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0678 %	2,513.7
Perpetual-Premium	5.79 %	0.28 %	84,366	0.08	6	-0.0264 %	2,509.4
Perpetual-Discount	5.58 %	5.64 %	90,814	14.44	33	-0.0213 %	2,567.5
FixedReset	5.01 %	4.62 %	223,982	14.98	76	-0.2294 %	2,050.0
Deemed-Retractible	5.16 %	5.28 %	119,479	5.37	33	0.0150 %	2,585.6
FloatingReset	2.61 %	3.84 %	60,715	5.74	10	-0.2072 %	2,179.8

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.C	Floater	-3.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 10.60 Evaluated at bid price : 10.60 Bid-YTW : 4.51 %
BAM.PR.B	Floater	-3.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 10.66 Evaluated at bid price : 10.66 Bid-YTW : 4.49 %
TD.PF.D	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 4.46 %
BMO.PR.W	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 4.55 %
CU.PR.G	Perpetual-Discount	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 20.04 Evaluated at bid price : 20.04 Bid-YTW : 5.65 %
BAM.PF.E	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.97 %
CU.PR.C	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.42 %
TRP.PR.F	FloatingReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 4.24 %
BAM.PF.G	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 20.58 Evaluated at bid price : 20.58 Bid-YTW : 4.88 %
HSE.PR.G	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 21.04 Evaluated at bid price : 21.04 Bid-YTW : 5.33 %
FTS.PR.M	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 4.31 %
HSE.PR.E	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 5.44 %
IFC.PR.A	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.33 Bid-YTW : 8.87 %
RY.PR.M	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.41 %
TD.PF.A	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.52 %
VNR.PR.A	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.00 %
BMO.PR.M	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.36 Bid-YTW : 3.43 %
BAM.PR.E	Ratchet	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 5.10 %
W.PR.J	Perpetual-Discount	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 23.82 Evaluated at bid price : 24.07 Bid-YTW : 5.89 %
TRP.PR.D	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.67 %
GWO.PR.S	Deemed-Retractible	1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.71 Bid-YTW : 5.56 %
GWO.PR.Q	Deemed-Retractible	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 6.17 %
BIP.PR.A	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.39 %
PWF.PR.T	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 21.99 Evaluated at bid price : 22.35 Bid-YTW : 3.86 %
BMO.PR.R	FloatingReset	1.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.05 Bid-YTW : 3.43 %
MFC.PR.K	FixedReset	1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.60 Bid-YTW : 6.54 %
TRP.PR.A	FixedReset	3.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.59 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.R	FixedReset	127,501	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 3.57 %
GWO.PR.M	Deemed-Retractible	115,545	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.46 Bid-YTW : 5.52 %
RY.PR.I	FixedReset	110,855	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 3.71 %
MFC.PR.L	FixedReset	107,700	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.74 Bid-YTW : 6.52 %
IFC.PR.A	FixedReset	101,049	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.33 Bid-YTW : 8.87 %
BNS.PR.Q	FixedReset	95,910	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.38 Bid-YTW : 3.63 %
There were 53 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CU.PR.G	Perpetual-Discount	Quote: 20.04 – 20.62 Spot Rate : 0.5800 Average : 0.3990 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 20.04 Evaluated at bid price : 20.04 Bid-YTW : 5.65 %
MFC.PR.J	FixedReset	Quote: 21.32 – 21.74 Spot Rate : 0.4200 Average : 0.2664 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.32 Bid-YTW : 5.75 %
W.PR.H	Perpetual-Discount	Quote: 23.80 – 24.25 Spot Rate : 0.4500 Average : 0.3164 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 23.53 Evaluated at bid price : 23.80 Bid-YTW : 5.85 %
GWO.PR.L	Deemed-Retractible	Quote: 25.08 – 25.44 Spot Rate : 0.3600 Average : 0.2358 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.08 Bid-YTW : 5.77 %
SLF.PR.J	FloatingReset	Quote: 13.35 – 13.70 Spot Rate : 0.3500 Average : 0.2413 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.35 Bid-YTW : 9.54 %
TRP.PR.H	FloatingReset	Quote: 11.03 – 11.35 Spot Rate : 0.3200 Average : 0.2198 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-26 Maturity Price : 11.03 Evaluated at bid price : 11.03 Bid-YTW : 3.84 %

The UK government is bringing micromanagement of the economy to new levels:

Buy-to-let landlords have been hit by the second major tax hike in less than a year, as Chancellor George Osborne took action against the “growing crisis of home ownership” in Britain.

Property investors will be hit by a 3pc rise in stamp duty from 1 April 2016, and the surcharge will also apply to people buying second homes. It means the tax bill on a buy-to-let property costing £250,000 will jump from £2,500 to £8,800.
…
Mr Osborne also announced a London Help to Buy initiative, which will allow more young people to get on the housing ladder in the capital, where the average house price for a first-time buyer is now an eye-watering £385,000. The scheme will offer buyers with a 5pc deposit a loan of up to 40pc of the value of a new build home, interest-free for five years.

It was another mixed, mostly negative day for the Canadian preferred share market, with PerpetualDiscounts off 12bp, FixedResets down 44bp and DeemedRetractibles gaining 20bp. The Performance Highlights table is mostly negative, but still showing a lot of churn. Volume was extremely high.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.22 to be $1.19 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.87 cheap at its bid price of 12.80.

Most expensive is MFC.PR.I, resetting at +286bp on 2017-9-19, bid at 22.67 to be 0.23 rich, while MFC.PR.K resetting at +222bp on 2018-9-19, is bid at 19.25 to be 0.42 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.04 to be $1.16 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.91 and appears to be $0.89 rich.

FTS.PR.K, with a spread of +205bp, and bid at 18.85, looks $0.65 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.16 and is $0.65 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.35%, with one outlier above +0.50%. 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	4.29 %	5.16 %	32,687	17.62	1	-0.6250 %	1,807.8
FixedFloater	6.29 %	5.53 %	27,994	16.86	1	-2.2654 %	3,101.9
Floater	4.32 %	4.34 %	84,528	16.67	3	-1.7386 %	1,826.1
OpRet	4.86 %	3.63 %	31,441	0.75	1	0.2783 %	2,740.8
SplitShare	4.76 %	5.43 %	132,884	4.34	5	0.1479 %	3,219.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1479 %	2,512.0
Perpetual-Premium	5.79 %	0.57 %	85,153	0.08	6	0.0198 %	2,510.0
Perpetual-Discount	5.58 %	5.63 %	89,426	14.44	33	-0.1223 %	2,568.0
FixedReset	4.99 %	4.66 %	222,822	15.12	76	-0.4367 %	2,054.7
Deemed-Retractible	5.16 %	5.06 %	119,774	5.38	33	0.2018 %	2,585.3
FloatingReset	2.60 %	3.75 %	60,630	5.74	10	-0.0358 %	2,184.4

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.C	FixedReset	-3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 12.80 Evaluated at bid price : 12.80 Bid-YTW : 4.88 %
CM.PR.P	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.19 Evaluated at bid price : 18.19 Bid-YTW : 4.59 %
BAM.PR.K	Floater	-2.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 10.72 Evaluated at bid price : 10.72 Bid-YTW : 4.46 %
CM.PR.O	FixedReset	-2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.55 %
BAM.PR.R	FixedReset	-2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 16.04 Evaluated at bid price : 16.04 Bid-YTW : 5.24 %
BAM.PR.G	FixedFloater	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 25.00 Evaluated at bid price : 15.10 Bid-YTW : 5.53 %
BMO.PR.T	FixedReset	-2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.58 Evaluated at bid price : 18.58 Bid-YTW : 4.49 %
TRP.PR.G	FixedReset	-1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 4.76 %
BAM.PR.N	Perpetual-Discount	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 6.00 %
BAM.PF.B	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.88 Evaluated at bid price : 18.88 Bid-YTW : 4.97 %
BAM.PF.C	Perpetual-Discount	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 6.07 %
BAM.PR.B	Floater	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 11.03 Evaluated at bid price : 11.03 Bid-YTW : 4.34 %
HSE.PR.G	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 5.25 %
BAM.PR.T	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.14 %
TD.PF.B	FixedReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.47 %
BAM.PR.X	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 4.89 %
TD.PF.C	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.51 %
BAM.PF.A	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 5.01 %
BAM.PR.M	Perpetual-Discount	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.99 %
SLF.PR.J	FloatingReset	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.40 Bid-YTW : 9.49 %
FTS.PR.M	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 4.26 %
TRP.PR.D	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.72 %
BAM.PF.D	Perpetual-Discount	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 20.74 Evaluated at bid price : 20.74 Bid-YTW : 6.02 %
CU.PR.F	Perpetual-Discount	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 5.63 %
VNR.PR.A	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.94 %
TD.PF.A	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.47 %
FTS.PR.K	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.20 %
RY.PR.Z	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 4.44 %
TRP.PR.B	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 12.01 Evaluated at bid price : 12.01 Bid-YTW : 4.64 %
TRP.PR.F	FloatingReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 14.14 Evaluated at bid price : 14.14 Bid-YTW : 4.18 %
BMO.PR.Y	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 4.35 %
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 : 23.21 Bid-YTW : 6.34 %
NA.PR.Q	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.54 %
MFC.PR.L	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.56 Bid-YTW : 6.64 %
GWO.PR.N	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.69 Bid-YTW : 9.95 %
FTS.PR.H	FixedReset	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 14.19 Evaluated at bid price : 14.19 Bid-YTW : 4.26 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.L	FixedReset	113,750	Nesbitt crossed two blocks of 50,000 each, both at 25.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 3.86 %
RY.PR.Z	FixedReset	54,447	Nesbitt crossed 13,800 at 18.73. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 4.44 %
TRP.PR.D	FixedReset	45,287	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.72 %
RY.PR.H	FixedReset	43,956	Nesbitt crossed 13,00 at 18.81. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.74 Evaluated at bid price : 18.74 Bid-YTW : 4.47 %
BAM.PR.X	FixedReset	42,814	Scotia crossed 20,000 at 15.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 4.89 %
FTS.PR.K	FixedReset	40,570	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.20 %
There were 61 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.E	FixedReset	Quote: 19.22 – 19.70 Spot Rate : 0.4800 Average : 0.2951 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 4.58 %
MFC.PR.K	FixedReset	Quote: 19.25 – 19.81 Spot Rate : 0.5600 Average : 0.4089 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 6.78 %
TRP.PR.G	FixedReset	Quote: 20.41 – 20.84 Spot Rate : 0.4300 Average : 0.3062 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 4.76 %
BAM.PR.E	Ratchet	Quote: 15.90 – 16.63 Spot Rate : 0.7300 Average : 0.6087 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 25.00 Evaluated at bid price : 15.90 Bid-YTW : 5.16 %
BMO.PR.R	FloatingReset	Quote: 22.64 – 23.00 Spot Rate : 0.3600 Average : 0.2615 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.64 Bid-YTW : 3.75 %
CU.PR.D	Perpetual-Discount	Quote: 21.95 – 22.29 Spot Rate : 0.3400 Average : 0.2444 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-25 Maturity Price : 21.67 Evaluated at bid price : 21.95 Bid-YTW : 5.60 %

The junk market is getting nervous:

Investors in the debt of junk-rated companies are showing little patience for even the slightest whiff of bad news as they seek to shield themselves from the market’s first annual loss since 2008. With the Federal Reserve poised to lift interest rates next month and a deepening commodities slump stirring fears that earnings growth will be squeezed, price swings in the market are intensifying.
…
Investors are shunning the lowest-rated junk bonds. That is underscored by the extra yield that investors are demanding to hold CCC rated credits relative to those rated BB. This has jumped to the most in six years.
…
One sometimes-overlooked element that’s contributing to the big price swings is the increasing concentration among investors, according to Stephen Antczak, head of credit strategy at Citigroup Inc. Mutual funds, insurance companies and foreign investors make up 68 percent of corporate bondholders compared with 52 percent at the end of 2007.

That means that if one mutual fund investor wants to sell some holdings, there isn’t another one that’s ready to step in. That’s because they typically have similar mandates from investors and often need to sell for the same reasons.

“A less diverse group of investors hold a lot more bonds,” Antczak said. “The difference between incremental buyer is more now than it used to be. It takes a bigger move to get people interested.”

Repsol, which recently purchased Talisman Energy, has not seen much joy from its acquisition:

Repsol SA reported a 62 percent decline in third-quarter earnings as lower crude prices countered improved refining performance. The shares slumped the most in two weeks.

Adjusted net income fell to 159 million euros ($171 million) from 415 million euros a year earlier, Spain’s largest oil company said Thursday. That missed the average 201.6 million-euro estimate of 18 analysts surveyed by Bloomberg. It reported a net loss of 221 million euros after taking charges at units including gas and power.

Repsol is among international oil producers to suffer from a 40 percent decline in the price of Brent crude over the past year. Like its peers, it has sold assets and cut investments to weather the slowdown as a global supply glut persists. The Madrid-based company has also seen debts mount after acquiring Canada’s Talisman Energy Inc. for $13 billion in May.
…
Repsol last month unveiled a five-year plan to sell 6.2 billion euros of assets and reduce investments by as much as 38 percent as it deals with higher debt and the plunge in crude prices. The company announced more than $1 billion in asset sales in the third quarter, part of which was included in the five-year target.

So now they’ve announced a debt tender offer:

Talisman Energy Inc. (the “Offeror”) announced today that it has commenced a tender offer (the “Offer”) to purchase for cash up to $750 million 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 amounts of each series of Securities that are purchased will be determined in accordance with the acceptance priority levels specified in the table below and on the cover page of the offer to purchase dated November 24, 2015 (the “Offer to Purchase”) in the column entitled “Acceptance Priority Level” (the “Acceptance Priority Level”), subject to the proration arrangements applicable to the Offer.

As with today’s coercive DC.PR.C exchange offer, they’re offering a premium for early tenders:

Holders of the Securities that are validly tendered and not withdrawn on or prior to 5:00 p.m., New York City time, on December 8, 2015 (the “Early Tender Date”) and accepted for purchase will receive the applicable Total Consideration, which includes an early tender premium of $50.00 per $1,000 principal amount of the Securities accepted for purchase (the “Early Tender Premium”).

S&P rates Repsol’s bonds at BBB- with a negative watch.

Rona Inc., proud issuer of RON.PR.A, was confirmed at Pfd-4[high] by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating and Senior Unsecured Debt rating of RONA inc. (RONA or the Company) at BB (high), and the Preferred Shares rating at Pfd-4 (high). All trends are Stable. The Recovery Rating on the Senior Unsecured Debt remains RR3. The confirmation reflects RONA’s solid operating performance (growth in same-store sales and margin expansion) through the end of Q3 F2015 in the face of macroeconomic headwinds in certain regions of Canada and its reasonable leverage levels, balanced by rising balance-sheet debt used to finance share repurchases and complete the acquisitions of the 20 franchise stores in its network.
…
Despite the increase in balance-sheet debt, RONA’s credit risk profile and leverage metrics should remain within the range considered acceptable for the current rating over the medium term (i.e., lease-adjusted debt-to-EBITDAR below 4.0 times (x) and lease-adjusted EBITDA coverage above 4.5x).

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 2bp, FixedResets off 63bp and DeemedRetractibles up 19bp. I note that the TXPL total return index now stands at 812.11, down from the October month-end figure of 814.94 … so all the gains of that wondrous first week of November have now evaporated. Easy come, easy go! The Performance Highlights table is its usual lengthy self, highlighting the churn in the market. Volume was very high.

There won’t be any the usual volatility charts and block trading report today … sorry!

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	4.26 %	5.12 %	32,966	17.67	1	0.0000 %	1,819.2
FixedFloater	6.15 %	5.39 %	27,798	17.03	1	2.2502 %	3,173.8
Floater	4.25 %	4.30 %	82,547	16.76	3	3.3137 %	1,858.4
OpRet	4.87 %	3.99 %	32,736	0.75	1	0.0000 %	2,733.2
SplitShare	4.77 %	5.61 %	134,654	4.34	5	0.0886 %	3,214.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0886 %	2,508.3
Perpetual-Premium	5.79 %	2.32 %	88,238	0.08	6	0.1584 %	2,509.5
Perpetual-Discount	5.57 %	5.61 %	87,723	14.48	33	0.0173 %	2,571.1
FixedReset	4.97 %	4.60 %	224,043	15.13	76	-0.6304 %	2,063.7
Deemed-Retractible	5.17 %	5.26 %	118,086	5.38	33	0.1920 %	2,580.1
FloatingReset	2.60 %	3.78 %	60,065	5.75	10	0.2509 %	2,185.1

Performance Highlights
Issue	Index	Change	Notes
NA.PR.W	FixedReset	-3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 4.52 %
MFC.PR.N	FixedReset	-3.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.01 Bid-YTW : 6.43 %
FTS.PR.M	FixedReset	-3.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 4.19 %
NA.PR.S	FixedReset	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.63 %
FTS.PR.K	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 4.14 %
BAM.PR.Z	FixedReset	-2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.05 %
HSE.PR.A	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 13.68 Evaluated at bid price : 13.68 Bid-YTW : 5.00 %
BAM.PR.X	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 4.80 %
BMO.PR.Q	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.71 Bid-YTW : 5.63 %
BAM.PF.G	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 4.82 %
TD.PF.C	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.44 %
TD.PF.E	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 21.57 Evaluated at bid price : 21.90 Bid-YTW : 4.32 %
RY.PR.Z	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 4.38 %
BAM.PF.E	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.89 %
CM.PR.P	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.45 %
RY.PR.H	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.87 Evaluated at bid price : 18.87 Bid-YTW : 4.44 %
CU.PR.G	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 5.58 %
CM.PR.O	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.43 %
TD.PF.A	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 4.41 %
BAM.PF.F	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 4.83 %
FTS.PR.G	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 4.38 %
GWO.PR.N	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.50 Bid-YTW : 10.22 %
TD.PF.B	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 19.07 Evaluated at bid price : 19.07 Bid-YTW : 4.39 %
HSE.PR.G	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 21.69 Evaluated at bid price : 22.05 Bid-YTW : 5.15 %
HSE.PR.E	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.37 %
ENB.PR.A	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 23.55 Evaluated at bid price : 23.82 Bid-YTW : 5.79 %
RY.PR.J	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 4.41 %
BMO.PR.S	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.34 %
W.PR.H	Perpetual-Discount	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 23.32 Evaluated at bid price : 23.60 Bid-YTW : 5.90 %
BAM.PF.A	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.93 %
MFC.PR.L	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.31 Bid-YTW : 6.81 %
GWO.PR.S	Deemed-Retractible	1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.38 Bid-YTW : 5.75 %
BAM.PF.C	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.95 %
PVS.PR.D	SplitShare	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 23.59 Bid-YTW : 5.64 %
PWF.PR.S	Perpetual-Discount	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 21.45 Evaluated at bid price : 21.78 Bid-YTW : 5.55 %
SLF.PR.H	FixedReset	1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.26 Bid-YTW : 7.21 %
BAM.PR.G	FixedFloater	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 25.00 Evaluated at bid price : 15.45 Bid-YTW : 5.39 %
BAM.PF.D	Perpetual-Discount	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.94 %
BAM.PR.C	Floater	2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 11.13 Evaluated at bid price : 11.13 Bid-YTW : 4.30 %
BAM.PR.K	Floater	3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 4.35 %
BAM.PR.B	Floater	3.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 11.23 Evaluated at bid price : 11.23 Bid-YTW : 4.26 %
TRP.PR.F	FloatingReset	3.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 4.14 %

Volume Highlights
Issue	Index	Shares Traded	Notes
SLF.PR.A	Deemed-Retractible	50,901	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.61 Bid-YTW : 6.72 %
RY.PR.B	Deemed-Retractible	38,205	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.76 %
FTS.PR.G	FixedReset	31,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 4.38 %
RY.PR.Z	FixedReset	31,259	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 4.38 %
PWF.PR.P	FixedReset	30,060	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 14.53 Evaluated at bid price : 14.53 Bid-YTW : 4.40 %
NA.PR.S	FixedReset	27,763	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.63 %
There were 58 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.Q	Deemed-Retractible	Quote: 23.45 – 24.44 Spot Rate : 0.9900 Average : 0.6712 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.45 Bid-YTW : 6.20 %
FTS.PR.G	FixedReset	Quote: 18.24 – 18.62 Spot Rate : 0.3800 Average : 0.2508 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 4.38 %
CM.PR.O	FixedReset	Quote: 19.30 – 19.65 Spot Rate : 0.3500 Average : 0.2345 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.43 %
HSE.PR.A	FixedReset	Quote: 13.68 – 14.19 Spot Rate : 0.5100 Average : 0.4204 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 13.68 Evaluated at bid price : 13.68 Bid-YTW : 5.00 %
CU.PR.H	Perpetual-Discount	Quote: 23.54 – 23.92 Spot Rate : 0.3800 Average : 0.2910 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 23.24 Evaluated at bid price : 23.54 Bid-YTW : 5.59 %
BAM.PR.Z	FixedReset	Quote: 20.20 – 20.54 Spot Rate : 0.3400 Average : 0.2547 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-24 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.05 %

I was disgusted to read an opinion piece in the Globe titled The weakest links in terror finance legislation need to be addressed:

Group of 20 leaders turned their focus to the financing question this week when they met in Antalya, Turkey. Leaders committed themselves to combatting terrorist financing by enhancing the exchange of information; criminalizing terrorist financing and implementing targeted financial-sanction regimes related to terrorism and terrorist financing; and facilitating the widespread implementation of standards developed by the Financial Action Task Force (FATF), the international institution responsible for combatting money laundering and terrorist financing.

This is just another job application from the Merchants Of Fear (Secret Police Edition).

“But conducting attacks in the heart of Europe requires a complex series of financial transactions between IS supporters and the cells committing acts of terrorism.”

It will be noted that the authors do not give any examples of these “complex series of financial transactions” that are supposedly so ubiquitous; they do not give any specifics of what new laws and regulations might be sufficient to choke off this source of funds; and they do not provide any sort of cost-benefit analysis to show that the problem justifies the solution.

That’s because they can’t. According to John Allison (who ran the BB&T bank with distinction through the Credit Crunch) the US “Patriot Act” costs US banks over $5-billion annually and “there has never been a single terrorist caught and convicted because of the Patriot Act.” Instead, the Patriot Act has enabled government snooping that, so far, has achieved success in nailing Eliot Switzer (a guy who hired prostitutes) and Dennis Hastert (a blackmail victim desperate to pay his blackmailer). Oh, very well done and well worth $5-billion per year.

The authors admit that “very few jurisdictions have obtained successful convictions”, but do not have the intestinal fortitude to admit why this should be – and the simple fact is that terrorist operations do not cost a great deal of money. Al Qaeda spent only about half a million dollars to finance the entire 9/11 plot; only about $300,000 of this was spent in the US. So, be generous, call it $20,000 per attacker during their stay of over a year in the US.

It’s no surprise that Momani and Kempthorne are so shy when it comes to talking about the specifics of their wonderful plans!

The entire article is nothing more than demagogic nonsense, seeking to expand useless banking regulations and even more useless bureaucratic oversight, through panicking the populace. But hey, I suppose the authors will get paid.

However, I was inspired to read the TERRORIST FINANCING FATF REPORT TO G20 LEADERS ACTIONS BEING TAKEN BY THE FATF, most notable for its casual request for more money:

The G20 can support this programme by: leading by example, helping low capacity jurisdictions implement essential counter terrorist financing measures, and continuing to support the FATF in its ongoing work.
…
The number of domestic designations varies widely. Thirty-seven jurisdictions have applied targeted financial sanctions on their own motion, and there is a significant variation in the number of entities, and the value of assets frozen, as shown in the table below. This may result from the nature of the terrorist and terrorist financing activity in each country, and from the different roles that targeted financial sanctions play in the context of national counter-terrorism strategies – in particular whether they are directed at restraining individuals or value, or both.

Pretty good, eh? Canada’s FINTRAC has a budget of about $50-million p.a. and imposes immense costs on financial intermediaries and has managed to freeze almost €100,000 in assets allegedly belonging to alleged terrorists, including “funds subsequently un-frozen or confiscated, as well as funds frozen currently”. I would dearly love to see a detailed breakdown of this number with the facts of each case attached.

And in France, the usual suspension of civil liberties (and, I’ll guess, harassment of annoying people) is occurring:

All over France, from Toulouse in the south to Paris and beyond, the police have been breaking down doors, conducting searches without warrants, aggressively questioning residents, hauling suspects to police stations and putting others under house arrest.

The extraordinary steps are now perfectly legal under the state of emergency decreed by the government after the attacks on Nov. 13 in Paris that left 130 dead — a rare kind of mobilization that will continue. The French Parliament voted last week to extend the emergency for three more months, which means more warrantless searches, more interrogations, more people placed under house arrest.

There have been 1,072 police searches already and 139 police interrogations, and 117 people have been placed in custody, the Ministry of the Interior said on Monday.

On the other hand, I was pleased to read an article regarding another favourite theme: Britain is cutting green energy subsidies:

Wind and solar farms will be forced to pay for the extra costs they impose on the UK’s electricity system as a result of their intermittent nature, Amber Rudd, the energy secretary has announced.

Renewable generators will be held “responsible for the pressures they add to the system when the wind does not blow or the sun does not shine”, she said, under new plans being drawn up by the Department of Energy and Climate Change.

In a long-awaited policy “reset” speech, Ms Rudd also unveiled plans to offer billions of pounds of new subsidies for offshore wind farms, potentially doubling the UK’s offshore wind capacity with a further 10 gigawatts in the 2020s, on top of 10GW expected by 2020.

However, she said that offshore wind remained “too expensive” and that the cash would be strictly conditional on deep cost reductions.

In the referenced policy reset speech:

Britain will no longer pursue green energy at all costs and will instead make keeping the lights on the top priority, Amber Rudd, the energy secretary, will vow this week.

Households already face paying over-the-odds for energy for years to come as a result of expensive subsidies handed out to wind and solar farms by her Labour and Lib Dem predecessors, Ms Rudd will warn.

In a major speech setting out a new strategy, the energy secretary is expected to say that from now on, policies will balance “the need to decarbonise with the need to keep bills as low as possible”.
…
Although the Government wants gas plants to replace coal, Ms Rudd is expected to admit that the UK electricity market is now so distorted by subsidies that “no form of power generation, not even gas-fired power stations, can be built without government intervention”.
…
In what will be seen as criticism of her Lib Dem predecessor, Ed Davey, Ms Rudd will say that “contracts were signed with no competition and could have offered better value for money” – an apparent reference to subsidy contracts handed out to offshore wind farms in early 2014.

Only in the final months of the Coalition were subsequent offshore wind projects forced to compete for the payments – revealing they could be built with far lower levels of subsidy.

And finally, to return to the financial markets that are supposed to be the subject of this blog, CAD options markets are looking bearish for the loonie:

Traders are positioning themselves for what could be the last leg down in the Canadian dollar’s three-year collapse.

They’re paying the biggest premium since September for options contracts that protect against currency swings expiring a month from now than for similar contracts that expire three months out, as oil suddenly threatens to fall below $40 per barrel again and the U.S. Federal Reserve looks set to raise interest rates in a matter of weeks. The last time the premium for 30-day protection spiked this high the currency ended up falling to an 11-year low before month’s end.

The options market is lining up with the consensus forecast of economists, who also see weakness in the short term followed by stabilization and ultimately gains into 2016. For many, the Fed’s first interest-rate increase in almost a decade and the most recent surge in oil inventories could mark the last stage of the Canadian dollar’s 25 per cent, three-year slide.

And the market is increasingly expectant of a Fed hike:

The odds the Federal Reserve will raise interest rates at its next meeting in December climbed to 74 percent, and Pacific Investment Management Co. says a move is likely.

The probability the central bank will act at its Dec. 15-16 session increased from less than 30 percent as recently as mid-October, futures contracts show. The U.S. is scheduled to sell $35 billion of five-year notes Tuesday, after a two-year auction Monday drew the highest yield in five years, reflecting expectations among traders for rising interest rates.

And, to get back to non-financial news, the FAA has released proposed regulations for drones:

The recommendations, from a task force created by the agency, would be the biggest step yet by the government to deal with the proliferation of recreational drones, which are usually used for harmless purposes but have also been tools for mischief and serious wrongdoing, and pose a risk to airborne jets.
…
The task force did not go as far with its recommendations as some aviation and security experts had hoped. The proposals say owners should not have to submit any information about their aircraft, for example. It also said there should not be a requirement for drone users to be citizens or permanent residents.
…
The F.A.A. task force was composed of 25 people, including representatives of drone makers, technology companies, an airline pilots association and government officials. The agency gave them a short time — four weeks — to come up with recommendations on a registration system. The F.A.A. said it would take the recommendations into consideration and then write new rules.

Members of the task force stressed on Monday that many compromises were made. The task force wrote in its report that the goal of the registration process was to “ensure accountability by creating a traceable link between aircraft and owner, and to encourage the maximum levels of regulatory compliance by making the registration process as simple as possible.”

“We tried to write it in as generic a flavor as possible,” Dave Vos, a member of the task force and the head of a drone project at Google X, a business that works on future technologies, said in a conference call.

With the “consensus we reached, everyone is quite happy here,” he said.

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts down 50bp, FixedResets losing 54bp and DeemedRetractibles off 24bp. The Performance Highlights table is enormous. Volume was very high.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.20 to be $0.93 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.62 cheap at its bid price of 13.25.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.66 to be 0.66 rich, while MFC.PR.K resetting at +222bp on 2018-9-19, is bid at 19.07 to be 0.57 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.48 to be $1.14 cheap. BAM.PR.X, resetting at +180bp on 2017-6-30 is bid at 15.66 and appears to be $0.76 rich.

FTS.PR.K, with a spread of +205bp, and bid at 19.62, looks $0.90 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 14.09 and is $0.86 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.65%, 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	4.26 %	5.12 %	33,032	17.67	1	0.5657 %	1,819.2
FixedFloater	6.29 %	5.53 %	27,768	16.87	1	-2.8296 %	3,103.9
Floater	4.39 %	4.42 %	80,827	16.50	3	-4.6649 %	1,798.8
OpRet	4.87 %	3.98 %	33,984	0.76	1	-0.1191 %	2,733.2
SplitShare	4.77 %	5.74 %	135,069	2.90	5	-0.2870 %	3,211.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2870 %	2,506.1
Perpetual-Premium	5.80 %	2.14 %	88,098	0.08	6	0.1190 %	2,505.5
Perpetual-Discount	5.57 %	5.65 %	87,569	14.42	33	-0.5001 %	2,570.7
FixedReset	4.94 %	4.58 %	224,342	15.19	76	-0.5355 %	2,076.8
Deemed-Retractible	5.18 %	5.27 %	117,703	5.38	33	-0.2428 %	2,575.1
FloatingReset	2.61 %	3.82 %	60,134	5.75	10	-0.8219 %	2,179.7

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.F	FloatingReset	-8.27 %	Not even close to being real, since the issue traded 27,318 shares in a range of 14.90-48 before closing at 13.76-14.90. The VWAP was 15.03; the last trade of the regular session occurred at 3:20pm. 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 : 2045-11-23 Maturity Price : 13.76 Evaluated at bid price : 13.76 Bid-YTW : 4.30 %
BAM.PR.C	Floater	-5.18 %	Real enough, as the issue traded 5,027 shares in a range of 10.81-28 before closing at 10.81-90, 1×1. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 10.81 Evaluated at bid price : 10.81 Bid-YTW : 4.42 %
BAM.PR.K	Floater	-4.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 10.65 Evaluated at bid price : 10.65 Bid-YTW : 4.49 %
BAM.PR.B	Floater	-4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 10.83 Evaluated at bid price : 10.83 Bid-YTW : 4.42 %
CM.PR.Q	FixedReset	-3.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 4.41 %
BAM.PR.G	FixedFloater	-2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 25.00 Evaluated at bid price : 15.11 Bid-YTW : 5.53 %
BAM.PF.D	Perpetual-Discount	-2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 6.08 %
MFC.PR.L	FixedReset	-2.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.11 Bid-YTW : 6.95 %
BAM.PR.T	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 5.01 %
MFC.PR.M	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 6.33 %
BIP.PR.A	FixedReset	-2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.44 %
MFC.PR.K	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.07 Bid-YTW : 6.90 %
VNR.PR.A	FixedReset	-2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.85 %
CU.PR.F	Perpetual-Discount	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 20.42 Evaluated at bid price : 20.42 Bid-YTW : 5.54 %
HSE.PR.E	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 21.28 Evaluated at bid price : 21.56 Bid-YTW : 5.28 %
IFC.PR.A	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.54 Bid-YTW : 8.68 %
BMO.PR.W	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.39 %
GWO.PR.S	Deemed-Retractible	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 5.91 %
MFC.PR.J	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.27 Bid-YTW : 5.77 %
BMO.PR.T	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.37 %
TD.PF.C	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 4.36 %
TD.PF.B	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.33 %
BNS.PR.D	FloatingReset	-1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.71 Bid-YTW : 5.47 %
BAM.PF.E	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.81 %
PWF.PR.S	Perpetual-Discount	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 5.65 %
TD.PF.A	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.35 %
RY.PR.M	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 4.33 %
HSE.PR.C	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 5.31 %
BAM.PF.C	Perpetual-Discount	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 6.02 %
RY.PR.J	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 21.04 Evaluated at bid price : 21.04 Bid-YTW : 4.36 %
MFC.PR.C	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.56 Bid-YTW : 7.16 %
IAG.PR.A	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 6.88 %
MFC.PR.H	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.52 Bid-YTW : 4.93 %
GWO.PR.R	Deemed-Retractible	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.86 Bid-YTW : 6.81 %
MFC.PR.N	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.66 Bid-YTW : 6.00 %
TD.PF.E	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 21.81 Evaluated at bid price : 22.25 Bid-YTW : 4.25 %
CU.PR.E	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 21.74 Evaluated at bid price : 22.05 Bid-YTW : 5.57 %
CU.PR.G	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 5.50 %
RY.PR.W	Perpetual-Discount	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 22.59 Evaluated at bid price : 22.84 Bid-YTW : 5.38 %
RY.PR.H	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.37 %
HSE.PR.G	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 21.88 Evaluated at bid price : 22.32 Bid-YTW : 5.08 %
SLF.PR.I	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.62 Bid-YTW : 5.60 %
IFC.PR.C	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.16 Bid-YTW : 6.61 %
TRP.PR.A	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 15.93 Evaluated at bid price : 15.93 Bid-YTW : 4.69 %
TRP.PR.E	FixedReset	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.58 %
TRP.PR.D	FixedReset	2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 4.65 %
HSE.PR.A	FixedReset	2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 14.02 Evaluated at bid price : 14.02 Bid-YTW : 4.87 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.B	Deemed-Retractible	163,645	RBC crossed 50,000 at 24.95; Nesbitt crossed 40,000 at the same price; and Desjardins crossed blocks of 50,000 and 17,700 at the same price again. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.94 Bid-YTW : 4.77 %
BMO.PR.K	Deemed-Retractible	142,912	Scotia crossed blocks of 71,400 and 70,000, both at 25.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-25 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : -10.56 %
BNS.PR.O	Deemed-Retractible	83,300	TD crossed blocks of 49,800 and 25,000, both at 25.63. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-23 Maturity Price : 25.50 Evaluated at bid price : 25.66 Bid-YTW : 2.06 %
CU.PR.I	FixedReset	69,270	Nesbitt crossed blocks of 15,300 and 15,000, both at 25.75; TD crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.92 %
RY.PR.E	Deemed-Retractible	64,200	TD crossed 50,000 at 24.95 and 10,000 at 24.94. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.60 %
RY.PR.I	FixedReset	58,301	Scotia crossed blocks of 26,300 and 25,000, both at 24.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 3.58 %
There were 50 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.F	FloatingReset	Quote: 13.76 – 14.90 Spot Rate : 1.1400 Average : 0.7154 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 13.76 Evaluated at bid price : 13.76 Bid-YTW : 4.30 %
CM.PR.Q	FixedReset	Quote: 21.12 – 21.79 Spot Rate : 0.6700 Average : 0.4426 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 4.41 %
BAM.PF.D	Perpetual-Discount	Quote: 20.52 – 21.35 Spot Rate : 0.8300 Average : 0.6177 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-23 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 6.08 %
MFC.PR.M	FixedReset	Quote: 20.27 – 21.04 Spot Rate : 0.7700 Average : 0.5698 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 6.33 %
GWO.PR.I	Deemed-Retractible	Quote: 21.28 – 21.75 Spot Rate : 0.4700 Average : 0.3239 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.28 Bid-YTW : 6.84 %
GWO.PR.S	Deemed-Retractible	Quote: 24.10 – 24.50 Spot Rate : 0.4000 Average : 0.2828 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 5.91 %

There were no surprises with Canadian inflation:

Statistics Canada reported Friday that the country’s inflation rate, as measured by the year-over-year change in the CPI, held steady at 1 per cent in October, as slumping energy costs continued to suppress an otherwise generally rising tide for consumer prices. The CPI edged up a thin 0.1 per cent in October over September, despite gains in most major categories, including a 0.4-per-cent rise in food prices and a 0.3-per-cent increase in shelter costs. But gasoline prices slid 2 per cent month over month, leaving them down 17 per cent compared with a year earlier.

Excluding the energy sector, CPI was up 0.2 per cent month over month, and 2.1 per cent year over year, the statistical agency said.
…
But economists noted that the days of below-normal inflation rates are numbered – simply because the plunge in energy prices is about to drop out of the year-to-year price comparisons.

The BoC has published a working paper by Celso Brunetti, Bahattin Buyuksahin, Jeffrey H. Harris titled Speculators, Prices and Market Volatility:

We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets. To the contrary, hedge funds facilitate price discovery by trading with contemporaneous returns while serving to reduce volatility. Swap dealer activity, however, is largely unrelated to both contemporaneous returns and volatility. Our evidence is consistent with the hypothesis that hedge funds provide valuable liquidity and largely serve to stabilize futures markets.
…
We also examine whether the “financialization” of futures markets (as represented by the changing mix of participant positions) has affected the functioning of the futures markets. In every instance, we find that speculative position changes do not amplify volatility during the crisis and so do not impede the functioning of futures markets. Conversely, in each market we find that macroeconomic conditions are significantly related to futures market volatility, with the strongest link from 2006 through July 2008. In fact, during the heart of the financial crisis after July 2008, volatility is strongly related to macroeconomic uncertainty (rather than market conditions or financialization).

Although our tests do not examine positions, prices or volatility over short intervals (such as a few hours or days), we find no systematic, deleterious link between the trades of hedge funds or swap dealers and either returns or volatility. To the contrary, hedge fund trading, although positively correlated with price changes, is negatively related to volatility both contemporaneously and with a one-day lead. Hedge funds commonly provided liquidity in futures markets and improved price efficiency during the recent financial crisis. We conclude that speculators such as hedge funds and swap dealers should not be viewed as adversarial agents in financial markets, but rather as important liquidity providers to hedgers that enhance the proper functioning of financial markets.

It seems that all the downtown development that Toronto is seeing is not an isolated phenomenon:

Lena Edlund and Michaela Sviatchi of Columbia University and Cecilia Machado of the Getulio Vargas Foundation wondered why the relationship between housing prices and distance from the center of major U.S. cities has reversed since 1980. That year, prices were higher in the suburbs, and urban centers were going to seed. In the next 30 years, prices within three miles of the central business districts of the 27 biggest cities in the U.S. more than doubled. Within a radius of three to 10 miles, they increased by 60 percent. Further out, they only grew by 6 to 10 percent.

“The price profile flips,” the economists wrote in a recent paper. “In 1980, prices in the periphery are 50 percent higher than in the center. By 2010, prices in the center are 40 percent higher than in the periphery.”

The original paper also notes:

Between 1965 and 2005, leisure grew but not for the college educated. In the 1985-2005 period, the contraction in leisure among college men was substantial enough to result in an overall reduction for men (leisure grew among non-college men); for women, leisure contracted across the board but at the twice the rate for college women compared to non-college women [Aguiar and Hurst, 2009, table 2-2].

Aguiar and Hurst [2007, 2009] identified rising labor supply of the skilled to lie at the core of this development. Census data bear this out. The fraction college graduates who worked full time started to rise in the 1970s after three decades of barely moving, Figures 2 and 3. Unsurprisingly, the increase was more pronounced for women. Since 1990, there has also been a notable increase in the fraction (men and women) working 50+ hours per week (or “long hours” to use the terminology of Kuhn and Lozano [2006]).

I sneered at the Capital Power note exchange offer yesterday – the information circular has now been released on SEDAR although I am not permitted to link to it directly as this would make access to public documents too convenient for mere retail scum. The company states:

CPLP believes the Note Exchange Transaction may have the following benefits for the CPLP Noteholders, and that CPLP Noteholders should consider the following factors, among others, in making a decision whether to vote in favour of the Note Exchange Resolution:

• Same Terms. Upon completion of the Note Exchange Transaction, CPLP Noteholders will receive Capital Power Notes having terms (including with respect to coupon, maturity and redemption price) that are the same as those of the CPLP Notes for which they are being exchanged (except for conforming changes necessary to reflect Capital Power as the new issuer and to reflect the guarantee being provided by CPLP).
• Better Liquidity. Over time it is expected that debt of Capital Power will be more liquid than that of CPLP as Capital Power is expected to be the active debt issuer going forward and CPLP will not be.
• Structural Enhancement. Upon completion of the Note Exchange Transaction, CPLP Noteholders will receive Capital Power Notes that will rank pari passu with Capital Power’s other senior unsecured debt securities, will benefit from Capital Power’s diversified asset base (which includes CPLP’s asset base), will benefit from reporting consistent with Capital Power’s publicly traded equity, and will maintain the existing structural priority through a guarantee issued by CPLP. On November 19, 2015, each of DBRS Limited and Standard & Poor’s publicly announced that it expects to assign the same credit rating to the Capital Power Notes that it has assigned to the CPLP Notes.

…
RBC Capital Markets has been retained on behalf of CPLP to act as solicitation agent and to solicit votes in favour of the Note Exchange Resolution.

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

But I will note (from the Annual Report:

The Company, through its subsidiary CPLP, has the following externally imposed requirements on its capital as a result of its credit facilities and certain debt covenants, as defined in the respective agreements:

• Maintenance of modified consolidated net tangible assets to consolidated net tangible assets ratio, as defined in the debt agreements, of not less than 0.8 to 1.0;
• Maintenance of senior debt to consolidated capitalization ratio, as defined in the debt agreements, of not more than 0.65 to 1.0;
• Limitation on debt issued by subsidiaries; and
• In the event that CPLP is assigned a rating of less than BBB- by S&P and BBB (Low) by DBRS, CPLP would also be required to maintain a ratio of net income before interest, income taxes, depreciation and amortization to finance expense, as defined in the debt agreements, of not less than 2.5 to 1.0.

I will also note, from the Annual Report, that consolidated revenue was $1,228-million while CPLP revenue was $1,220-million. So: diversification , schmiversification. I’ll stick to my guns and say holders should vote against the plan, despite the fact that the agencies say the difference between the two entitities does not result in a notching of credit and despite the fact that one major dealer, at least, thinks everything’s peachy with voting in favour. Being closer to the money and being owed the money directly by a financing vehicle subject to covenants is worth something; and even if it’s only worth 5bp, I want that 5bp.

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts down 33bp, FixedResets losing 69bp and DeemedRetractibles off 10bp. The Performance Highlights table is of moderate – by 2015 standards – length. Volume was well above average.

Interestingly, this time the market was down only moderately until about 3pm, when it commenced a significant downdraft – but this time, instead of a last minute collapse, there was a notable (albeit insufficient) rebound commencing at 3:54. Perhaps some players have set up to take advantage of late-session selling pressure!

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 18.85 to be $0.77 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.47 cheap at its bid price of 13.25.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.90 to be 0.59 rich, while MFC.PR.K resetting at +222bp on 2018-9-19, is bid at 19.52 to be 0.42 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.59 to be $1.21 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 19.90 and appears to be $0.78 rich.

FTS.PR.K, with a spread of +205bp, and bid at 19.62, looks $0.90 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 14.14 and is $0.81 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.45%, with one outlier above 0.50%. 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	4.29 %	5.15 %	33,506	17.64	1	-0.5625 %	1,808.9
FixedFloater	6.11 %	5.35 %	26,169	17.09	1	0.3226 %	3,194.3
Floater	4.19 %	4.22 %	78,841	16.91	3	1.3465 %	1,886.8
OpRet	4.86 %	3.78 %	35,386	0.76	1	-0.0794 %	2,736.5
SplitShare	4.76 %	5.60 %	136,547	2.91	5	0.1643 %	3,221.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1643 %	2,513.3
Perpetual-Premium	5.81 %	1.55 %	88,883	0.08	6	-0.1254 %	2,502.6
Perpetual-Discount	5.54 %	5.62 %	87,738	14.46	33	-0.3257 %	2,583.6
FixedReset	4.91 %	4.60 %	220,423	15.36	76	-0.6918 %	2,088.0
Deemed-Retractible	5.16 %	5.25 %	116,104	5.39	33	-0.0977 %	2,581.4
FloatingReset	2.57 %	3.78 %	60,567	5.76	10	-0.0203 %	2,197.7

Performance Highlights
Issue	Index	Change	Notes
TD.PF.D	FixedReset	-5.62 %	Just standard nonsense from nonsense-central. The issue traded 4669 shares in a range of 21.90-20 today before closing at 21.00-22.10 (!). 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 : 2045-11-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.44 %
HSE.PR.A	FixedReset	-4.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 13.67 Evaluated at bid price : 13.67 Bid-YTW : 5.02 %
IFC.PR.C	FixedReset	-2.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.88 Bid-YTW : 6.81 %
HSE.PR.C	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.23 Evaluated at bid price : 20.23 Bid-YTW : 5.24 %
CM.PR.Q	FixedReset	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.50 Evaluated at bid price : 21.80 Bid-YTW : 4.25 %
BAM.PF.F	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 4.77 %
RY.PR.J	FixedReset	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 4.32 %
BAM.PR.T	FixedReset	-2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.88 %
TRP.PR.B	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 12.28 Evaluated at bid price : 12.28 Bid-YTW : 4.55 %
BAM.PR.N	Perpetual-Discount	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 5.89 %
RY.PR.Z	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.28 %
BAM.PF.B	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.86 %
RY.PR.M	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.27 %
BMO.PR.Y	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.55 Evaluated at bid price : 21.87 Bid-YTW : 4.21 %
IFC.PR.A	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.87 Bid-YTW : 8.40 %
RY.PR.O	Perpetual-Discount	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 22.71 Evaluated at bid price : 23.06 Bid-YTW : 5.32 %
FTS.PR.G	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 4.34 %
BAM.PF.A	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.89 %
BAM.PR.M	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.86 %
NA.PR.S	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.51 %
HSE.PR.G	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 22.03 Evaluated at bid price : 22.55 Bid-YTW : 5.03 %
RY.PR.H	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.33 %
POW.PR.D	Perpetual-Discount	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 22.39 Evaluated at bid price : 22.65 Bid-YTW : 5.58 %
CU.PR.C	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.35 %
TD.PR.S	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 3.54 %
MFC.PR.J	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.63 Bid-YTW : 5.55 %
W.PR.J	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 23.74 Evaluated at bid price : 24.05 Bid-YTW : 5.89 %
BAM.PR.R	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 16.59 Evaluated at bid price : 16.59 Bid-YTW : 5.07 %
MFC.PR.G	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 5.21 %
NA.PR.W	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 4.40 %
SLF.PR.H	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.30 Bid-YTW : 7.36 %
VNR.PR.A	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.75 %
SLF.PR.I	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.11 Bid-YTW : 5.46 %
BAM.PF.C	Perpetual-Discount	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 5.93 %
CU.PR.F	Perpetual-Discount	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.42 %
BMO.PR.M	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 3.39 %
BNS.PR.D	FloatingReset	1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.02 Bid-YTW : 5.18 %
MFC.PR.F	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.25 Bid-YTW : 8.67 %
PWF.PR.T	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.88 Evaluated at bid price : 22.20 Bid-YTW : 3.89 %
BAM.PR.B	Floater	2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 11.32 Evaluated at bid price : 11.32 Bid-YTW : 4.22 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.O	FixedReset	164,810	RBC crossed 100,000 at 19.85; Scotia crossed 40,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.71 Evaluated at bid price : 19.71 Bid-YTW : 4.34 %
BNS.PR.R	FixedReset	138,700	Nesbitt crossed blocks of 20,000 and 50,000, both at 24.85. TD sold 10,000 to anonymous at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 3.55 %
BMO.PR.T	FixedReset	131,286	Scotia crossed 50,000 at 19.60; Nesbitt crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 4.31 %
BMO.PR.S	FixedReset	119,222	RBC crossed 49,400 at 20.10. Scotia crossed 50,600 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 4.26 %
RY.PR.I	FixedReset	86,735	RBC crossed 49,800 at 24.50; TD crossed 10,800 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.48 Bid-YTW : 3.61 %
BNS.PR.B	FloatingReset	75,490	Scotia crossed 74,300 at 22.47. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.54 Bid-YTW : 3.86 %
There were 46 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.D	FixedReset	Quote: 21.00 – 22.10 Spot Rate : 1.1000 Average : 0.7028 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.44 %
HSE.PR.A	FixedReset	Quote: 13.67 – 14.47 Spot Rate : 0.8000 Average : 0.4891 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 13.67 Evaluated at bid price : 13.67 Bid-YTW : 5.02 %
VNR.PR.A	FixedReset	Quote: 20.30 – 21.31 Spot Rate : 1.0100 Average : 0.7213 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.75 %
BAM.PR.N	Perpetual-Discount	Quote: 20.51 – 21.25 Spot Rate : 0.7400 Average : 0.5038 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 5.89 %
IFC.PR.C	FixedReset	Quote: 19.88 – 20.56 Spot Rate : 0.6800 Average : 0.4531 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.88 Bid-YTW : 6.81 %
BAM.PR.M	Perpetual-Discount	Quote: 20.60 – 21.20 Spot Rate : 0.6000 Average : 0.4169 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.86 %