Category: Market Action

Market Action

November 19, 2015

Today’s post is dedicated to the snivelling cowards who don’t want to take in Syrian refugees because ISIS might get mad at us. Wear one of these on your lapel on future Remembrance Days instead of a poppy:

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Today’s sick joke has to do with money laundering – Assiduous Readers will recall that here in North America we are spending untold billions of dollars on a regulatory regime that causes massive inconvenience to honest citizens and has, so far, caught the notorious master-criminals Hastert and Switzer, last discussed in detail on October 19. So how does ISIS make its money and move it around? They’ve got a lot of oil and wheat money:

These airstrikes were launched not because U.S. officials were prescient. They came after the Obama administration found and quietly fixed a colossal miscalculation. U.S. intelligence had grossly overestimated the damage they’d inflicted during airstrikes on the militants’ oil production apparatus last year, while underestimating Islamic State’s oil revenue by $400 million. According to U.S. Department of the Treasury officials and data they released in the wake of the Paris mayhem, the terrorist group is actually taking in $500 million from oil a year. What’s more, just a few hours before the first Islamic State suicide bomber blew himself up outside the Stade de France on Nov. 13, U.S. Army Colonel Steve Warren conceded at a press briefing that some American airstrikes disrupted IS oil operations for no more than a day or two.
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Arguably the least appreciated resource for Islamic State is its fertile farms. Before even starting the engine of a single tractor, the group is believed to have grabbed as much as $200 million in wheat from Iraqi silos alone. Beyond harvested grains, the acreage now controlled by militants across the Tigris and Euphrates river valleys has historically produced half of Syria’s annual wheat crop, about one-third of Iraq’s, and almost 40 percent of Iraqi barley, according to UN agricultural officials and a Syrian economist. Its fields could yield $200 million per year if those crops are sold, even at the cut rates paid on black markets. And how do you conduct airstrikes on farm fields?

But here’s the best part: when ISIS conquers territory in Iraq, the Iraqi government continues to pay the civil service in the area:

ISIS uses adjacent areas not only to access foreign funds, but also to cull money from Iraqi government officials still working in its territory. For example, Baghdad may be paying up to $130 million every month to government workers in Mosul alone.

The city’s formal banking system was shut down after ISIS took over, so “department emissaries are sent into Iraqi or Kurdish territory [to] collect salary money.” When these officials return to disburse the funds, ISIS naturally takes a cut off the top — according to the FATF report, the group “could potentially profit hundreds of millions of USD annually from taxing these salary payments.”
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The goal here should be strict regulation and transparency, not eliminating all money flows into these border areas.

The latter is neither realistic nor advisable, as a collapsed economy would only worsen the humanitarian crisis and hurt innocent civilians who are effectively ISIS hostages trying to survive one day at a time.

But without greater oversight and control over the flow of funds to areas in the Islamic State’s “near abroad,” the group will continue using backdoors to fund its brutality and terrorism in Syria, Iraq, and elsewhere.

So let’s not hear any more crap about how our Canadian banking regulations are an important element in the fight against terrorism. It’s a joke.

Oh, and while we’re on the topic of Canadian financial regulation, let’s see what Christine Duhaime has to say:

Two weeks from now, I appear before the United Nations law and policy group to discuss the regulation of bitcoin, the blockchain and digital finance, which are at the cutting edge of financial technology.

It’s appropriate that they asked a Canadian lawyer to speak, because we know about balanced financial regulation – 18 months ago, Canada moved to overregulate fintech with the world’s first law governing digital currencies, enacted amid concerns about terrorist financing.

Overnight, we drove away hundreds of millions of investment dollars in fintech from Canada, money that went to Britain instead.

Assiduous Reader JP sends me another interesting link today, bringing the score for the month to date to: JP 2 Youse Other Bums 0. This one is an essay on the corporate savings glut by Martin Wolf of the Financial Times:

In the six largest high-income economies – the US, Japan, Germany, France, the UK and Italy – corporations accounted for between half and just over two-thirds of gross investment in 2013 (the lowest share being in Italy, the highest in Japan).

Because corporations are responsible for such a large share of investment, they are also, in aggregate, the largest users of available savings, but their own retained earnings are also a huge source of savings.
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If the corporate sector runs a structural surplus of savings over investment, other sectors must run offsetting structural deficits. If the government is to be in financial balance, either households or foreigners must run these deficits.

In the euro zone, this logic has led to huge current account surpluses (a financial deficit for foreigners). For the UK and US, it is likely to mean renewed household deficits – a destabilising possibility.

Why is corporate investment structurally weak? The ageing of societies is one reason: by slowing potential growth, it lowers the level of investment needed.

Globalisation is another: it motivates relocation of investment from the high-income countries. Another reason is technological innovation. Much investment today is in IT, whose price is collapsing: constant nominal investment finances rising real investment. Again, much innovation seems to reduce the need for capital: consider the substitution of warehouses for retail stores. Another explanation could be that management is not rewarded for investing.

Together, all this might explain why, to take the US example, the ratio of corporate investment to profits has declined substantially since 2000.
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Moreover, if the corporate sector is unable to invest even its own savings, savings in the rest of the economy are bound to have a low marginal value. In such a world, both ultra-low real interest rates and high equity prices are not at all surprising. They are to be expected. So stop complaining.

The Bank of Canada has released the Bank of Canada Review, Autumn 2015, with articles:

Is Slower Growth the New Normal in Advanced Economies?
A Survey of Consumer Expectations for Canada
Measuring Durable Goods and Housing Prices in the CPI: An Empirical Assessment
The Effect of Regulatory Changes on Monetary Policy Implementation Frameworks
Recent Enhancements to the Management of Canada’s Foreign Exchange Reserves

In the article A Survey of Consumer Expectations for Canada, the following table appears:

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There have been two new developments in the fascinating Sprott Silver battle. First, the fund is proposing to become an ETF:

The Board of Trustees of Silver Bullion Trust (“SBT”) (TSX:SBT.UN) (C$) (TSX:SBT.U) (US$) announced today that SBT has entered into a letter of intent with Purpose Investments Inc. (“Purpose”) regarding the proposed conversion of SBT into an exchange-traded silver bullion fund (“ETF”). The proposed conversion will involve certain amendments to SBT’s Declaration of Trust that will be subject to approval by SBT unitholders at a special unitholders’ meeting expected to be held by the end of January 2016. The proposal is also subject to the execution of definitive agreements, receipt of regulatory approvals and other customary conditions for transactions of this nature. Full details regarding the proposed conversion and its anticipated benefits will be outlined in a management information circular which will be mailed to unitholders in advance of the proposed special meeting.

Purpose is an independent, employee-owned Canadian investment management company established in January 2013 by Som Seif, founder and former CEO of Claymore Investments, a leading Canadian ETF provider, which was purchased by BlackRock, Inc. in 2012. Purpose, which has current assets under management of over $1.4 billion across 17 funds, is one of Canada’s most experienced ETF managers and has significant experience in managing bullion funds. Purpose and Silver Administrators Limited, SBT’s current administrator, will jointly administer SBT following approval of the conversion by SBT unitholders.

Second, the OSC has ordered enhanced disclosure from Sprott:

Silver Bullion Trust (“SBT”) (TSX:SBT.UN) (C$) (TSX:SBT.U) (US$) announced today that the Ontario Securities Commission (“OSC”) has issued an order requiring Sprott Asset Management Silver Bid LP and certain of its affiliates (collectively, “Sprott”) to issue a notice of change that provides enhanced disclosure to Unitholders regarding the amendments Sprott unilaterally made to the voting powers of attorney solicited by Sprott in connection with its unsolicited offer (the “Sprott Offer”) to acquire all of the units of SBT. The OSC also prohibited Sprott from exercising rights purportedly attaching to the voting powers of attorney before the expiry of 15 days after the notice of change is issued.

The November 4, 2015 Notice of Variation of the Sprott Offer unilaterally amended the intended use of the voting powers of attorney granted by those Unitholders who had tendered to the Sprott Offer. Sprott now intends to use the powers of attorney to replace the independent trustees of SBT, and to elect Sprott insiders as trustees, if more than 50.1% of the outstanding units of SBT are tendered to the Sprott Offer. These powers of attorney were originally intended to be used to replace the trustees if 66 2/3% of the units were tendered to the Sprott Offer to facilitate completion of the Sprott Offer. SBT applied to the OSC for an order, which among other things, would prevent Sprott from using the powers of attorney in this manner, in part because of the lack of proper disclosure about the change of intent. So long as the unsolicited Sprott Offer remains outstanding, Unitholders who have tendered their units will have conveyed their voting rights to Sprott and have forfeited their ability to consider the alternative transaction described below.

The OSC order has been published on the OSC site.

Capital Power is attempting to clean up its structure at the expense of bondholders:

Capital Power Corporation (“Capital Power”) (TSX: CPX) and Capital Power L.P. (“CPLP”) announced today that CPLP has called a meeting of the holders (“CPLP Noteholders”) of issued and outstanding 4.85% Medium Term Notes due February 21, 2019 (“Series 3”) and 5.276% Medium Term Notes due November 16, 2020 (“Series 1”) (collectively, the “CPLP Notes”) of CPLP. The principal amounts outstanding are $250 million for Series 3 and $300 million for Series 1.

The record date for determining CPLP Noteholders entitled to vote at the meeting is November 18, 2015 with the meeting to be held in Toronto on December 17, 2015 at the time set out in the Notice of Meeting. An information circular (“Circular) and related proxy materials will be mailed to CPLP Noteholders and also are available on SEDAR at www.sedar.com.

The meeting has been called to consider passing an extraordinary resolution to authorize CPLP to enter into a supplemental indenture amending the terms of the trust indenture dated April 14, 2010. In accordance with the steps described in the Circular, all issued and outstanding CPLP Notes would be exchanged for an equal principal amount of newly issued medium term notes of Capital Power having financial and other terms that are the same as those attached to the CPLP Notes and benefiting from a guarantee to be provided by CPLP (“Note Exchange Transaction”).

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

RBC Capital Markets is the Solicitation Agent for the Note Exchange Transaction and Kingsdale Shareholder Services has been retained to act as Information Agent.

The Information Circular is not yet available, so I’m not sure how much is being paid to brokers for favourable votes from their clients. I have not seen any indication, so far, regarding the effect on the credit ratings of this structural subordination:

The Company’s power generation operations and assets are owned by Capital Power L.P. (CPLP), a subsidiary of the Company. As at December 31, 2014, the Company held 21.750 million general partnership units and 62.112 million common limited partnership units of CPLP which represented approximately 82% of CPLP’s total partnership units. EPCOR (in this MD&A, EPCOR refers to EPCOR Utilities Inc. collectively with its subsidiaries) held 18.841 million exchangeable common limited partnership units of CPLP which represented approximately 18% of CPLP. CPLP’s exchangeable common limited partnership units are exchangeable for common shares of Capital Power Corporation on a one-for-one basis.

Nonetheless, anybody who votes in favour of this arrangement without a sweetener is a fool. The position in the capital structure is worth … something and should not be given up without getting … something.

Big 8 Split Inc., proud issuer of BIG.PR.D (not tracked by HIMIPref™) was confirmed at Pfd-2(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the rating of Class D Preferred Shares, Series 1 (the Preferred Shares) issued by Big 8 Split Inc. (the Company) at Pfd-2 (low).
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Dividends received from the Portfolio are used to pay fixed cumulative quarterly distributions to holders of the Preferred Shares, yielding 4.50% per annum on the initial issue price of $10.00. The Capital Shares are expected to receive all excess dividend income after the Preferred Share distributions and other Company expenses have been paid. Based on the current dividend yield on the Portfolio, the Preferred Share dividend coverage ratio is approximately 1.5 times, and as such there is no grind on the portfolio.
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Downside protection available to the Preferred Shares consists of the net asset value of the Capital Shares. As of November 11, 2015, the downside protection was approximately 55.6%.

5Banc Split Inc., proud issuer of FBS.PR.C (tracked by HIMIPref™ but relegated to the Scraps index on volume concerns) has been confirmed at Pfd-2 by DBRS:

DBRS Limited (DBRS) has today confirmed the rating of Class C Preferred Shares, Series 1 (the Preferred Shares) issued by 5Banc Split Inc. (the Company) at Pfd-2.
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Dividends received from the Portfolio are used to pay a quarterly fixed, cumulative, preferential distribution of $0.11875 per Preferred Share to yield 4.75% per annum. As of November 11, 2015, the downside protection was approximately 69%. Based on the dividend yields on the underlying Portfolio holdings as of November 11, 2015, the Preferred Share dividend coverage ratio is approximately 2.5 times.

Brookfield Renewable announced the exercise of the underwriters’ option for their new issue. I have updated the PrefBlog announcement post.

While today’s market swoon was nowhere near as dramatic as yesterday‘s, there was the same pattern of an exaggerated decline at the close, as the TXPL index moved from 708.63 at 3:56pm to 707.16 at the close:

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It was a mixed but poor day for the Canadian preferred share market, with PerpetualDiscounts off 19bp, FixedResets down 46bp and DeemedRetractibles gaining 2bp. The Performance Highlights table is ridiculously long. 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:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.00 to be $0.82 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.59 cheap at its bid price of 13.25.

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Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 21.20 to be 0.54 rich, while MFC.PR.K resetting at +222bp on 2018-9-19, is bid at 19.78 to be 0.49 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.79 to be $1.21 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 21.50 and appears to be $0.73 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 19.62, looks $0.85 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 14.03 and is $0.96 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.42%, with one outlier above 0.00%. There is one junk outlier above 0.00% and one below -2.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.26 %	5.12 %	33,606	17.68	1	-1.8405 %	1,819.2
FixedFloater	6.13 %	5.37 %	26,572	17.06	1	0.0000 %	3,184.1
Floater	4.24 %	4.32 %	74,656	16.71	3	-5.2990 %	1,861.8
OpRet	4.86 %	3.66 %	33,587	0.77	1	0.1988 %	2,738.6
SplitShare	4.76 %	5.71 %	138,644	2.91	5	0.1975 %	3,215.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1975 %	2,509.2
Perpetual-Premium	5.80 %	-0.83 %	89,865	0.08	6	-0.5710 %	2,505.7
Perpetual-Discount	5.53 %	5.61 %	86,880	14.46	33	-0.1895 %	2,592.1
FixedReset	4.87 %	4.64 %	222,470	15.43	76	-0.4579 %	2,102.5
Deemed-Retractible	5.15 %	5.25 %	115,642	5.39	33	0.0153 %	2,583.9
FloatingReset	2.57 %	3.76 %	59,939	5.77	10	0.1169 %	2,198.2

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.B	Floater	-6.77 %	Exaggerated, but not completely wrong, as the issue traded 13,174 shares in a range of 11.03-99 before closing at 11.02-65, 4×1. The low of 11.03 was achieved by a single trade of 300 shares; 100 traded at 11.11; 200 at 11.25 and all the rest were above 11.30, with a VWAP of 11.60. So I’m guessing that the market maker got scared at around 3:30pm and took the rest of the day off. 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 : 2045-11-19 Maturity Price : 11.02 Evaluated at bid price : 11.02 Bid-YTW : 4.34 %
BAM.PR.K	Floater	-5.31 %	This is much the same story as with BAM.PR.B, above, but this time there’s more excuse – there was a burst of small sells, possibly algorithmic, from National Bank that took the market down from 11.50 at 3:19 to 10.90 at 3:32. The issue traded 21,358 shares in a range of 10.90-85 before closing at 11.05-57, 1×1. The VWAP was 11.57. 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 : 2045-11-19 Maturity Price : 11.05 Evaluated at bid price : 11.05 Bid-YTW : 4.32 %
BAM.PR.C	Floater	-3.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 4.21 %
TRP.PR.C	FixedReset	-2.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 4.72 %
VNR.PR.A	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 4.70 %
SLF.PR.H	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.51 Bid-YTW : 7.20 %
IFC.PR.A	FixedReset	-2.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.12 Bid-YTW : 8.20 %
PWF.PR.T	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 21.41 Evaluated at bid price : 21.75 Bid-YTW : 3.97 %
BAM.PF.B	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 4.78 %
SLF.PR.J	FloatingReset	-2.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.67 Bid-YTW : 9.31 %
BAM.PR.E	Ratchet	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 5.12 %
TD.PF.E	FixedReset	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 21.98 Evaluated at bid price : 22.51 Bid-YTW : 4.20 %
CM.PR.P	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.36 %
BAM.PR.T	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 4.78 %
BAM.PF.A	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 4.81 %
TD.PF.B	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 4.28 %
RY.PR.J	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 21.47 Evaluated at bid price : 21.75 Bid-YTW : 4.21 %
CU.PR.C	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.29 %
FTS.PR.H	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 14.03 Evaluated at bid price : 14.03 Bid-YTW : 4.32 %
BAM.PF.C	Perpetual-Discount	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.87 %
TD.PF.A	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 4.27 %
MFC.PR.I	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.23 Bid-YTW : 5.03 %
BAM.PF.D	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.86 %
HSE.PR.A	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 4.86 %
RY.PR.H	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.27 %
PWF.PR.R	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 24.10 Evaluated at bid price : 24.60 Bid-YTW : 5.62 %
BMO.PR.M	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 3.61 %
CM.PR.Q	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 21.86 Evaluated at bid price : 22.30 Bid-YTW : 4.15 %
RY.PR.M	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 21.34 Evaluated at bid price : 21.34 Bid-YTW : 4.20 %
CU.PR.D	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 22.14 Evaluated at bid price : 22.45 Bid-YTW : 5.46 %
GWO.PR.N	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.85 Bid-YTW : 9.87 %
W.PR.J	Perpetual-Discount	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 24.08 Evaluated at bid price : 24.34 Bid-YTW : 5.82 %
TRP.PR.F	FloatingReset	4.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 15.11 Evaluated at bid price : 15.11 Bid-YTW : 3.89 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.S	FixedReset	214,079	Desjardins crossed 78,900 at 19.82. RBC crossed 112,000 at 19.79. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 4.45 %
TD.PF.B	FixedReset	164,220	Scotia crossed blocks of 50,000 and 35,000, both at 19.70. RBC crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 4.28 %
NA.PR.W	FixedReset	125,945	RBC crossed 112,000 at 19.59. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 4.35 %
RY.PR.H	FixedReset	119,197	Scotia crossed two blocks of 50,000 each, both at 19.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.27 %
BNS.PR.Z	FixedReset	87,857	Desjardins crossed 64,400 at 20.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.56 Bid-YTW : 5.90 %
BMO.PR.T	FixedReset	81,650	Scotia crossed 25,000 at 19.55. RBC crossed 29,600 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.26 %
There were 59 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.B	Floater	Quote: 11.02 – 11.65 Spot Rate : 0.6300 Average : 0.4234 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 11.02 Evaluated at bid price : 11.02 Bid-YTW : 4.34 %
BAM.PF.C	Perpetual-Discount	Quote: 21.00 – 21.55 Spot Rate : 0.5500 Average : 0.3491 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.87 %
BAM.PR.K	Floater	Quote: 11.05 – 11.57 Spot Rate : 0.5200 Average : 0.3392 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 11.05 Evaluated at bid price : 11.05 Bid-YTW : 4.32 %
TD.PF.E	FixedReset	Quote: 22.51 – 22.99 Spot Rate : 0.4800 Average : 0.3272 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 21.98 Evaluated at bid price : 22.51 Bid-YTW : 4.20 %
PWF.PR.R	Perpetual-Discount	Quote: 24.60 – 24.98 Spot Rate : 0.3800 Average : 0.2403 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 24.10 Evaluated at bid price : 24.60 Bid-YTW : 5.62 %
PWF.PR.T	FixedReset	Quote: 21.75 – 22.33 Spot Rate : 0.5800 Average : 0.4407 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-19 Maturity Price : 21.41 Evaluated at bid price : 21.75 Bid-YTW : 3.97 %

Market Action

November 18, 2015

Assiduous Reader JP, who sends me more interesting links than all the rest of youse other bums combined, brings to my attention a popular press story on corporate bond liquidity:

Add one more name to the chorus of doom. Earlier this week, Andrew Tyrie, the Conservative MP and chairman of the Treasury Select Committee, wrote to Mark Carney, the Governor of the Bank of England, to express his concern about bond market liquidity – or, more precisely, the lack thereof.
…
In May, Nouriel Roubini, the US economist made famous for predicting the US housing problems that led to the financial crisis, wrote about “the liquidity timebomb”.

In June, Stephen Schwarzman, the chief executive of private equity firm Blackstone, penned a comment piece for The Wall Street Journal on bond market liquidity entitled: “How the next financial crisis will happen”.

Why has what sounds like a pretty niche subject got so many knickers in such a twist?
…
Regardless, there’s little appetite among regulators to row back on capital rules. So liquidity may need to come from somewhere else. One theory is that fund managers should try to trade directly with each other (although the fate of Bondcube, an online marketplace which tried to facilitate such transactions but went bust in July after only three months because investors couldn’t agree on prices without the involvement of a broker, doesn’t bode well).

Or perhaps the amount of liquidity available before the crisis was the aberration and we now need to reset our expectations. Should, for example, investors be allowed to withdraw money, at a moment’s notice, from funds that invest in rarely-traded securities?

Regulators have made a trade-off. Banks have been made less risky. But, as Bill Gross, the famous bond investor, said earlier this year, that risk hasn’t been eliminated – it’s just moved elsewhere in the system.

Nouriel Roubini’s piece makes the point:

As a result, when surprises occur – for example, the Fed signals an earlier-than-expected exit from zero interest rates, oil prices spike, or eurozone growth starts to pick up – the re-rating of stocks and especially bonds can be abrupt and dramatic: everyone caught in the same crowded trades needs to get out fast. Herding in the opposite direction occurs, but, because many investments are in illiquid funds and the traditional market makers who smoothed volatility are nowhere to be found, the sellers are forced into fire sales.

This combination of macro liquidity and market illiquidity is a time bomb. So far, it has led only to volatile flash crashes and sudden changes in bond yields and stock prices. But, over time, the longer central banks create liquidity to suppress short-run volatility, the more they will feed price bubbles in equity, bond, and other asset markets. As more investors pile into overvalued, increasingly illiquid assets – such as bonds – the risk of a long-term crash increases.

This is the paradoxical result of the policy response to the financial crisis. Macro liquidity is feeding booms and bubbles; but market illiquidity will eventually trigger a bust and collapse.

Blackrock’s report is titled US EQUITY MARKET STRUCTURE: LESSONS FROM AUGUST 24:

Contributors to disruptions on the morning of August 24:
…
3.Excessive use of market and stop-loss orders that seek “liquidity at any price” inflamed the situation.

When markets are volatile, liquidity can come at a cost.
Market and stop-loss orders that demand “liquidity at any price” added to selling pressure and proved especially risky on the morning of August 24.

…
Recommendations for enhancing US equity market resiliency:
…
7.Educate investors on how to navigate the modern US equity market. Customer-facing broker-dealers should consider whether there is more to do to raise investor awareness regarding usage of market and stop-loss orders in volatile periods, especially at the open or close.
…
Orders that seek liquidity at any price may expose investors to prices which reflect the cost of liquidity at a given point in time as opposed to the underlying fundamental value of a security. Taken together, we believe that it is important that investors are educated about how to navigate today’s complex equity market and volatility. In particular, investors should have an understanding of the implications and potential risks associated with the use of “liquidity at any price” order types, such as market and stop-loss orders. We are supportive of ongoing cost/benefit analyses to determine whether certain constraints on market and stop-loss orders would be appropriate. Further discussion is needed to determine whether other protections should be implemented; for example, additional disclosure to customers regarding the potential risks associated with the use of market and stop-loss orders. Customer-facing broker-dealers are best positioned to consider ongoing investor education efforts.

Blackrock’s emphasis on investor education is very sweet and leaves me wondering how much of this was written to curry favour with the regulators. Retail, taken as a whole, is stupid and enjoys being stupid. There are about a bazillion pages on the Web touting stop-loss orders as the sure-fire way to get free money, such as Stops – Minimizing Losses And Protecting Gains:

Next time someone tells you their stock portfolio is up by 50%, congratulate them, then ask “What have you done to protect your profit?”

If they look at you with a puzzled expression on their face, then you know their 50% paper gain could easily be lost within a matter of days or weeks. If they tell you they have an exit strategy with Stop Losses in place to protect a large percentage of their gain, then you know they are probably prepared.

Investor education, hah! I’ve got news for Blackrock: you can lead a horse to water, but you can’t make it drink.

On another note, the NYSE is banning stop-loss orders:

Stop orders — or instructions to immediately trade once a stock hits a certain price, even if the price is far worse than the one on the order — will no longer be available starting on Feb. 26, NYSE said this week.
…
Brokerage firms can still program their systems to carry out orders that achieve the same results as a stop order for their clients, by entering a market order on the client’s behalf after a stock price reaches a specified threshold.

Nonetheless, Cunningham said, the exchange wants “to raise the profile of the risks associated with this order type.”

One possibility for mitigating the volatility due to stop-loss orders is to make them transparent: the Exchanges could make public a list of trigger prices and stop volume throughout the trading day. This would, I think, lead to market players putting in limit bids somewhere below each stop-trigger in hopes of getting a lucky fill. Currently, the TSX (for example) does not provide pre-trade transparency on stop orders:

No pre-trade transparency of: i) orders entered in the MOC facility; ii) “On-Stop Book” orders, until the limit price of the order is triggered, at which point they become part of the “Regular Book”; and iii) dark orders are fully hidden until execution.

On the other hand, it would probably also lead to a thinning of the market immediately above the major trigger points, so maybe that’s not such a great idea. Another possibility is a new order type that would interact only with stop-loss orders; that is to say, instead of stop-loss orders turning into limit or market orders, they would retain their stop-identity for the purpose of interacting with this new, bottom-feeder, order type.

And on the other other hand, who cares? Players using stop-losses aren’t trading on fundamentals, so screw ’em! Vapourizing the investments of non-fundamental investors is a Public Good so let’s just do it, ride out the volatility and move on.

But perhaps the most effective argument against eliminating stop-loss as an order type is practical: the fact is that in the first place, such orders will simply move to the brokers’ books and in the second place will be available to anybody via a simple algorithm. The latter point means that you must accept that certain simple order types will suddenly be restricted to big players, which won’t be very popular with self-proclaimed Investor Activists or with regulators who stop and think about what it is they’re doing … well, OK, with self-proclaimed Investor Activists, anyway.

Veresen Inc., proud issuer of VSN.PR.A, was confirmed at Pfd-3 by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating and Senior Unsecured Notes rating of Veresen Inc. (Veresen or the Company) at BBB as well as its Preferred Shares rating at Pfd-3. The trend on the ratings is Stable. Veresen’s ratings are supported by firm take-or-pay and fee-based cash flows from a diversified portfolio of energy infrastructure assets; however, some of the Company’s midstream gas gathering and processing operations are exposed to volume and commodity price risks.
…
The Company’s non-consolidated financial profile remains reasonable for its current rating category. On a non-consolidated basis, the Company’s credit metrics improved in 2015 as debt relating to the Ruby acquisition in 2014 was fully repaid in 2015 with non-consolidated debt-to-capital at 24.1% and cash flow to debt at 32.5% as of Q3 2015. DBRS expects the Company to remain prudent in its future financing strategy to maintain its non-consolidated leverage at or near the 30.0% level.

The market made a funny noise this afternoon:

Click for Big

No, I mean really, look at the TXPL chart:

Click for Big

So sure, it wasn’t a great day from the beginning, with the TXPL index down about half a point by about 11am and drifting slowly lower thereafter. Then the fun started at about 2:45pm, with the index losing an additional 14bp by 3:25pm, losing another 14bp by 3:39pm, and then just getting crushed, losing another 50bp by the close (to an index level of 710.46), for a total of 154bp on the day. Looks like we’re back to all that fun we had in September and early October, with motivated sellers waiting until late in the trading day to dump their holdings.

I’m not sure how that works. It seems to me that if I had a big sell order to execute, come hell or high water, I would try to take the market down earlier in the day, in order to attract some buyers at the lower prices. It seems to me that one possible – and I do mean possible, don’t anybody assume that this is what is actually happening – mechanism for this is that Joe Trader gets an order to sell 50,000 shares throughout the day, slaps it into a cautious, liquid-equity style algorithm and then finds out at 3pm that he’s only got fills on 5,000 and has to get cracking. I don’t like speculating about such micro-mechanisms, but … it just seems so wasteful to take the market down 50bp in the last five minutes-odd of the day, when relatively few participants will have a chance to react.

It was a rotten day for the Canadian preferred share market, with PerpetualDiscounts off 13bp, FixedResets losing 93bp and DeemedRetractibles down 36bp. The Performance Highlights table is suitably long, with a heavy load of TRP issues among the worst losers. Volume was extremely high.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.06 to be $0.79 rich, while TRP.PR.G, resetting 2020-11-30 at +154, is $0.36 cheap at its bid price of 20.80.

Click for Big

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 21.13 to be 0.48 rich, while MFC.PR.K resetting at +222bp on 2018-9-19, is bid at 19.76 to be 0.52 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.79 to be $1.33 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 21.70 and appears to be $0.83 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 19.55, looks $0.78 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 14.20 and is $0.82 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.50%, with no outliers. There are two junk outliers above 0.00% and one below -2.00%.

Click for Big

The BCE.PR.R / BCE.PF.Q pair is no longer being plotted as BCE.PF.Q will not be created, as pointed out by Assiduous Reader Peculiar_Investor.

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	4.19 %	5.02 %	33,409	17.81	1	0.8040 %	1,853.3
FixedFloater	6.13 %	5.37 %	27,664	17.07	1	0.9115 %	3,184.1
Floater	4.02 %	4.05 %	71,275	17.28	3	-2.0267 %	1,965.9
OpRet	4.87 %	3.91 %	33,654	0.77	1	0.0000 %	2,733.2
SplitShare	4.77 %	5.79 %	139,572	2.92	5	0.1554 %	3,209.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1554 %	2,504.2
Perpetual-Premium	5.77 %	-3.17 %	74,058	0.08	6	-0.0983 %	2,520.1
Perpetual-Discount	5.51 %	5.56 %	85,985	14.52	33	-0.1288 %	2,597.0
FixedReset	4.84 %	4.57 %	223,125	15.43	76	-0.9315 %	2,112.2
Deemed-Retractible	5.15 %	5.15 %	114,601	5.40	33	-0.3563 %	2,583.5
FloatingReset	2.57 %	3.73 %	55,485	5.77	10	-0.1826 %	2,195.6

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.B	FixedReset	-5.98 %	Only marginally real, since the issue traded 7,602 shares today in a range of 12.56-34, with a VWAP of 12.90. Every single one of the last 25 sales came out of Scotia, mostly in lots of 100 shares, taking the price down from 12.73 at 3:33 to 12.56 at 3:59 … but only the last four of these, totalling 900 shares, were at prices below 12.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 12.43 Evaluated at bid price : 12.43 Bid-YTW : 4.49 %
PWF.PR.P	FixedReset	-4.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 14.54 Evaluated at bid price : 14.54 Bid-YTW : 4.41 %
TRP.PR.C	FixedReset	-3.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 13.63 Evaluated at bid price : 13.63 Bid-YTW : 4.59 %
IAG.PR.G	FixedReset	-3.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 5.19 %
TRP.PR.A	FixedReset	-3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 15.83 Evaluated at bid price : 15.83 Bid-YTW : 4.74 %
GWO.PR.N	FixedReset	-3.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.65 Bid-YTW : 10.07 %
HSE.PR.E	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 21.84 Evaluated at bid price : 22.25 Bid-YTW : 5.11 %
TRP.PR.E	FixedReset	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 4.62 %
VNR.PR.A	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 4.57 %
TRP.PR.F	FloatingReset	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 4.08 %
MFC.PR.J	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 5.44 %
TRP.PR.D	FixedReset	-2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.73 %
BAM.PR.K	Floater	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 11.67 Evaluated at bid price : 11.67 Bid-YTW : 4.09 %
BMO.PR.T	FixedReset	-2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 19.48 Evaluated at bid price : 19.48 Bid-YTW : 4.28 %
HSE.PR.A	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 14.41 Evaluated at bid price : 14.41 Bid-YTW : 4.80 %
HSE.PR.C	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 5.11 %
BAM.PR.B	Floater	-1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 11.82 Evaluated at bid price : 11.82 Bid-YTW : 4.04 %
NA.PR.W	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.36 %
BMO.PR.Y	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 21.93 Evaluated at bid price : 22.41 Bid-YTW : 4.09 %
BAM.PR.C	Floater	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 4.05 %
FTS.PR.G	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.26 %
PWF.PR.T	FixedReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 21.93 Evaluated at bid price : 22.26 Bid-YTW : 3.88 %
BAM.PF.F	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.66 %
MFC.PR.H	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.82 Bid-YTW : 4.92 %
TRP.PR.H	FloatingReset	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 11.44 Evaluated at bid price : 11.44 Bid-YTW : 3.73 %
BMO.PR.W	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 4.26 %
SLF.PR.H	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.99 Bid-YTW : 6.85 %
W.PR.H	Perpetual-Discount	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 23.57 Evaluated at bid price : 23.84 Bid-YTW : 5.83 %
W.PR.J	Perpetual-Discount	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 23.71 Evaluated at bid price : 23.98 Bid-YTW : 5.91 %
GWO.PR.Q	Deemed-Retractible	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.37 Bid-YTW : 6.23 %
MFC.PR.G	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 5.16 %
BMO.PR.S	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 4.25 %
BMO.PR.M	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 3.43 %
MFC.PR.N	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.13 Bid-YTW : 5.84 %
TD.PF.E	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 22.23 Evaluated at bid price : 22.91 Bid-YTW : 4.11 %
MFC.PR.K	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.76 Bid-YTW : 6.58 %
CM.PR.O	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.31 %
PWF.PR.K	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 22.09 Evaluated at bid price : 22.37 Bid-YTW : 5.57 %
BAM.PR.Z	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 4.89 %
FTS.PR.K	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.05 %
TD.PF.C	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.27 %
MFC.PR.B	Deemed-Retractible	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.57 Bid-YTW : 6.84 %
NA.PR.S	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 19.79 Evaluated at bid price : 19.79 Bid-YTW : 4.42 %
BAM.PR.M	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.80 %
BNS.PR.A	FloatingReset	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.67 Bid-YTW : 3.36 %
IFC.PR.A	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.55 Bid-YTW : 7.85 %
FTS.PR.J	Perpetual-Discount	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 21.63 Evaluated at bid price : 21.92 Bid-YTW : 5.42 %
FTS.PR.F	Perpetual-Discount	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 5.43 %
BNS.PR.Y	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 5.20 %
BIP.PR.A	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.35 %
SLF.PR.G	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.25 Bid-YTW : 8.60 %
MFC.PR.F	FixedReset	2.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.43 Bid-YTW : 8.74 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.A	FixedReset	109,290	Nesbitt crossed 100,000 at 16.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 15.83 Evaluated at bid price : 15.83 Bid-YTW : 4.74 %
TRP.PR.C	FixedReset	93,645	Nesbitt crossed blocks of 18,800 and 59,900, both at 14.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 13.63 Evaluated at bid price : 13.63 Bid-YTW : 4.59 %
SLF.PR.I	FixedReset	86,530	TD crossed 18,500 at 22.39 and another 18,500 at 22.40, followed by two blocks of 18,600 each, both at 22.40. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 5.34 %
TRP.PR.F	FloatingReset	75,000	RBC crossed 68,000 at 15.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 4.08 %
RY.PR.H	FixedReset	57,874	Scotia crossed 40,000 at 19.87. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 4.23 %
BNS.PR.M	Deemed-Retractible	57,160	TD crossed 50,000 at 25.15. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-07-27 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.25 %
There were 56 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: 14.44 – 15.30 Spot Rate : 0.8600 Average : 0.5393 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 4.08 %
IAG.PR.G	FixedReset	Quote: 22.83 – 23.50 Spot Rate : 0.6700 Average : 0.4298 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 5.19 %
PWF.PR.P	FixedReset	Quote: 14.54 – 15.18 Spot Rate : 0.6400 Average : 0.4217 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 14.54 Evaluated at bid price : 14.54 Bid-YTW : 4.41 %
MFC.PR.J	FixedReset	Quote: 22.05 – 22.65 Spot Rate : 0.6000 Average : 0.3945 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 5.44 %
CU.PR.D	Perpetual-Discount	Quote: 22.22 – 22.73 Spot Rate : 0.5100 Average : 0.3289 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 21.86 Evaluated at bid price : 22.22 Bid-YTW : 5.52 %
GWO.PR.N	FixedReset	Quote: 13.65 – 14.23 Spot Rate : 0.5800 Average : 0.4034 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.65 Bid-YTW : 10.07 %

Market Action

November 17, 2015

Just the bare bones again today, I’m afraid!

It was a fine day for the Canadian preferred share market, with PerpetualDiscounts winning 48bp, FixedResets up 44bp and DeemedRetractibles gaining 42bp. The Performance Highlights table is dominated by winners, topped by low-spread insurance issues. Volume was slightly above average.

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	4.22 %	5.06 %	33,535	17.75	1	1.0625 %	1,838.5
FixedFloater	6.18 %	5.43 %	28,737	17.00	1	-0.6468 %	3,155.3
Floater	3.94 %	3.97 %	69,577	17.43	3	-1.3151 %	2,006.6
OpRet	4.87 %	3.89 %	33,956	0.77	1	0.0000 %	2,733.2
SplitShare	4.74 %	5.85 %	138,843	4.36	5	0.1988 %	3,204.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1988 %	2,500.3
Perpetual-Premium	5.76 %	-5.56 %	73,938	0.08	6	0.5538 %	2,522.6
Perpetual-Discount	5.51 %	5.55 %	87,389	14.53	33	0.4781 %	2,600.3
FixedReset	4.80 %	4.41 %	222,953	15.54	76	0.4364 %	2,132.0
Deemed-Retractible	5.13 %	4.75 %	115,536	5.40	33	0.4163 %	2,592.7
FloatingReset	2.57 %	3.67 %	54,986	5.77	10	0.4687 %	2,199.6

Performance Highlights
Issue	Index	Change	Notes
CU.PR.C	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 4.22 %
VNR.PR.A	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.36 Evaluated at bid price : 21.67 Bid-YTW : 4.42 %
BAM.PR.K	Floater	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 11.95 Evaluated at bid price : 11.95 Bid-YTW : 3.99 %
BAM.PR.B	Floater	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 12.06 Evaluated at bid price : 12.06 Bid-YTW : 3.96 %
BAM.PF.G	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.45 Evaluated at bid price : 21.72 Bid-YTW : 4.60 %
BIP.PR.A	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.43 %
NA.PR.S	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.37 %
NA.PR.W	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.27 %
BAM.PR.N	Perpetual-Discount	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 5.71 %
GWO.PR.I	Deemed-Retractible	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.64 Bid-YTW : 6.59 %
BAM.PR.E	Ratchet	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 25.00 Evaluated at bid price : 16.17 Bid-YTW : 5.06 %
GWO.PR.Q	Deemed-Retractible	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.69 Bid-YTW : 6.04 %
BAM.PR.X	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 15.63 Evaluated at bid price : 15.63 Bid-YTW : 4.72 %
BNS.PR.B	FloatingReset	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.78 Bid-YTW : 3.67 %
FTS.PR.J	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.36 Evaluated at bid price : 21.65 Bid-YTW : 5.49 %
FTS.PR.K	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 4.00 %
POW.PR.B	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 23.61 Evaluated at bid price : 23.88 Bid-YTW : 5.66 %
GWO.PR.P	Deemed-Retractible	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 5.79 %
BAM.PR.Z	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 4.83 %
BAM.PR.R	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.03 %
BMO.PR.R	FloatingReset	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 3.52 %
PVS.PR.B	SplitShare	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 5.59 %
GWO.PR.G	Deemed-Retractible	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.99 %
POW.PR.G	Perpetual-Discount	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 24.48 Evaluated at bid price : 24.94 Bid-YTW : 5.66 %
TRP.PR.F	FloatingReset	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.81 Evaluated at bid price : 14.81 Bid-YTW : 3.97 %
GWO.PR.M	Deemed-Retractible	1.38 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 5.05 %
FTS.PR.F	Perpetual-Discount	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 22.10 Evaluated at bid price : 22.32 Bid-YTW : 5.50 %
POW.PR.D	Perpetual-Discount	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 22.61 Evaluated at bid price : 22.86 Bid-YTW : 5.52 %
TRP.PR.E	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.49 %
FTS.PR.G	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 4.19 %
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 : 22.60 Bid-YTW : 5.11 %
HSE.PR.A	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 4.70 %
TRP.PR.C	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 4.42 %
IAG.PR.G	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.63 Bid-YTW : 4.72 %
SLF.PR.G	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.03 Bid-YTW : 8.79 %
FTS.PR.H	FixedReset	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.23 Evaluated at bid price : 14.23 Bid-YTW : 4.26 %
TRP.PR.G	FixedReset	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 4.66 %
HSE.PR.E	FixedReset	2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 22.26 Evaluated at bid price : 22.90 Bid-YTW : 4.95 %
MFC.PR.G	FixedReset	2.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 4.98 %
IFC.PR.C	FixedReset	2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.48 Bid-YTW : 6.39 %
SLF.PR.J	FloatingReset	2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.90 Bid-YTW : 9.09 %
BAM.PR.T	FixedReset	2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 4.66 %
IFC.PR.A	FixedReset	3.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.35 Bid-YTW : 8.01 %
GWO.PR.N	FixedReset	3.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.10 Bid-YTW : 9.63 %
MFC.PR.F	FixedReset	3.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 9.11 %
PWF.PR.P	FixedReset	3.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 4.22 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PR.R	FixedReset	199,850	Scotia crossed blocks of 155,000 and 22,400, both at 16.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.03 %
RY.PR.I	FixedReset	79,701	RBC crossed blocks of 45,500 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 : 24.40 Bid-YTW : 3.66 %
BMO.PR.T	FixedReset	76,306	Nesbitt crossed 15,000 at 20.06 and 50,000 at 19.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.93 Evaluated at bid price : 19.93 Bid-YTW : 4.18 %
IFC.PR.A	FixedReset	70,380	Desjardins crossed 60,000 at 17.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.35 Bid-YTW : 8.01 %
CM.PR.O	FixedReset	60,325	RBC crossed 50,000 at 20.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 4.25 %
PWF.PR.P	FixedReset	37,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 4.22 %
There were 37 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
HSE.PR.A	FixedReset	Quote: 14.72 – 15.29 Spot Rate : 0.5700 Average : 0.3310 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 4.70 %
TRP.PR.B	FixedReset	Quote: 13.22 – 13.69 Spot Rate : 0.4700 Average : 0.3168 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 13.22 Evaluated at bid price : 13.22 Bid-YTW : 4.22 %
BNS.PR.A	FloatingReset	Quote: 23.42 – 23.85 Spot Rate : 0.4300 Average : 0.2911 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.42 Bid-YTW : 3.54 %
VNR.PR.A	FixedReset	Quote: 21.67 – 22.30 Spot Rate : 0.6300 Average : 0.4994 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.36 Evaluated at bid price : 21.67 Bid-YTW : 4.42 %
BAM.PR.G	FixedFloater	Quote: 15.36 – 15.85 Spot Rate : 0.4900 Average : 0.3722 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 25.00 Evaluated at bid price : 15.36 Bid-YTW : 5.43 %
SLF.PR.H	FixedReset	Quote: 19.26 – 19.56 Spot Rate : 0.3000 Average : 0.1896 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.26 Bid-YTW : 6.66 %

Market Action

November 16, 2015

There’s are some interesting ventures assigning credit scores to marginal borrowers:

They have no bank account, no credit score, no financial identity. So a quarter of humanity hasn’t been able to borrow money. Until now.

Several dozen startups say they have developed ways to bring those 2 billion people into the international financial system, monitoring cell phone use and other personal habits to predict creditworthiness. For example, people who don’t let their phone batteries run low tend to do the same for their debt balance. Borrowers who get more calls than they make are better risks, and applicants who state their loan purpose in a few words are better borrowers than those who end up writing an essay.
…
A key to creditworthiness is personal daily routine. People who charge the same amount of airtime on the same day every week are better credit risks than those who purchase a large amount, then let their accounts sit empty, according to Van Der Tuin of First Access. When phones stay in the same place every day, that is often a sign that the owner is at work.

Moreover, in emerging market countries mobile phones are increasingly serving as ledgers of money movement. So monitoring phone records becomes a simple substitute for examining a bank account. At the same time, traditional credit risk assessments, according to the startups, have ignored the added importance of social capital. Beyond serving as de facto bank statements, mobile and online footprints indicate how well borrowers are treated by their community.

It was a positive day for the Canadian preferred share market, with PerpetualDiscounts up 8bp, FixedResets winning 36bp and DeemedRetractibles gaining 4bp. The Performance Highlights table, while still much longer than was the norm a year ago, is unusually short when judged by 2015 standards. Volume was below average.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.31 to be $0.87 rich, while TRP.PR.G, resetting 2020-11-30 at +154, is $0.53 cheap at its bid price of 20.47.

Click for Big

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 21.20 to be 0.64 rich, while MFC.PR.F resetting at +141bp on 2016-6-19, is bid at 14.50 to be 0.68 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.52 to be $1.59 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.00 and appears to be $1.01 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 19.55, looks $0.82 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 13.96 and is $1.01 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.61%, with no outliers. There are three junk outliers above 0.00% and one below -2.00%.

Click for Big

The light blue point is an estimate for the potential BCE.PR.R / BCE.PF.Q pair, the latter of which is not trading. Its price has been set to the average defined by the other BCE Ratchet Rate preferreds.

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	4.27 %	5.12 %	33,004	17.68	1	0.0000 %	1,819.2
FixedFloater	6.14 %	5.39 %	28,258	17.05	1	2.0462 %	3,175.8
Floater	3.88 %	3.92 %	69,743	17.55	3	-0.3549 %	2,033.4
OpRet	4.87 %	3.88 %	35,356	0.77	1	0.5383 %	2,733.2
SplitShare	4.75 %	5.85 %	140,232	4.36	5	-0.2533 %	3,198.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2533 %	2,495.4
Perpetual-Premium	5.79 %	0.76 %	72,285	0.08	6	0.4304 %	2,508.7
Perpetual-Discount	5.53 %	5.60 %	84,242	14.45	33	0.0783 %	2,588.0
FixedReset	4.82 %	4.32 %	221,875	15.44	76	0.3610 %	2,122.8
Deemed-Retractible	5.15 %	5.15 %	112,263	5.40	33	0.0395 %	2,582.0
FloatingReset	2.58 %	3.79 %	54,565	5.77	10	0.3836 %	2,189.4

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.J	Perpetual-Discount	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.57 %
FTS.PR.F	Perpetual-Discount	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.58 %
CU.PR.C	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 4.12 %
CM.PR.Q	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 22.00 Evaluated at bid price : 22.51 Bid-YTW : 4.10 %
PVS.PR.D	SplitShare	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 5.89 %
BAM.PF.E	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 20.22 Evaluated at bid price : 20.22 Bid-YTW : 4.66 %
BAM.PR.M	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 20.84 Evaluated at bid price : 20.84 Bid-YTW : 5.79 %
HSE.PR.C	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.00 %
GWO.PR.N	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.65 Bid-YTW : 10.06 %
ELF.PR.H	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 24.02 Evaluated at bid price : 24.52 Bid-YTW : 5.65 %
MFC.PR.N	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.20 Bid-YTW : 5.79 %
MFC.PR.H	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 4.73 %
VNR.PR.A	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.68 Evaluated at bid price : 22.12 Bid-YTW : 4.32 %
SLF.PR.J	FloatingReset	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.60 Bid-YTW : 9.37 %
PWF.PR.R	Perpetual-Discount	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 24.19 Evaluated at bid price : 24.69 Bid-YTW : 5.60 %
MFC.PR.K	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.87 Bid-YTW : 6.50 %
SLF.PR.H	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.27 Bid-YTW : 6.65 %
IAG.PR.G	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.19 Bid-YTW : 4.97 %
RY.PR.J	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.93 Evaluated at bid price : 22.39 Bid-YTW : 4.07 %
TRP.PR.E	FixedReset	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.56 %
BAM.PR.G	FixedFloater	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 25.00 Evaluated at bid price : 15.46 Bid-YTW : 5.39 %
TRP.PR.D	FixedReset	2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 4.64 %
NA.PR.W	FixedReset	2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 4.22 %
TRP.PR.B	FixedReset	2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 4.26 %
HSE.PR.A	FixedReset	2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 14.46 Evaluated at bid price : 14.46 Bid-YTW : 4.78 %
ELF.PR.G	Perpetual-Discount	3.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 5.64 %

Volume Highlights
Issue	Index	Shares Traded	Notes
SLF.PR.J	FloatingReset	107,990	Nesbitt crossed 95,000 at 13.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.60 Bid-YTW : 9.37 %
RY.PR.P	Perpetual-Discount	86,500	Haywood bought 65,000 from RBC at 24.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 24.34 Evaluated at bid price : 24.72 Bid-YTW : 5.37 %
BNS.PR.P	FixedReset	50,500	RBC crossed 49,200 at 24.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.57 Bid-YTW : 3.49 %
TRP.PR.D	FixedReset	30,394	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 4.64 %
TD.PF.F	Perpetual-Discount	29,600	RBC crossed 25,000 at 23.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 23.36 Evaluated at bid price : 23.67 Bid-YTW : 5.20 %
BNS.PR.Z	FixedReset	25,045	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.54 Bid-YTW : 5.90 %
There were 26 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.E	FixedReset	Quote: 20.22 – 21.00 Spot Rate : 0.7800 Average : 0.4902 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 20.22 Evaluated at bid price : 20.22 Bid-YTW : 4.66 %
BAM.PR.Z	FixedReset	Quote: 20.85 – 21.58 Spot Rate : 0.7300 Average : 0.5360 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 4.89 %
HSE.PR.E	FixedReset	Quote: 22.45 – 22.80 Spot Rate : 0.3500 Average : 0.2401 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.98 Evaluated at bid price : 22.45 Bid-YTW : 5.06 %
FTS.PR.H	FixedReset	Quote: 13.96 – 14.50 Spot Rate : 0.5400 Average : 0.4328 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 13.96 Evaluated at bid price : 13.96 Bid-YTW : 4.34 %
TD.PF.E	FixedReset	Quote: 23.20 – 23.60 Spot Rate : 0.4000 Average : 0.2976 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 22.39 Evaluated at bid price : 23.20 Bid-YTW : 4.05 %
BAM.PR.E	Ratchet	Quote: 16.00 – 16.50 Spot Rate : 0.5000 Average : 0.4044 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 5.12 %

Market Action

November 13, 2015

Assiduous Reader IR brought to my attention recently a fascinating article titled Six Strange Things That Have Been Happening in Financial Markets:

Interesting things have certainly been happening in the underpinnings of global markets—things that either run counter to long-standing financial logic, or represent an unusual dislocation in the “normal” state of market affairs, or were once rare occurrences but have been happening with increasing frequency.
…
1. Negative swap spreads
…
2. Fractured repo rates
…
3. Corporate bond inventories below zero

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Analysts at Goldman Sachs made waves this week when they highlighted the fact that inventories of some corporate bonds held by big dealer-banks had gone negative for the first time since the Federal Reserve began collecting such data. That means big banks are now net short corporate bonds with a maturity greater than 12 months equivalent to $1.4 billion, bucking the longer-term trend of net positive positions.

The record-breaking event revived a flurry of concerns about so-called liquidity, or ease of trading, in the $8.1 trillion corporate bond market. Similar to the repo market, a confluence of new rules is said to have made it more difficult for banks to hold corporate bonds on their balance sheets. At the same time, years of low interest rates have encouraged investors to herd into corporate bonds and hold onto them tightly.
…
Synthetic credit is trading tighter than cash credit

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…
Above is the so-called basis between the CDX IG, an index that includes CDS tied to U.S. investment-grade companies, and the underlying cash bonds. The basis has been persistently wide and negative in recent years, as spreads on the CDX index trade at tighter levels than cash.

“In exchange for the substantial liquidity of derivative indices, investors are often giving up spread right now, as most indices trade at a negative basis versus the comparable cash market,” Barclays’ Bradley Rogoff wrote in research published today. “The negative basis right now is near the largest we have witnessed at a time when there was not a funding crisis.”

Investors may be ogling such synthetic tools not just because of their purported liquidity benefits but also because of funding benefits, a similar dynamic to the one currently pushing swap spreads into negative territory.
…
Market moves that aren’t supposed to happen keep happening
…
The number of assets registering large moves—four or more standard deviations away from their normal trading range—has been increasing. Such moves would normally be expected to happen once every 62 years.

While Martin blamed much of the confusion on unexpected decisions by central banks—such as the Swiss National Bank’s surprise decision to scrap its long-standing currency cap—there have been sharp market moves with seemingly little reasons behind them. Perhaps the best-known example is Oct. 15, 2014, when the yield on the 10-year U.S. Treasury briefly plunged 33 basis points—a seven standard-deviation move that should happen once every 1.6 billion years, based on a normal distribution of probabilities.
…
Volatility is itself more volatile

Negative swap spreads were discussed on November 5.

The CDS Basis was discussed in the post BIS Releases March 2009 Quarterly Review, where the wide spread was considered to suggest “that arbitrage activities that would usually tend to compress the price differential continued to be constrained by elevated capital and financing costs for leveraged investors.” I consider this to have the potential for severely adverse effects on the economy due to “debt decoupling”, discussed in the post Credit Default Swaps: Links to Primers, notably a paper by Hu and Black titled Debt, Equity, and Hybrid Decoupling: Governance and Systemic Risk Implications:

There are also several sources of qualitative evidence. One is the recent tendency for credit default swap contracts to require the protection buyer, if it is also a creditor, to act in the interests of other creditors. This suggests concern that the protection buyer might not otherwise do so. How this obligation can be enforced, however, without disclosure of either votes or hedges, is anyone’s guess. We have also heard from bankruptcy judges that they sometimes see odd behavior in their courtrooms, which empty crediting might explain. For example, one judge described a case in which a junior creditor complained that the firm’s value was too high, even though a lower value would hurt the class of debt the creditor ostensibly held.

Also hinted at yesterday was the latest twist in the Silver Bullion Trust / Sprott battle:

Sprott has amended the Offer by attempting to unilaterally expand the scope of the powers of attorney granted to it by those Unitholders that tender to the Offer. The amendments purport to give Sprott the authority to replace the independent Trustees of SBT, insert their own conflicted Trustees and force completion of their inadequate Offer, despite their continued failure to attract sufficient Unitholder support for doing so by legitimate means.

SBT believes that Sprott’s attempt to unilaterally amend the powers of attorney is invalid and that any actions that Sprott would purport to take pursuant to them would be invalid. SBT also believes that Sprott’s actions are contrary to the take-over bid and proxy solicitation rules and the public interest. SBT has commenced an application before the Ontario Securities Commission to contest the amendments and other aspects of the Offer and has sought an order from the Ontario Securities Commission cease trading the Offer.

SBT is of the view that the use of the powers of attorney by Sprott to replace its independent Trustees when the conditions to the Offer have not been met is not a purpose for which the powers of attorney were solicited, and a clear violation of law. Sprott’s plan to change the terms of the powers of attorney granted by certain SBT Unitholders – without consulting Unitholders or complying with securities laws – is nothing more than an illegitimate tactic to ignore the will of Unitholders and replace SBT’s independent Trustees with insiders of Sprott, all of whom are clearly and obviously conflicted. Further, Sprott had previously represented to Unitholders and the Ontario Superior Court of Justice that it would use the powers of attorney granted in connection with the Offer for the purpose of carrying out the mechanics required to complete the Offer, only if they achieved the minimum acceptance of 66⅔% of SBT Units.

This is great entertainment – but I’m glad I’m not the one paying the lawyers!

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts off 2bp, FixedResets losing 56bp and DeemedRetractibles down 5bp. BAM issues were notable in the bad part of the Performance Highlights table. Volume was average. What a week it has been – but at least we’re not alone.

Here’s TRP:

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There is a major increase in implied volatility today. It’s almost as if the issues with the lowest spreads have a ‘floor price’ – which is not to say that they don’t go down, but they seem to outperform on lousy days.

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.94 to be $0.68 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.24 cheap at its bid price of 13.90.

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Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.98 to be 0.55 rich, while MFC.PR.F resetting at +141bp on 2016-6-19, is bid at 14.45 to be 0.69 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.41 to be $1.70 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.11 and appears to be $1.12 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 19.70, looks $0.78 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 14.20 and is $0.93 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.57%, with one outlier above 0.00%. There are two junk outliers above 0.00% and one below -2.00%.

Click for Big

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.27 %	5.12 %	31,167	17.69	1	0.0000 %	1,819.2
FixedFloater	6.27 %	5.51 %	28,644	16.91	1	-3.5646 %	3,112.2
Floater	3.87 %	3.89 %	69,597	17.62	3	0.1915 %	2,040.6
OpRet	4.84 %	4.54 %	33,557	0.77	1	0.0000 %	2,718.6
SplitShare	4.74 %	5.71 %	140,624	4.37	5	-0.2039 %	3,206.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2039 %	2,501.7
Perpetual-Premium	5.82 %	4.37 %	72,269	0.08	6	-0.0199 %	2,497.9
Perpetual-Discount	5.53 %	5.61 %	84,446	14.46	33	-0.0158 %	2,585.9
FixedReset	4.83 %	4.40 %	223,365	15.46	76	-0.5566 %	2,115.1
Deemed-Retractible	5.18 %	5.19 %	110,584	5.41	34	-0.0530 %	2,581.0
FloatingReset	2.59 %	3.86 %	53,963	5.78	10	-0.3009 %	2,181.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.T	FixedReset	-4.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 17.74 Evaluated at bid price : 17.74 Bid-YTW : 4.81 %
BAM.PR.X	FixedReset	-3.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 15.54 Evaluated at bid price : 15.54 Bid-YTW : 4.75 %
BAM.PR.G	FixedFloater	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 25.00 Evaluated at bid price : 15.15 Bid-YTW : 5.51 %
ELF.PR.G	Perpetual-Discount	-3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 5.84 %
BAM.PR.Z	FixedReset	-2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 4.91 %
BIP.PR.A	FixedReset	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.31 %
TRP.PR.E	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 18.94 Evaluated at bid price : 18.94 Bid-YTW : 4.65 %
MFC.PR.K	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.59 Bid-YTW : 6.68 %
TRP.PR.D	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 4.75 %
SLF.PR.J	FloatingReset	-2.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.45 Bid-YTW : 9.50 %
HSE.PR.E	FixedReset	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.97 Evaluated at bid price : 22.45 Bid-YTW : 5.06 %
RY.PR.Z	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.17 %
FTS.PR.K	FixedReset	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.09 %
MFC.PR.F	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.45 Bid-YTW : 9.60 %
CU.PR.C	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.91 Evaluated at bid price : 20.91 Bid-YTW : 4.06 %
RY.PR.H	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 4.21 %
MFC.PR.H	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.89 Bid-YTW : 4.87 %
BNS.PR.D	FloatingReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 5.62 %
MFC.PR.I	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 5.08 %
CM.PR.Q	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 22.18 Evaluated at bid price : 22.80 Bid-YTW : 4.04 %
MFC.PR.G	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.82 Bid-YTW : 5.23 %
BAM.PF.B	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 4.61 %
NA.PR.W	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.32 %
FTS.PR.H	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 4.33 %
BAM.PF.F	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.32 Evaluated at bid price : 21.61 Bid-YTW : 4.61 %
RY.PR.M	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 4.16 %
TD.PF.C	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.24 %
RY.PR.N	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 23.00 Evaluated at bid price : 23.40 Bid-YTW : 5.23 %
TD.PF.A	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 4.22 %
SLF.PR.H	FixedReset	1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.99 Bid-YTW : 6.84 %
FTS.PR.J	Perpetual-Discount	4.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.75 Evaluated at bid price : 22.08 Bid-YTW : 5.47 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.B	Deemed-Retractible	127,633	Nesbitt crossed 64,800 at 24.95. Desjardins crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 4.76 %
MFC.PR.I	FixedReset	104,994	Desjardins crossed blocks of 43,300 and 25,000, both at 23.47. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 5.08 %
NA.PR.S	FixedReset	55,987	TD crossed 25,000 at 20.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.36 %
BMO.PR.S	FixedReset	48,972	Scotia crossed 30,000 at 20.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.26 %
RY.PR.Z	FixedReset	47,041	Scotia crossed 28,600 at 20.23. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.17 %
BAM.PF.H	FixedReset	30,706	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.40 %
There were 34 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ELF.PR.G	Perpetual-Discount	Quote: 20.57 – 21.47 Spot Rate : 0.9000 Average : 0.5444 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 5.84 %
MFC.PR.K	FixedReset	Quote: 19.59 – 20.13 Spot Rate : 0.5400 Average : 0.3679 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.59 Bid-YTW : 6.68 %
BAM.PR.T	FixedReset	Quote: 17.74 – 18.30 Spot Rate : 0.5600 Average : 0.3910 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 17.74 Evaluated at bid price : 17.74 Bid-YTW : 4.81 %
GWO.PR.S	Deemed-Retractible	Quote: 24.21 – 24.75 Spot Rate : 0.5400 Average : 0.3960 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 5.83 %
TRP.PR.F	FloatingReset	Quote: 14.52 – 15.00 Spot Rate : 0.4800 Average : 0.3492 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 14.52 Evaluated at bid price : 14.52 Bid-YTW : 4.05 %
RY.PR.M	FixedReset	Quote: 21.52 – 21.90 Spot Rate : 0.3800 Average : 0.2650 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 4.16 %

Market Action

November 12, 2015

There were a few things I wanted to discuss in today’s post, notably Six Strange Things That Have Been Happening in Financial Markets and a new twist in the Sprott Silver Battle, but frankly – it’s late and I’m tired. So today, folks, all you’re getting is the barest of bare bones.

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	4.27 %	5.12 %	31,504	17.68	1	0.0000 %	1,819.2
FixedFloater	6.05 %	5.29 %	28,536	17.17	1	0.1913 %	3,227.2
Floater	3.88 %	3.92 %	68,686	17.55	3	2.1229 %	2,036.7
OpRet	4.84 %	4.52 %	32,765	0.78	1	0.0395 %	2,718.6
SplitShare	4.73 %	5.60 %	145,738	4.37	5	0.1121 %	3,212.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1121 %	2,506.8
Perpetual-Premium	5.82 %	3.40 %	88,415	0.08	6	-0.0728 %	2,498.4
Perpetual-Discount	5.53 %	5.64 %	83,047	14.45	33	-0.2943 %	2,586.3
FixedReset	4.81 %	4.51 %	225,507	15.51	76	-1.0322 %	2,127.0
Deemed-Retractible	5.18 %	5.20 %	108,826	5.41	34	-0.1084 %	2,582.3
FloatingReset	2.57 %	3.89 %	54,555	5.78	10	-0.1782 %	2,187.6

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.G	FixedReset	-5.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 4.85 %
FTS.PR.J	Perpetual-Discount	-4.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.77 %
HSE.PR.A	FixedReset	-3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 5.06 %
TRP.PR.D	FixedReset	-3.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 4.76 %
TRP.PR.E	FixedReset	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 4.64 %
NA.PR.S	FixedReset	-3.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.50 %
HSE.PR.C	FixedReset	-3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.04 %
MFC.PR.F	FixedReset	-2.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.70 Bid-YTW : 9.50 %
TRP.PR.A	FixedReset	-2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 4.80 %
MFC.PR.L	FixedReset	-2.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.07 Bid-YTW : 6.50 %
MFC.PR.K	FixedReset	-2.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.03 Bid-YTW : 6.45 %
IFC.PR.A	FixedReset	-2.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.55 Bid-YTW : 8.74 %
TRP.PR.H	FloatingReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 11.53 Evaluated at bid price : 11.53 Bid-YTW : 3.68 %
SLF.PR.H	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.19 %
FTS.PR.H	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 14.36 Evaluated at bid price : 14.36 Bid-YTW : 4.41 %
NA.PR.W	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 4.38 %
TD.PF.D	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 22.00 Evaluated at bid price : 22.51 Bid-YTW : 4.18 %
BAM.PF.E	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 4.67 %
MFC.PR.N	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 6.00 %
BAM.PR.Z	FixedReset	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 4.87 %
SLF.PR.G	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.85 %
TRP.PR.F	FloatingReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 4.00 %
CM.PR.P	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.59 Evaluated at bid price : 19.59 Bid-YTW : 4.36 %
BIP.PR.A	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.73 Evaluated at bid price : 22.11 Bid-YTW : 5.22 %
MFC.PR.J	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.21 Bid-YTW : 5.41 %
BMO.PR.W	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.64 Evaluated at bid price : 19.64 Bid-YTW : 4.31 %
MFC.PR.B	Deemed-Retractible	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.52 Bid-YTW : 6.85 %
MFC.PR.H	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.79 %
TD.PF.B	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 4.27 %
TD.PR.Y	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.81 Bid-YTW : 4.05 %
TD.PR.Z	FloatingReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 3.89 %
BMO.PR.T	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 4.30 %
TD.PF.C	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.30 %
MFC.PR.G	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.09 Bid-YTW : 5.16 %
PWF.PR.T	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 22.02 Evaluated at bid price : 22.39 Bid-YTW : 3.95 %
BAM.PF.H	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.40 %
RY.PR.Z	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.24 Evaluated at bid price : 20.24 Bid-YTW : 4.20 %
TRP.PR.C	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 4.69 %
IFC.PR.C	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.12 Bid-YTW : 6.73 %
RY.PR.H	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 4.26 %
BAM.PF.G	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 4.62 %
CU.PR.H	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 23.48 Evaluated at bid price : 23.80 Bid-YTW : 5.52 %
BNS.PR.P	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.27 Bid-YTW : 3.76 %
W.PR.J	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 24.07 Evaluated at bid price : 24.33 Bid-YTW : 5.81 %
TD.PF.A	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 4.27 %
GWO.PR.R	Deemed-Retractible	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.07 Bid-YTW : 6.64 %
RY.PR.J	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.76 Evaluated at bid price : 22.15 Bid-YTW : 4.20 %
BAM.PR.C	Floater	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 12.05 Evaluated at bid price : 12.05 Bid-YTW : 3.96 %
BAM.PR.T	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.73 %
TD.PR.T	FloatingReset	1.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 3.46 %
BAM.PR.X	FixedReset	2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 16.18 Evaluated at bid price : 16.18 Bid-YTW : 4.70 %
BAM.PR.K	Floater	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 12.16 Evaluated at bid price : 12.16 Bid-YTW : 3.92 %
BAM.PR.B	Floater	2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 12.35 Evaluated at bid price : 12.35 Bid-YTW : 3.86 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PF.H	FixedReset	82,443	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.40 %
CU.PR.I	FixedReset	70,396	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.90 %
RY.PR.H	FixedReset	65,246	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 4.26 %
TD.PF.B	FixedReset	52,666	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 4.27 %
TD.PF.C	FixedReset	33,606	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.30 %
BMO.PR.W	FixedReset	33,404	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.64 Evaluated at bid price : 19.64 Bid-YTW : 4.31 %
There were 45 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.J	Perpetual-Discount	Quote: 21.03 – 22.23 Spot Rate : 1.2000 Average : 0.7292 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.77 %
ELF.PR.H	Perpetual-Discount	Quote: 24.25 – 25.00 Spot Rate : 0.7500 Average : 0.5031 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 23.77 Evaluated at bid price : 24.25 Bid-YTW : 5.71 %
TRP.PR.A	FixedReset	Quote: 16.01 – 16.70 Spot Rate : 0.6900 Average : 0.5199 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 4.80 %
MFC.PR.B	Deemed-Retractible	Quote: 21.52 – 21.99 Spot Rate : 0.4700 Average : 0.3328 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.52 Bid-YTW : 6.85 %
RY.PR.N	Perpetual-Discount	Quote: 23.65 – 24.00 Spot Rate : 0.3500 Average : 0.2182 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 23.35 Evaluated at bid price : 23.65 Bid-YTW : 5.18 %
BAM.PR.R	FixedReset	Quote: 16.44 – 16.92 Spot Rate : 0.4800 Average : 0.3534 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 16.44 Evaluated at bid price : 16.44 Bid-YTW : 5.26 %

Market Action

November 11, 2015

There is speculation that negative interest rates are nothing special:

Now that Sweden and Switzerland have shown that negative benchmark interest rates don’t necessarily result in flights to cash, asset bubbles or banking strains, the global giants of central banking may be more willing to embrace sub-zero borrowing costs the next time their economies slide.
…
European Central Bank President Mario Draghi is open to reducing the rate he charges banks to leave money in his coffers overnight further into negative territory. Bank of England Governor Mark Carney has also revised his thinking to say the U.K. benchmark could fall below 0.5 percent if needed having previously worried deeper cuts would roil money markets.

Meantime, Fed Chair Janet Yellen said last week that “if circumstances were to change” then “potentially anything, including negative interest rates, would be on the table.” One of her policy-setting colleagues has already advocated them for next year.

Plumbing new depths the next time economies stumble would continue the pattern of the past few decades in which each of the peaks and troughs in rates were more often than not lower than in the previous business cycle.

It appears that I am no longer the only person in Canada who understands that trailer fees are only one of many broker incentives:

Canadian Oil Sands Ltd. is accusing Suncor Energy Inc. of buying support for its $4.3-billion hostile takeover bid, as the largest Syncrude owner seeks more time to drum up a richer offer.

In a red, bold-lettered “warning” sign posted on its website, Canadian Oil Sands says Suncor is paying brokers to get Canadian Oil Sands’ investors to tender their shares – a strategy it says shows Suncor’s bid is “exploitive” and “opportunistic.”

“Knowing the weakness of their bid, they feel it is necessary to pay brokers and incentivize them to encourage clients to tender their shares,” the notice reads.

“We don’t think that’s right. We think our shareholders should decide for themselves, free from the influence of brokers being financially compensated to do Suncor’s work for them.”

I eagerly await cries of astonished horror from the regulators.

I ran across two good papers on sub-prime today; the first, by Christopher Palmer, is titled Why Did So Many Subprime Borrowers Default During the Crisis: Loose Credit or Plummeting Prices?:

The foreclosure rate of subprime mortgages increased markedly across 2003-2007 borrower cohorts — subprime mortgages originated in 2006-2007 were roughly three times more likely to default within three years of origination than mortgages originated in 2003-2004. Many have argued that this surge in subprime defaults represents a deterioration in subprime lending standards over time. I quantify the importance of an alternative hypothesis: later cohorts defaulted at higher rates in large part because house price declines left them more likely to have negative equity. Using loan-level data, I find that changing borrower and loan characteristics explain approximately 30% of the difference in cohort default rates, with almost of all of the remaining heterogeneity across cohorts attributable to the price cycle. To account for the endogeneity of prices, I employ a nonlinear instrumental-variables approach that instruments for house price changes with long-run regional variation in house-price cyclicality. Control function results confirm that the relationship between price declines and defaults is causal and explains the majority of the disparity in cohort performance. I conclude that if 2006 borrowers had faced the same prices the average 2003 borrower did, their annual default
rate would have dropped from 12% to 5.6%.

The second, by Christopher L. Foote, Kristopher S. Gerardi and Paul S. Willen, is titled Why Did So Many People Make So Many Ex Post Bad Decisions? The Causes of the Foreclosure Crisis:

We present 12 facts about the mortgage crisis. We argue that the facts refute the popular story that the crisis resulted from finance industry insiders deceiving uninformed mortgage borrowers and investors. Instead, we argue that borrowers and investors made decisions that were rational and logical given their ex post overly optimistic beliefs about house prices. We then show that neither institutional features of the mortgage market nor financial innovations are any more likely to explain those wrong beliefs than they are to explain the Dutch tulip bubble 400 years ago. Economists should acknowledge the limits of our understanding of asset price bubbles and design policies accordingly
…
Fact 1: Resets of adjustable-rate mortgages did not cause the foreclosure crisis
…
Fact 2: No mortgage was “designed to fail”
…
Fact 3: There was little innovation in mortgage markets in the 2000s
…
Fact 4: Government policy toward the mortgage market did not change much from 1990 to 2005
…
Fact 5: The originate-to-distribute model was not new
…
Fact 6: MBSs, CDOs and other “complex financial products” had been widely used for decades
…
Fact 7: Mortgage investors had lots of information
…
Fact 8: Investors understood the risks
…
Fact 9: Investors were optimistic about house prices
…
Fact 10: Mortgage market insiders were the biggest losers
…
Fact 11: Mortgage market outsiders were the biggest winners
…
Fact 12: Top-rated bonds backed by mortgages did not turn out to be “toxic.” Top-rated bonds in collateralized debt obligations (CDOs) did.

The best part of the latter paper is that for the first time I’ve found a little authoritative data on the default rate of AAA RMBS (politicians find it much more useful to talk about the downgrade rate):

To start with, the top-rated tranches of subprime securities fared better than many people realize. The top panel of Figure 9 is generated from data on AAA-rated bonds created in 2006 from private-label securitization deals.27 Specifically, the panel shows the fraction of these bonds on which investors suffered losses or, using industry jargon, the fraction that was “impaired.” In some of these deals, 70 percent of the underlying subprime loans terminated in foreclosure (Jozoff et al. 2012). Yet despite these massive losses, the figure shows that investors lost money on less than 10 percent of private-label AAA-rated securities. How is that possible? As many have explained, the AAA-rated securities were protected by a series of lower-rated securities which absorbed most of the losses. If a borrower defaulted and the lender was unable to recover the principal, the resulting loss would be deducted from the principal of the deal’s lower-rated tranches. For subprime deals, the degree of so-called AAA credit protection—the principal balance of the non-AAA securities—was often more than 20 percent. Given a 50 percent recovery rate on foreclosed loans, 20 percent credit protection meant that 40 percent of the borrowers could suffer foreclosure before the AAA rated investors suffered a single dollar of loss. For riskier deals, credit protection was higher, often substantially so. The key takeaway is that for subprime securities, credit protection largely worked, and investors in the AAA-rated securities were largely spared.

The relatively robust performance of private-label AAA-rated securities is explained clearly in the final report of the Financial Crisis Inquiry Commission (2011), among other sources. Yet it still surprises many people. If these AAA-rated securities didn’t suffer losses, where were the famous “toxic mortgage-related securities” that caused the financial crisis? The answer is that banks used lower-rated securities from private-label deals to construct other securities, such as the collateralized debt obligations (CDOs) discussed earlier. Recall that because these CDOs were backed by tranches of subprime securities, which were technically labeled asset-backed securities (ABS), the resulting CDOs were called ABS CDOs. The main difference between the original ABS and the ABS CDOs was that the CDOs were not backed by 2,000 or so subprime loans, but rather a collection of 90–100 lower-rated tranches of subprime ABS deals, with most of these tranches having BBB ratings. Yet the organizing principal of CDOs and the original ABS securities was the same: senior AAA-rated tranches were protected from losses by lower-rated tranches. For the original ABS, losses would occur if individual homeowners defaulted. For the CDOs, losses would occur if the BBB-rated securities from the original ABS deals defaulted.

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Figure 9. Downgrades and Impairments Among Mortgage-Backed Securities (MBS) and Collateralized Debt Obligations (CDOs). The two panels on the left show that among private-label MBS, lower-rated tranches suﬀered massive losses. However, while a large fraction of AAA-rated tranches were downgraded, the vast majority of these tranches paid oﬀ, as few of them suﬀered actual impairments. The two panels on the right show that the same is not true for CDOs. Because these bonds tended to be backed by the lower-rated tranches of private-lable MBS, both the AAA-rated and the lower-rated tranches of CDOs suﬀered signiﬁcant impairments. Source: Tables 12, 13, 17 and 18 in Financial Crisis Inquiry Commission (2010).

The difference between the ABS and CDO experiences has been discussed on PrefBlog previously, notably in the post Hull & White on AAA Tranches of Subprime.

I haven’t passed on any drone news lately … so here’s a fun drone story:

On a cool October night, after the stores in a shopping mall had closed, six young drone racers gathered in a subterranean parking garage to hone their aviation skills. Using remote-control joysticks, they navigated small X-shaped drones around pylons and beneath shopping carts, each vying for the lead.

The young men all work steady jobs, but racing drones, they said, has become a consuming new passion..
…
What the sport needs most at this stage is money, and in the last few months it has started to flow. In August, another organization, the Drone Racing League, announced a $1 million investment from the Miami Dolphins owner Stephen M. Ross through his investment arm RSE Ventures. The league’s chief executive, Nicholas Horbaczewski, would not reveal its plans, but he acknowledged reports that described races similar to video-game competitions held in large arenas. Horbaczewski said the company’s first major event would be in early 2016.
…
Pilots navigate the drones using a remote control with two joysticks that control altitude, speed and direction. They wear large goggles that broadcast live standard-definition video from a camera mounted on the front of the drone. It is this first-person-view technology, or F.P.V., that has given the sport a major boost, allowing pilots to feel as if they are in the drone. The experience, they said, is similar to the pod-racing scenes from “Star Wars: Episode I — The Phantom Menace.”

The drone frames are made of light but sturdy material like carbon fiber and are little more than small platforms for motors, a battery, electronic circuitry and four to six propellers. Most are of the four-motor variety and are thus better known among hobbyists as quadcopters, or quads, rather than drones.

“Three years ago, this technology was so expensive, so unattainable, that only the professional cinematographer could afford it,” [chief operating officer of the International Drone Racing Association Charles] Zablan said. Now, he said, a full racing kit with F.P.V. goggles can be bought for about $1,000.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 4bp, FixedResets up 24bp and DeemedRetractibles off 14bp. The Performance Highlights table continues to show a lot of churn. Volume was average.

Here’s TRP:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 20.10 to be $1.02 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.55 cheap at its bid price of 14.01.

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Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 20.65 to be 0.43 rich, while MFC.PR.F resetting at +141bp on 2016-6-19, is bid at 15.15 to be 0.50 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.51 to be $1.98 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.00 and appears to be $1.13 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 19.97, looks $0.86 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 14.70 and is $0.65 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.58%, with one outlier above 0.00%. There are two junk outliers above 0.00% and two below -2.00%.

Click for Big

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.27 %	5.12 %	31,652	17.68	1	2.4984 %	1,819.2
FixedFloater	6.06 %	5.30 %	28,946	17.16	1	-4.3319 %	3,221.0
Floater	3.96 %	4.01 %	64,188	17.37	3	-2.7438 %	1,994.4
OpRet	4.84 %	4.56 %	33,233	0.78	1	0.1187 %	2,717.5
SplitShare	4.74 %	5.58 %	147,281	4.38	5	0.2806 %	3,209.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2806 %	2,504.0
Perpetual-Premium	5.81 %	-1.14 %	87,406	0.08	6	-0.0859 %	2,500.3
Perpetual-Discount	5.51 %	5.63 %	83,445	14.46	33	0.0448 %	2,594.0
FixedReset	4.76 %	4.47 %	227,964	15.57	76	0.2374 %	2,149.2
Deemed-Retractible	5.17 %	5.21 %	108,240	5.42	34	-0.1377 %	2,585.1
FloatingReset	2.57 %	3.76 %	55,157	5.78	10	-0.4711 %	2,191.5

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.B	FixedReset	-4.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 12.90 Evaluated at bid price : 12.90 Bid-YTW : 4.47 %
BAM.PR.G	FixedFloater	-4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 25.00 Evaluated at bid price : 15.68 Bid-YTW : 5.30 %
BAM.PR.B	Floater	-3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 3.97 %
BAM.PR.K	Floater	-3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 11.90 Evaluated at bid price : 11.90 Bid-YTW : 4.01 %
TRP.PR.A	FixedReset	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.65 %
FTS.PR.G	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.36 %
BMO.PR.R	FloatingReset	-1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 3.73 %
BAM.PR.X	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 15.86 Evaluated at bid price : 15.86 Bid-YTW : 4.79 %
BAM.PR.C	Floater	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 11.90 Evaluated at bid price : 11.90 Bid-YTW : 4.01 %
SLF.PR.J	FloatingReset	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.80 Bid-YTW : 9.15 %
TD.PR.T	FloatingReset	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 3.76 %
BAM.PF.F	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 21.71 Evaluated at bid price : 22.02 Bid-YTW : 4.61 %
SLF.PR.G	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.26 Bid-YTW : 8.63 %
BAM.PR.Z	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 21.42 Evaluated at bid price : 21.76 Bid-YTW : 4.76 %
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 : 21.66 Bid-YTW : 6.68 %
TRP.PR.F	FloatingReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 3.93 %
MFC.PR.M	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.11 Bid-YTW : 5.97 %
MFC.PR.F	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.15 Bid-YTW : 9.09 %
RY.PR.J	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 21.92 Evaluated at bid price : 22.38 Bid-YTW : 4.15 %
TD.PF.C	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 20.14 Evaluated at bid price : 20.14 Bid-YTW : 4.24 %
TRP.PR.E	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 4.47 %
TRP.PR.G	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 21.39 Evaluated at bid price : 21.67 Bid-YTW : 4.54 %
CM.PR.P	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 4.28 %
IAG.PR.G	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.76 Bid-YTW : 5.30 %
BAM.PR.T	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.80 %
IFC.PR.C	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.35 Bid-YTW : 6.57 %
PWF.PR.T	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 22.23 Evaluated at bid price : 22.70 Bid-YTW : 3.88 %
MFC.PR.J	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.55 Bid-YTW : 5.20 %
TD.PF.D	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 22.29 Evaluated at bid price : 23.00 Bid-YTW : 4.08 %
SLF.PR.H	FixedReset	2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 6.87 %
BAM.PR.E	Ratchet	2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 5.12 %
IFC.PR.A	FixedReset	3.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 8.36 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.D	FixedReset	73,026	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.58 %
TRP.PR.E	FixedReset	48,335	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 4.47 %
BAM.PF.A	FixedReset	37,825	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 21.24 Evaluated at bid price : 21.52 Bid-YTW : 4.72 %
TD.PF.A	FixedReset	22,048	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.22 %
BMO.PR.S	FixedReset	21,359	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 20.42 Evaluated at bid price : 20.42 Bid-YTW : 4.28 %
TD.PR.Z	FloatingReset	20,800	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 3.64 %
There were 35 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.B	FixedReset	Quote: 12.90 – 13.70 Spot Rate : 0.8000 Average : 0.4996 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 12.90 Evaluated at bid price : 12.90 Bid-YTW : 4.47 %
BAM.PR.X	FixedReset	Quote: 15.86 – 16.65 Spot Rate : 0.7900 Average : 0.5528 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 15.86 Evaluated at bid price : 15.86 Bid-YTW : 4.79 %
CU.PR.D	Perpetual-Discount	Quote: 22.40 – 22.92 Spot Rate : 0.5200 Average : 0.3677 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 22.10 Evaluated at bid price : 22.40 Bid-YTW : 5.47 %
BAM.PR.G	FixedFloater	Quote: 15.68 – 16.50 Spot Rate : 0.8200 Average : 0.7006 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 25.00 Evaluated at bid price : 15.68 Bid-YTW : 5.30 %
GWO.PR.N	FixedReset	Quote: 13.90 – 14.34 Spot Rate : 0.4400 Average : 0.3301 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.90 Bid-YTW : 9.94 %
BAM.PR.B	Floater	Quote: 12.00 – 12.28 Spot Rate : 0.2800 Average : 0.1798 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-11 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 3.97 %

Market Action

November 10, 2015

SNC-Lavalin thinks it would be helpful if we had a no-fault justice system with no judiciary:

SNC-Lavalin Group Inc. is pressing Canada’s new Liberal government to adopt corporate corruption settlement deals like those in place in the United Kingdom and the United States, saying federal charges laid against the company are hurting its ability to compete against rivals in Group of 7 countries.
…
SNC is expending significant effort explaining its situation and Canada’s legal system to potential clients, Mr. Bruce added in an interview with The Globe and Mail. He said although those conversations are getting easier over time, ongoing reputational issues continue to affect the company’s ability to bid for work.

“Effectively, we are locked in the court system,” he said, “[It’s] by trial until you’re either found guilty or not guilty.”
…
Differing interests are at play. SNC wants to resolve the matter without admitting guilt, which could damage its ability to bid for contracts internationally and at home. Ottawa has been trying to get tougher on companies involved in corruption after being rebuked for years on the international stage for its perceived failure to take the matter seriously.

Prosecutors in February laid rare corruption and fraud charges against Montreal-based SNC, Canada’s largest engineering firm, related to its business in Libya.

Well, I don’t know why we’re so eager to save Libyans from corruption (Libya is still a foreign country, as far as I know), but that’s a part of law that is currently beside the point. It appears that Mr. Bruce would rather have nice quiet chats with federal bureaucrats regarding allegations of wrongdoing and pay a ~~license fee~~ administrative penalty in lieu of court-ordered fines. He also thinks it would be pleasant to avoid admitting wrongdoing, which will make it much harder for aggrieved third parties to go to what is quaintly known as ‘public court’ to seek redress.

I have no doubt that the law can be improved – and certainly the complete destruction of a company due to relatively limited wrongdoing by a tiny part of it seems disproportionate – but the holus-bolus replacement of the judiciary by well connected political operatives does not sound like much of an improvement to me.

Allister Heath of The Telegraph has some well expressed views on economics:

Seeking to predict the unpredictable has certainly kept a lot of people employed in the City of London, and for good reason: there is an immense and unquenchable appetite for their services. Being proved wrong time and again doesn’t really matter: what counts is the plausibility of the forecast and of the way in which it is delivered. In extremis, economics becomes a branch of showbusiness: entertainment and therapy dressed up as science.

We all want to know what exactly will happen to the economy, interest rates and inflation over the next few years; but economies are complex, non-linear systems that cannot meaningfully be predicted by inputting a few variables into a computer. They are just too random for that – and in any case, the data and statistics at our disposal are too imprecise and subject to endless, drastic revisions. We don’t really know what is happening to the economy today, so how can we possibly know with any degree of precision what will happen in three years’ time? The best we can do is what Nobel prize-winning economist F.A. Hayek called “pattern predictions” and scenario-based forecasts; attempts at spurious accuracy are scientistic rather than scientific, he argued.

It was a mixed, mostly negative day for the Canadian preferred share market, with PerpetualDiscounts off 22bp, FixedResets down 40bp and DeemedRetractibles gaining 15bp. The Performance Highlights table is ridiculously long, as has been the case all year, with a notable preponderance of losers. Volume was slightly below average.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.88 to be $0.76 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.76 cheap at its bid price of 14.06.

Click for Big

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 20.70 to be 0.56 rich, while MFC.PR.F resetting at +141bp on 2016-6-19, is bid at 15.00 to be 0.64 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.54 to be $2.07 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.06 and appears to be $1.09 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 20.13, looks $0.93 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 14.70 and is $0.73 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.58%, with no outliers. There are two junk outliers above 0.00% and two below -2.00%.

Click for Big

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.38 %	5.26 %	29,300	17.51	1	-2.4375 %	1,774.8
FixedFloater	5.80 %	5.04 %	30,124	17.48	1	2.4375 %	3,366.9
Floater	3.85 %	3.87 %	62,651	17.66	3	3.2828 %	2,050.6
OpRet	4.85 %	4.70 %	34,609	0.78	1	0.0792 %	2,714.3
SplitShare	4.75 %	5.61 %	152,298	4.38	5	0.0901 %	3,200.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0901 %	2,497.0
Perpetual-Premium	5.81 %	-1.33 %	90,302	0.08	6	0.2584 %	2,502.4
Perpetual-Discount	5.52 %	5.61 %	82,634	14.47	33	-0.2220 %	2,592.8
FixedReset	4.77 %	4.51 %	220,525	15.59	76	-0.4037 %	2,144.1
Deemed-Retractible	5.16 %	5.20 %	108,816	5.42	34	0.1478 %	2,588.7
FloatingReset	2.55 %	3.78 %	54,678	5.79	10	-0.3886 %	2,201.9

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.R	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 5.23 %
SLF.PR.G	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.45 Bid-YTW : 8.46 %
GWO.PR.N	FixedReset	-2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 9.84 %
BAM.PR.E	Ratchet	-2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 25.00 Evaluated at bid price : 15.61 Bid-YTW : 5.26 %
HSE.PR.A	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 14.77 Evaluated at bid price : 14.77 Bid-YTW : 4.84 %
FTS.PR.H	FixedReset	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 4.31 %
PWF.PR.P	FixedReset	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 4.54 %
TD.PF.C	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 4.28 %
SLF.PR.H	FixedReset	-1.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.66 Bid-YTW : 7.18 %
BNS.PR.Y	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.45 Bid-YTW : 5.37 %
BAM.PF.G	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 21.71 Evaluated at bid price : 22.08 Bid-YTW : 4.60 %
CU.PR.F	Perpetual-Discount	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 5.45 %
MFC.PR.K	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.42 Bid-YTW : 6.19 %
NA.PR.W	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 4.29 %
BNS.PR.Z	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 5.77 %
BAM.PR.Z	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 21.61 Evaluated at bid price : 22.02 Bid-YTW : 4.69 %
BIP.PR.A	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 21.96 Evaluated at bid price : 22.45 Bid-YTW : 5.13 %
IFC.PR.A	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 8.77 %
TD.PF.D	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 22.00 Evaluated at bid price : 22.51 Bid-YTW : 4.18 %
BAM.PR.T	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.86 %
CM.PR.O	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 4.33 %
BMO.PR.R	FloatingReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 3.43 %
BAM.PF.A	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 21.40 Evaluated at bid price : 21.73 Bid-YTW : 4.67 %
BNS.PR.D	FloatingReset	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.55 Bid-YTW : 5.56 %
BMO.PR.M	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 3.36 %
GWO.PR.G	Deemed-Retractible	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.78 Bid-YTW : 6.02 %
PWF.PR.T	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 21.96 Evaluated at bid price : 22.31 Bid-YTW : 3.96 %
BNS.PR.R	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 3.77 %
TD.PF.E	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 22.54 Evaluated at bid price : 23.50 Bid-YTW : 4.06 %
BAM.PR.G	FixedFloater	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 25.00 Evaluated at bid price : 16.39 Bid-YTW : 5.04 %
BAM.PR.C	Floater	2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 12.08 Evaluated at bid price : 12.08 Bid-YTW : 3.95 %
BAM.PR.B	Floater	3.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 12.42 Evaluated at bid price : 12.42 Bid-YTW : 3.84 %
BAM.PR.K	Floater	3.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 12.31 Evaluated at bid price : 12.31 Bid-YTW : 3.87 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.Q	FixedReset	59,221	RBC crossed 50,000 at 21.15. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.08 Bid-YTW : 5.39 %
BAM.PF.B	FixedReset	36,725	RBC crossed 20,000 at 20.72. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 4.62 %
SLF.PR.I	FixedReset	32,392	TD crossed 25,500 at 22.25. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.27 Bid-YTW : 5.46 %
RY.PR.H	FixedReset	28,927	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 4.24 %
CM.PR.P	FixedReset	27,250	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.34 %
TRP.PR.D	FixedReset	25,496	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.60 %
There were 28 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.E	Ratchet	Quote: 15.61 – 16.75 Spot Rate : 1.1400 Average : 0.7178 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 25.00 Evaluated at bid price : 15.61 Bid-YTW : 5.26 %
TRP.PR.H	FloatingReset	Quote: 11.90 – 13.00 Spot Rate : 1.1000 Average : 0.6943 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 11.90 Evaluated at bid price : 11.90 Bid-YTW : 3.56 %
TRP.PR.G	FixedReset	Quote: 21.43 – 22.25 Spot Rate : 0.8200 Average : 0.5642 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 4.61 %
FTS.PR.G	FixedReset	Quote: 19.50 – 20.09 Spot Rate : 0.5900 Average : 0.3725 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.28 %
SLF.PR.G	FixedReset	Quote: 15.45 – 15.95 Spot Rate : 0.5000 Average : 0.3313 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.45 Bid-YTW : 8.46 %
RY.PR.W	Perpetual-Discount	Quote: 23.30 – 23.78 Spot Rate : 0.4800 Average : 0.3209 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-10 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 5.26 %

Market Action

November 9, 2015

While the Fed moves closer to an anti-inflationary rate hike – or so it is assumed! – China continues to be worried about deflation:

China’s consumer inflation waned in October while factory-gate deflation extended a record streak of negative readings, signaling policy makers may need to hit the gas again to ease deflationary pressures.

The consumer-price index rose 1.3 percent in October from a year earlier, according to the National Bureau of Statistics, missing the 1.5 percent median estimate in a Bloomberg survey and down from 1.6 percent in September. The producer-price index fell 5.9 percent, its 44th straight monthly decline.

The lingering deflation risks, along with weakening trade, open the door for additional stimulus as inflation remains about half the government’s target pace. The People’s Bank of China — which has cut interest rates six times in the past year — is seeking to stabilize the economy without fueling a renewed surge in debt.
…
Food prices rose 1.9 percent from a year earlier, from 2.7 percent in September. Non-food prices climbed 0.9 percent. Prices of consumer goods increased 1 percent, while services increased 1.9 percent, the data showed.

The inflation reading follows a tepid trade report that suggested the world’s second-biggest economy isn’t likely to get a near-term boost from global demand. Overseas shipments dropped 6.9 percent in October in dollar terms while weaker demand for coal, iron and other commodities from declining heavy industries helped pushimports down 18.8 percent, leaving a recordtrade surplus of $61.6 billion.

China isn’t the only major economy battling lowflation. American consumers’ expectations for inflation three years ahead fell last month to the lowest level in records going back to June 2013, according to a monthly Federal Reserve Bank of New York survey released Monday.

The Bank of Japan last month blamed the slide in oil prices for its decision to postpone its time frame for reaching a 2 percent inflation target for the second time this year, while the Bank of England last week forecast that consumer-price growth will remain below 1 percent — less than half its target — until the second half of 2016. In the euro zone, inflation has averaged 1.2 percent in the four years since Mario Draghi took the helm of the European Central Bank in November 2011, according to Bloomberg calculations.

It will be recalled that China’s devaluation was characterized as ‘exporting deflation’; I guess they’d better export more!

Meanwhile, Treasuries continued to ease:

Treasuries haven’t had such an extended losing run since June 2013, as investors step up bets that the first Federal Reserve interest-rate increase in almost a decade will come this year.

U.S. sovereign debt retreated for a sixth day Monday, after Boston Fed President Eric Rosengren added his voice to the chorus of Fed officials saying liftoff could come at their Dec. 15-16 meeting. The yield on 10-year Treasury notes touched a three-month high of 2.37 percent that day. Futures put the odds for a rate rise by year-end at 68 percent, compared with a 50 percent probability at the end of last month.

Meanwhile the war on markets continues:

U.S. officials investigating the $12.8 trillion market for U.S. Treasuries are zeroing in on a practice of trading the debt before it’s issued, said a person familiar with the matter — spotlighting trades that several recent lawsuits allege are part of big banks’ efforts to rig Treasury markets.

Goldman Sachs Group Inc. tipped the government’s avenue of inquiry in a recent regulatory filing. In a standard passage about areas under regulatory scrutiny, the bank’s Nov. 2 disclosure included a handful of words that hadn’t appeared the previous quarter: “offering,” “auction” and “when-issued trading.” It was a reference, the person said, to a fresh line of exploration in the government’s broader, months-old investigation into Treasuries trading.

That shows officials’ interest in one of the least transparent corners of the world’s largest debt market. When-issued securities act as placeholders for bills, notes or bonds before they’re auctioned. The instruments change hands over the counter, with lifespans of just days. There’s scant public information on trading volumes or the market’s biggest players.
…
When debt sells for less than when-issued prices indicate, traders say the auction “tailed.” Auctions tailed more than half the time in every type of security except for the 10-year note between 2010 and 2014, a Cleveland pension fund alleged in a lawsuit against the 22 primary dealers filed Aug. 26 in Manhattan federal court. The chances that a supposedly predictive market would be so consistently off, in a direction that favors the people selling the security, is lower than 1 percent, the fund alleged.

The banks selling when-issued securities are often the same ones that receive billions of dollars worth of client bids for those same auctions. That raises the concern — taken as a given in several of the recent suits — that information is being shared within and between banks.

It was a mixed, modestly negative, day for the Canadian preferred share market as buyers took a rest after Friday‘s exertions. PerpetualDiscounts gained 7bp, FixedResets were off 15bp and DeemedRetractibles were down 17bp. Beneath the veneer of calm, however, was a lot of churn, as illustrated by the Performance Highlights table. Volume was slightly below average.

Here’s TRP:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.86 to be $0.66 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.75 cheap at its bid price of 14.05.

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Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 20.82 to be 0.61 rich, while MFC.PR.F resetting at +141bp on 2016-6-19, is bid at 15.12 to be 0.63 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.97 to be $1.77 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.00 and appears to be $0.88 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 20.28, looks $0.88 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 15.01 and is $0.65 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.52%, with no outliers. There are three junk outliers above 0.00% and one below -2.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.27 %	5.12 %	27,904	17.69	1	0.0000 %	1,819.2
FixedFloater	5.94 %	5.19 %	31,310	17.31	1	0.9464 %	3,286.8
Floater	3.98 %	4.01 %	62,634	17.37	3	1.1925 %	1,985.4
OpRet	4.85 %	4.78 %	34,596	0.78	1	-0.1975 %	2,712.1
SplitShare	4.75 %	5.66 %	152,742	4.38	5	0.1313 %	3,197.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1313 %	2,494.8
Perpetual-Premium	5.82 %	3.30 %	89,302	0.08	6	-0.0530 %	2,496.0
Perpetual-Discount	5.50 %	5.60 %	83,626	14.50	33	0.0657 %	2,598.6
FixedReset	4.75 %	4.45 %	217,132	15.62	76	-0.1505 %	2,152.8
Deemed-Retractible	5.17 %	5.16 %	109,812	5.42	34	-0.1746 %	2,584.9
FloatingReset	2.54 %	3.65 %	54,935	5.80	10	-0.2266 %	2,210.4

Performance Highlights
Issue	Index	Change	Notes
IFC.PR.A	FixedReset	-4.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.72 Bid-YTW : 8.58 %
TRP.PR.D	FixedReset	-3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.59 %
TRP.PR.C	FixedReset	-3.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 4.62 %
CU.PR.C	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 4.14 %
FTS.PR.J	Perpetual-Discount	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 21.98 Evaluated at bid price : 22.26 Bid-YTW : 5.42 %
MFC.PR.N	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.28 Bid-YTW : 5.78 %
FTS.PR.F	Perpetual-Discount	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 22.60 Evaluated at bid price : 22.85 Bid-YTW : 5.45 %
TRP.PR.G	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 21.42 Evaluated at bid price : 21.71 Bid-YTW : 4.60 %
TD.PF.E	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 22.34 Evaluated at bid price : 23.11 Bid-YTW : 4.14 %
IFC.PR.C	FixedReset	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 6.73 %
BAM.PF.E	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.57 %
GWO.PR.G	Deemed-Retractible	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.53 Bid-YTW : 6.17 %
GWO.PR.Q	Deemed-Retractible	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.42 Bid-YTW : 6.18 %
TRP.PR.F	FloatingReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 15.09 Evaluated at bid price : 15.09 Bid-YTW : 3.88 %
MFC.PR.F	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.12 Bid-YTW : 9.11 %
CM.PR.O	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 4.28 %
CM.PR.P	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 19.79 Evaluated at bid price : 19.79 Bid-YTW : 4.31 %
RY.PR.J	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 21.76 Evaluated at bid price : 22.15 Bid-YTW : 4.20 %
TRP.PR.A	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 16.96 Evaluated at bid price : 16.96 Bid-YTW : 4.52 %
BAM.PR.X	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 16.12 Evaluated at bid price : 16.12 Bid-YTW : 4.71 %
CU.PR.G	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 20.97 Evaluated at bid price : 20.97 Bid-YTW : 5.38 %
TD.PR.Y	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.16 Bid-YTW : 3.78 %
MFC.PR.M	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.16 Bid-YTW : 5.94 %
NA.PR.Q	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 3.77 %
MFC.PR.H	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 4.73 %
FTS.PR.K	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 20.28 Evaluated at bid price : 20.28 Bid-YTW : 4.07 %
BAM.PR.M	Perpetual-Discount	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 5.71 %
FTS.PR.G	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.24 %
BAM.PF.B	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.65 %
BMO.PR.S	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 4.25 %
BAM.PR.T	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 4.81 %
BAM.PR.B	Floater	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 3.97 %
MFC.PR.I	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 5.07 %
CU.PR.H	Perpetual-Discount	1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 23.89 Evaluated at bid price : 24.25 Bid-YTW : 5.41 %
BIP.PR.A	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 22.15 Evaluated at bid price : 22.75 Bid-YTW : 5.06 %
BAM.PF.C	Perpetual-Discount	1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 21.29 Evaluated at bid price : 21.29 Bid-YTW : 5.78 %
BNS.PR.A	FloatingReset	1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 3.57 %
BAM.PR.K	Floater	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 11.89 Evaluated at bid price : 11.89 Bid-YTW : 4.01 %
BAM.PF.D	Perpetual-Discount	2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 21.35 Evaluated at bid price : 21.66 Bid-YTW : 5.72 %
MFC.PR.J	FixedReset	2.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 5.47 %
HSE.PR.A	FixedReset	3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 15.13 Evaluated at bid price : 15.13 Bid-YTW : 4.73 %
BAM.PF.F	FixedReset	4.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 21.98 Evaluated at bid price : 22.41 Bid-YTW : 4.52 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSE.PR.E	FixedReset	93,750	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 22.17 Evaluated at bid price : 22.76 Bid-YTW : 5.06 %
SLF.PR.H	FixedReset	72,486	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.01 Bid-YTW : 6.93 %
HSE.PR.A	FixedReset	47,561	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 15.13 Evaluated at bid price : 15.13 Bid-YTW : 4.73 %
SLF.PR.J	FloatingReset	37,851	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.10 Bid-YTW : 8.87 %
TRP.PR.D	FixedReset	32,921	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.59 %
BMO.PR.T	FixedReset	32,020	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 4.26 %
There were 27 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
SLF.PR.H	FixedReset	Quote: 19.01 – 19.73 Spot Rate : 0.7200 Average : 0.4529 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.01 Bid-YTW : 6.93 %
BAM.PR.X	FixedReset	Quote: 16.12 – 16.83 Spot Rate : 0.7100 Average : 0.4602 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 16.12 Evaluated at bid price : 16.12 Bid-YTW : 4.71 %
POW.PR.G	Perpetual-Discount	Quote: 24.82 – 25.48 Spot Rate : 0.6600 Average : 0.4178 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 24.36 Evaluated at bid price : 24.82 Bid-YTW : 5.68 %
CU.PR.G	Perpetual-Discount	Quote: 20.97 – 21.50 Spot Rate : 0.5300 Average : 0.3262 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 20.97 Evaluated at bid price : 20.97 Bid-YTW : 5.38 %
CU.PR.D	Perpetual-Discount	Quote: 22.51 – 23.02 Spot Rate : 0.5100 Average : 0.3110 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 22.18 Evaluated at bid price : 22.51 Bid-YTW : 5.44 %
RY.PR.J	FixedReset	Quote: 22.15 – 22.62 Spot Rate : 0.4700 Average : 0.2749 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-09 Maturity Price : 21.76 Evaluated at bid price : 22.15 Bid-YTW : 4.20 %

Market Action

November 6, 2015

Jobs, jobs, jobs!

Forget about ambiguity. The October jobs report left little doubt the U.S. labor market is back with a vengeance after a two-month lull.

The 271,000 gain in payrolls was the biggest this year and exceeded all estimates in a Bloomberg survey of economists, a Labor Department report showed Friday. The jobless rate fell to a seven-year low of 5 percent and average hourly earnings over the past 12 months climbed by the most since 2009.
…
Investors have raised to about 70 percent the probability of a rate increase by policy makers’ December meeting, according to pricing in the federal funds futures market. That compares to 56 percent on Thursday, and assumes the effective funds rate averages 0.375 percent after liftoff.

The report also showed diminishing labor-market slack. The number of Americans working part-time because of a weak economy fell to 5.7 million in October, the lowest since June 2008.

There were even some private sector jobs in Canada!

Canada added 44,000 jobs in October, a gain that blew past expectations but was likely due to temporary hiring for the federal election.

The bulk of the new jobs were in the public administration sector and coincided with the last two weeks before the election in mid-October that saw the Liberals sweep to power.
…
The country lost 9,000 construction jobs and the resources sector continued to shrink, shedding another 8,000 jobs last month, according to the government’s latest labour report.

Alberta shouldered a big chunk of the losses, shedding 11,000 jobs in October.
…
Meanwhile, Ontario and British Columbia each added more than 20,000 jobs.

… so treasuries took a hit:

Yields on 10-year U.S. Treasuries surged 10 basis points to 2.33 percent, following a four-day increase as bets on a Fed move next month crept up. The rate on the more policy-sensitive 2-year note jumped six basis points to 0.89 percent.

The yield on the Bloomberg U.S. Treasury Bond Index climbed to 1.64 percent Thursday, the highest level since July 13. The gauge headed for a third weekly loss, with the decline totaling 1.2 percent.

There’s an interesting New York Fed piece on the Differences in Rent Inflation by Cost of Housing:

In this post, which is based upon our updated staff report on “The Measurement of Rent Inflation,” we present evidence that price changes for rent, which comprises a large share of consumer spending, can vary considerably across households. In particular, we show that rent inflation is consistently higher for lower-cost housing units than it is for higher-cost units. Note that since owners’ equivalent rent inflation is estimated from observed changes in rent of rental units, this finding applies to homeowners as well. While we cannot be certain about why this is the case, it appears to be at least partly related to how additional units are supplied to the housing market: in higher-price segments additional units primarily come from new construction, while most of the increase in lower-price segments comes from units that previously were occupied by higher-income households.
…
Putting these various threads together, it appears that the inverse relationship between prior rent levels and rent inflation may be related to a greater concentration of new residential construction in the higher rent level segments of the housing market, dampening the price response to a tightening in that market. As one moves down the rent level distribution, increases in the supply of housing increasingly come from previously higher-rent units, which may still have rents above the average of the incumbent units, pushing up rents more in such segments.

One interesting question is how various public policies designed to influence the level of housing costs affect the growth of that cost over time. We hope to explore this issue in future work.

Canadian preferred share investors are making new plans for the Christmas holidays!

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The TXPL total return index has now recovered to its late July levels, meaning that the horror of August, September and early October has been reversed. There were a few days in August in which the TXPR total return index was higher than it is today, but the broad market is also quite close to extinguishing the past three months odd. Mind you, the five year Canada is back to where it was in early June (also early May and early January, for that matter) so the preferred share market is either lagging behind its driver, or the relationship has changed, or something else.

It was a superb day for the Canadian preferred share market, with PerpetualDiscounts up 39bp, FixedResets winning an awesome 227bp and DeemedRetractibles gaining 17bp. The Performance Highlights table is, of course, ridiculously long and contains no losers at all. Volume was very extremely awfully high.

Here’s TRP:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 20.01 to be $0.45 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.51 cheap at its bid price of 14.50.

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Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 21.70 to be 0.84 rich, while MFC.PR.J resetting at +261bp on 2018-3-19, is bid at 21.60 to be 0.68 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.08 to be $1.57 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.30 and appears to be $1.30 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 20.07, looks $0.81 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 15.02 and is $0.52 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.56%, with one outlier above 0.00%. There are two junk outliers above 0.00% and two below -2.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.27 %	5.12 %	28,929	17.69	1	0.0000 %	1,819.2
FixedFloater	5.99 %	5.24 %	31,249	17.25	1	1.8638 %	3,256.0
Floater	4.02 %	4.07 %	63,387	17.25	3	1.7919 %	1,962.0
OpRet	4.84 %	4.48 %	34,074	0.79	1	-0.0790 %	2,717.5
SplitShare	4.76 %	5.76 %	153,350	4.39	5	-0.0246 %	3,193.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0246 %	2,491.5
Perpetual-Premium	5.82 %	-0.71 %	87,549	0.08	6	-0.1587 %	2,497.3
Perpetual-Discount	5.51 %	5.62 %	83,407	14.47	33	0.3933 %	2,596.9
FixedReset	4.74 %	4.29 %	217,266	15.92	76	2.2657 %	2,156.0
Deemed-Retractible	5.16 %	5.21 %	110,943	5.42	34	0.1724 %	2,589.4
FloatingReset	2.53 %	3.78 %	56,779	5.81	10	1.3471 %	2,215.5

Performance Highlights
Issue	Index	Change	Notes
TD.PR.Z	FloatingReset	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.88 Bid-YTW : 3.54 %
HSE.PR.G	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 22.30 Evaluated at bid price : 23.00 Bid-YTW : 4.87 %
MFC.PR.B	Deemed-Retractible	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 6.59 %
BMO.PR.Q	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.31 %
BAM.PR.M	Perpetual-Discount	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.76 %
ELF.PR.G	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.66 %
CM.PR.Q	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 22.16 Evaluated at bid price : 22.77 Bid-YTW : 4.00 %
MFC.PR.H	FixedReset	1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 4.74 %
GWO.PR.G	Deemed-Retractible	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.86 Bid-YTW : 5.96 %
PWF.PR.T	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.73 Evaluated at bid price : 22.00 Bid-YTW : 3.88 %
BAM.PR.K	Floater	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 4.09 %
TRP.PR.E	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 4.34 %
BNS.PR.Y	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.78 Bid-YTW : 5.04 %
CU.PR.H	Perpetual-Discount	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 23.53 Evaluated at bid price : 23.85 Bid-YTW : 5.50 %
TD.PR.Y	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.42 Bid-YTW : 3.51 %
BMO.PR.R	FloatingReset	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 3.15 %
BAM.PR.X	FixedReset	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.45 %
MFC.PR.F	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.31 Bid-YTW : 8.75 %
GWO.PR.Q	Deemed-Retractible	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.74 Bid-YTW : 5.98 %
TD.PR.T	FloatingReset	1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.03 Bid-YTW : 3.34 %
FTS.PR.J	Perpetual-Discount	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 22.30 Evaluated at bid price : 22.70 Bid-YTW : 5.30 %
CU.PR.C	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 3.90 %
BAM.PR.G	FixedFloater	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 25.00 Evaluated at bid price : 15.85 Bid-YTW : 5.24 %
BAM.PF.F	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.61 %
MFC.PR.M	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.38 Bid-YTW : 5.71 %
BAM.PR.C	Floater	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 11.72 Evaluated at bid price : 11.72 Bid-YTW : 4.07 %
BAM.PR.T	FixedReset	1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.68 %
VNR.PR.A	FixedReset	2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 4.45 %
BMO.PR.W	FixedReset	2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.13 %
FTS.PR.M	FixedReset	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.30 Evaluated at bid price : 21.58 Bid-YTW : 4.14 %
TRP.PR.D	FixedReset	2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.29 %
BMO.PR.M	FixedReset	2.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 3.02 %
BNS.PR.Z	FixedReset	2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 5.40 %
GWO.PR.N	FixedReset	2.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.40 Bid-YTW : 9.26 %
BAM.PR.B	Floater	2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 4.02 %
BAM.PR.N	Perpetual-Discount	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.74 %
RY.PR.Z	FixedReset	2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 4.00 %
TD.PF.B	FixedReset	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 4.03 %
RY.PR.H	FixedReset	2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 4.05 %
BIP.PR.A	FixedReset	2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.89 Evaluated at bid price : 22.35 Bid-YTW : 5.03 %
BMO.PR.Y	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 22.27 Evaluated at bid price : 22.97 Bid-YTW : 3.93 %
FTS.PR.F	Perpetual-Discount	2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 5.34 %
FTS.PR.K	FixedReset	2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 3.96 %
BAM.PF.B	FixedReset	2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 4.56 %
TD.PF.E	FixedReset	2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 22.55 Evaluated at bid price : 23.52 Bid-YTW : 3.94 %
BMO.PR.T	FixedReset	2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 4.13 %
MFC.PR.J	FixedReset	2.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 5.66 %
BAM.PF.E	FixedReset	2.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 4.37 %
TRP.PR.A	FixedReset	3.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.31 %
MFC.PR.K	FixedReset	3.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 5.99 %
SLF.PR.G	FixedReset	3.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.94 Bid-YTW : 7.96 %
NA.PR.W	FixedReset	3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 4.10 %
TD.PF.A	FixedReset	3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 4.03 %
IFC.PR.A	FixedReset	3.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 7.82 %
CM.PR.P	FixedReset	3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 4.12 %
IAG.PR.G	FixedReset	3.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 5.15 %
HSE.PR.A	FixedReset	3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 14.67 Evaluated at bid price : 14.67 Bid-YTW : 4.64 %
NA.PR.S	FixedReset	3.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.17 %
PWF.PR.P	FixedReset	3.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.19 %
TD.PF.C	FixedReset	3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.06 %
CM.PR.O	FixedReset	3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.66 Evaluated at bid price : 20.66 Bid-YTW : 4.09 %
RY.PR.J	FixedReset	3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.93 Evaluated at bid price : 22.40 Bid-YTW : 4.02 %
FTS.PR.H	FixedReset	3.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 15.02 Evaluated at bid price : 15.02 Bid-YTW : 4.03 %
MFC.PR.L	FixedReset	3.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.71 Bid-YTW : 5.97 %
BAM.PF.G	FixedReset	3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.89 Evaluated at bid price : 22.35 Bid-YTW : 4.41 %
BAM.PF.A	FixedReset	3.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.49 Evaluated at bid price : 21.85 Bid-YTW : 4.50 %
RY.PR.M	FixedReset	3.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.54 Evaluated at bid price : 21.86 Bid-YTW : 4.03 %
FTS.PR.G	FixedReset	4.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 19.44 Evaluated at bid price : 19.44 Bid-YTW : 4.13 %
MFC.PR.N	FixedReset	4.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 5.44 %
TRP.PR.C	FixedReset	4.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 4.23 %
IFC.PR.C	FixedReset	4.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 6.38 %
MFC.PR.G	FixedReset	4.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.30 Bid-YTW : 4.90 %
MFC.PR.I	FixedReset	4.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 5.13 %
SLF.PR.I	FixedReset	4.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.04 Bid-YTW : 5.46 %
SLF.PR.H	FixedReset	4.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 6.81 %
SLF.PR.J	FloatingReset	4.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.21 Bid-YTW : 8.74 %
TRP.PR.B	FixedReset	4.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 13.56 Evaluated at bid price : 13.56 Bid-YTW : 4.05 %
TRP.PR.F	FloatingReset	5.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 15.28 Evaluated at bid price : 15.28 Bid-YTW : 3.81 %
BAM.PR.Z	FixedReset	6.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 22.06 Evaluated at bid price : 22.30 Bid-YTW : 4.50 %

Volume Highlights
Issue	Index	Shares Traded	Notes
GWO.PR.N	FixedReset	103,089	Desjardins crossed 19,900 at 14.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.40 Bid-YTW : 9.26 %
BMO.PR.Y	FixedReset	54,655	TD bought 23,200 from RBC at 23.00 and sold 10,000 to Scotia at 23.24. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 22.27 Evaluated at bid price : 22.97 Bid-YTW : 3.93 %
BNS.PR.Z	FixedReset	53,664	Nesbitt crossed 41,600 at 21.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 5.40 %
RY.PR.H	FixedReset	40,462	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 4.05 %
MFC.PR.I	FixedReset	35,661	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 5.13 %
CM.PR.O	FixedReset	33,577	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.66 Evaluated at bid price : 20.66 Bid-YTW : 4.09 %
There were 70 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.F	FixedReset	Quote: 21.50 – 23.15 Spot Rate : 1.6500 Average : 0.9374 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.61 %
VNR.PR.A	FixedReset	Quote: 21.38 – 22.50 Spot Rate : 1.1200 Average : 0.7547 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 4.45 %
MFC.PR.F	FixedReset	Quote: 15.31 – 16.00 Spot Rate : 0.6900 Average : 0.4621 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.31 Bid-YTW : 8.75 %
BAM.PR.T	FixedReset	Quote: 18.00 – 18.68 Spot Rate : 0.6800 Average : 0.4932 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.68 %
CM.PR.Q	FixedReset	Quote: 22.77 – 23.25 Spot Rate : 0.4800 Average : 0.3074 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 22.16 Evaluated at bid price : 22.77 Bid-YTW : 4.00 %
BAM.PF.B	FixedReset	Quote: 20.33 – 20.80 Spot Rate : 0.4700 Average : 0.3116 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-06 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 4.56 %

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