Category: Market Action

Nothing happened today.

It looked for a long time as if there would be a significant pullback in the preferred share indices today, but the Forces of Goodness and Truth mounted a counterattack a little after 3:30pm that recouped a good chunk of the day’s losses:

TXPL closed at 706.54. You can see a tiny little sliver of green at the extreme right-hand side of the chart, showing how the index rose 3+ points in the dying seconds of the day … at 3:58pm, the index level was 702.97.

But one must remember two very important things when looking at TXPL! First, it’s a price index and therefore of highly limited informational value. All the Royal Bank issues went ex-dividend today and this caused about 5bp divergence on the day between the Total Return index and the Price Index. Additionally, TXPL is calculated on a close/close basis; while the late rally will have causes some distortion (in that the closes will be, in general, further above the bid than otherwise), there will have been even more distortion in the prior number due to yesterday‘s wild ride. In addition, TXPL is riddled with junk, which I don’t pay much attention to. What I’m trying to say is …

It was a good, albeit mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 17bp, FixedResets up 41bp and DeemedRetractibles off 27bp. The bad part of the Performance Highlights table is dominated by insurance issues; the good part is more heterogeneous. Volume was 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:

Implied Volatility declined to more reasonable levels today.

TRP.PR.B, which resets 2020-6-30 at +128, is bid at 12.43 to be $0.50 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.41 cheap at its bid price of 13.00.

Implied Volatility declined slightly for the MFC series today.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 22.75 to be 0.46 rich, while MFC.PR.G resetting at +290bp on 2016-12-19, is bid at 20.95 to be 0.54 cheap.

The fit on the BAM issues continues to be poor. Implied Volatility increased a little today, but this is a figure that’s very highly dependent on the performance of the high-spread issue BAM.PF.H.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.00 to be $1.61 cheap. BAM.PF.A, resetting at +290bp on 2018-9-30 is bid at 21.50 and appears to be $0.74 rich.

Implied Volatility remains high.

FTS.PR.K, with a spread of +205bp, and bid at 18.95, looks $1.33 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 13.50 and is $0.55 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.88%, with two outliers below -2.00%. The distribution is bimodal, with bank NVCC non-compliant pairs averaging -1.29% and other issues averaging -0.29%. There are two junk outliers above 0.00% and three below -2.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	1.2813 %	1,739.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.2813 %	3,042.0
Floater	4.27 %	4.35 %	61,882	16.71	3	1.2813 %	1,849.5
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2028 %	2,752.2
SplitShare	4.36 %	5.38 %	77,471	2.96	5	-0.2028 %	3,225.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2028 %	2,516.6
Perpetual-Premium	5.88 %	5.83 %	67,837	14.02	5	-0.0080 %	2,476.2
Perpetual-Discount	5.67 %	5.73 %	80,908	14.23	33	0.1726 %	2,516.5
FixedReset	4.93 %	4.41 %	204,535	15.87	76	0.4051 %	2,071.0
Deemed-Retractible	5.24 %	5.05 %	106,388	5.47	33	-0.2656 %	2,547.3
FloatingReset	2.51 %	4.06 %	66,285	5.82	9	-0.1871 %	2,145.9

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.F	FixedReset	-3.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.31 Bid-YTW : 9.51 %
SLF.PR.D	Deemed-Retractible	-2.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.11 Bid-YTW : 7.49 %
MFC.PR.B	Deemed-Retractible	-2.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.93 Bid-YTW : 7.19 %
IFC.PR.C	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.44 Bid-YTW : 6.92 %
SLF.PR.C	Deemed-Retractible	-1.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.22 Bid-YTW : 7.42 %
GWO.PR.R	Deemed-Retractible	-1.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 6.92 %
SLF.PR.E	Deemed-Retractible	-1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 7.35 %
BNS.PR.C	FloatingReset	-1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.37 Bid-YTW : 4.09 %
SLF.PR.J	FloatingReset	-1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.53 Bid-YTW : 9.29 %
NA.PR.Q	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.36 Bid-YTW : 3.88 %
SLF.PR.B	Deemed-Retractible	-1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.66 Bid-YTW : 6.85 %
MFC.PR.N	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.91 Bid-YTW : 6.52 %
BAM.PF.B	FixedReset	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.69 %
SLF.PR.A	Deemed-Retractible	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.61 Bid-YTW : 6.83 %
GWO.PR.N	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.04 Bid-YTW : 9.44 %
FTS.PR.M	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 4.35 %
MFC.PR.C	Deemed-Retractible	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 7.38 %
SLF.PR.H	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.39 Bid-YTW : 7.84 %
BNS.PR.R	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.31 Bid-YTW : 3.82 %
GWO.PR.H	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.92 Bid-YTW : 6.74 %
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 : 20.11 Bid-YTW : 6.46 %
PWF.PR.S	Perpetual-Discount	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 5.64 %
RY.PR.H	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 4.25 %
RY.PR.N	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 22.37 Evaluated at bid price : 22.66 Bid-YTW : 5.39 %
BMO.PR.T	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.28 %
FTS.PR.K	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.08 %
BNS.PR.O	Deemed-Retractible	1.06 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-11-21 Maturity Price : 25.50 Evaluated at bid price : 25.77 Bid-YTW : -8.79 %
MFC.PR.I	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 5.86 %
BAM.PR.Z	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 4.66 %
VNR.PR.A	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 21.17 Evaluated at bid price : 21.17 Bid-YTW : 4.41 %
BMO.PR.W	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.33 %
CM.PR.O	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 19.47 Evaluated at bid price : 19.47 Bid-YTW : 4.26 %
TRP.PR.F	FloatingReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 3.99 %
SLF.PR.I	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.66 Bid-YTW : 6.23 %
GWO.PR.S	Deemed-Retractible	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 6.02 %
FTS.PR.F	Perpetual-Discount	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 21.84 Evaluated at bid price : 22.08 Bid-YTW : 5.63 %
MFC.PR.K	FixedReset	1.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.07 Bid-YTW : 6.91 %
RY.PR.O	Perpetual-Discount	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 22.18 Evaluated at bid price : 22.53 Bid-YTW : 5.42 %
RY.PR.M	FixedReset	1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 20.23 Evaluated at bid price : 20.23 Bid-YTW : 4.31 %
BAM.PR.K	Floater	2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 10.94 Evaluated at bid price : 10.94 Bid-YTW : 4.35 %
TRP.PR.A	FixedReset	2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 4.68 %
MFC.PR.H	FixedReset	2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.43 Bid-YTW : 5.00 %
RY.PR.J	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 20.93 Evaluated at bid price : 20.93 Bid-YTW : 4.27 %
TD.PR.Y	FixedReset	3.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.54 Bid-YTW : 3.36 %
TRP.PR.G	FixedReset	3.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 21.40 Evaluated at bid price : 21.68 Bid-YTW : 4.41 %
TD.PF.D	FixedReset	3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 4.29 %
MFC.PR.L	FixedReset	4.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 7.09 %
IFC.PR.A	FixedReset	7.05 %	Sort of a little bit real. The issue traded 12,581 shares today in a range of 15.60-34 before closing at 16.40-60, 14×5. The VWAP was 15.77. There were nine small trades timestamped from 3:53 to 3:58, inclusive, all executed between 15.69 and 15.74; then a trade at 16.02 for 100 shares timestamped 3:58, then 600 at 16.30 stamped 3:59. I also see 130 shares trading over 16.00 just before 3pm. So basically, this performance was running on fumes, probably from what the market-maker was smoking instead of maintaining an orderly market. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 8.60 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.Q	FixedReset	62,228	TD sold blocks of 10,000 and 14,400 to Scotia, both at 21.50; TD crossed 12,500 at 21.49. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 4.24 %
CU.PR.I	FixedReset	50,407	Nesbitt crossed 40,000 at 25.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.38 %
NA.PR.S	FixedReset	49,447	TD crossed 11,500 at 20.03; Nesbitt crossed 15,500 at 19.86. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 4.27 %
RY.PR.L	FixedReset	48,835	Desjardins crossed 39,700 at 25.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 3.89 %
CM.PR.P	FixedReset	41,280	TD crossed 17,100 at 18.99. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.26 %
BAM.PF.H	FixedReset	36,561	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.65 %
There were 44 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.N	FixedReset	Quote: 19.91 – 20.67 Spot Rate : 0.7600 Average : 0.4888 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.91 Bid-YTW : 6.52 %
SLF.PR.H	FixedReset	Quote: 17.39 – 18.24 Spot Rate : 0.8500 Average : 0.6227 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.39 Bid-YTW : 7.84 %
BAM.PF.D	Perpetual-Discount	Quote: 20.77 – 21.47 Spot Rate : 0.7000 Average : 0.4786 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 5.97 %
BAM.PR.X	FixedReset	Quote: 15.27 – 15.75 Spot Rate : 0.4800 Average : 0.2807 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 15.27 Evaluated at bid price : 15.27 Bid-YTW : 4.64 %
FTS.PR.G	FixedReset	Quote: 18.35 – 18.92 Spot Rate : 0.5700 Average : 0.3890 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-22 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.29 %
BNS.PR.C	FloatingReset	Quote: 22.37 – 22.99 Spot Rate : 0.6200 Average : 0.4390 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.37 Bid-YTW : 4.09 %

Top news of the day was the BoC Rate Announcement:

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

Inflation has evolved in line with the outlook in the Bank’s July Monetary Policy Report (MPR). Total CPI inflation remains near the bottom of the Bank’s target range, owing to declines in consumer energy prices. Core inflation is close to 2 per cent as the transitory effects of the past depreciation of the Canadian dollar are roughly offsetting disinflationary pressures from economic slack, which has increased this year. The Bank judges that the underlying trend in inflation continues to be about 1.5 to 1.7 per cent.
…
The Bank projects real GDP will grow by just over 1 per cent in 2015 before firming to about 2 per cent in 2016 and 2 1/2 per cent in 2017. The complex economic adjustments to the decline in Canada’s terms of trade will continue to play out over the projection horizon. The weaker profile for business investment suggests that, in the near term, growth in potential output is more likely to be in the lower part of the Bank’s range of estimates. Given this judgment about potential output, the Canadian economy can be expected to return to full capacity, and inflation sustainably to target, around mid-2017.

So now it’s a return to full capacity ‘around mid-2017’. In the July announcement it was ‘the first half of 2017.’ We are approaching normalcy asymptotically.

I mentioned the ‘welfare wall’ on October 14; this is the ridiculously high effective marginal tax rate on low income earners due to clawback of benefits when they’re imprudent enough to get a slightly better job or work slightly more hours. This came to mind when I read about a pending wave of closures of slum housing:

There are currently about 1.34 million units of affordable housing created by a HUD program known as Section 8 project-based rental assistance, according to a blog post published on Wednesday by Poethig and her Urban Institute colleague Reed Jordan. More than 30 percent of those units are kept affordable by contracts that are set to expire by the end of 2017.
…
Under Housing and Urban Development’s system, tenants who meet income requirements pay 30 percent of their income in rent, and HUD pays the landlord a subsidy on top of that rent. The average subsidy was $665 a month (PDF) in 2011, according to the National Low Income Housing Coalition. New York, where 33 percent of units are set to expire by 2017, has more than 123,000 units in the program; Dallas, where 47 percent of units are at risk, has about 8,800.
…
The system for preserving affordable units varies from place to place. State law gives cities in Massachusetts the right of first refusal when property owners want to let a HUD contract expire, and a number of nonprofit groups and a state-affiliated agency are devoted to preserving it. In 2013, a nonprofit called Preservation of Affordable Housing paid $234 million for about 850 apartments in Boston, Cape Cod, and elsewhere in the state to prevent the units form being converted to market rate. Washington, Chicago, and other cities require landlords to notify tenants in advance of conversions and, in some cases, give them the opportunity to buy the apartment.

So basically, given that ‘tenants … pay 30% of their income in rent’ means that the housing benefit alone is worth a 30% marginal tax rate! Overtime? A new job at $1/hour more? Are you crazy?

It’s a little difficult to put numbers on the Boston project! According to a story in the Boston Globe, basically all of the 234-million is government money, either directly or through shifting the subsidy to tax credits:

Low-income residents joined government officials and investors Thursday to celebrate the renovation of six apartment buildings, a project that totaled nearly $234 million and is being touted as the state’s largest affordable housing improvement effort.
…
They were all renovated with the help of a $168 million loan from MassHousing, the state’s affordable housing bank, almost $66 million in private investments that came from $8.9 million in tax credits provided by the Massachusetts Department of Housing and Community Development tax credits

I think the touted Preservation of Affordable Housing is just another government boondoggle, but it’s hard to say. They don’t publish their financials and their news page doesn’t provide any hints of their financing. Their news release regarding the Boston project shows the usual grab-bag of government hand-outs:

The financing package includes:
 MassHousing: $35.8 million construction and permanent loan and a $9.3 million bridge loan
 Mass Housing Investment Corp: $12.3 million federal low-income housing tax credit investment
 Two loans from the City of Cambridge /Cambridge Affordable Housing Trust: $1,852,286 and $2.4 million for a total City/Trust contribution of $4,252,286
 CEDAC: bridge loan of $3,700,000

I have sent them the following eMail:

Sirs,

I am curious regarding the incentive your beneficiaries have to improve their financial situation.

Has your organization done – or are you aware of – any research into the Effective Marginal Tax Rate (EMTR) faced by occupants of your subsidized units? By EMTR, I mean the impact of both direct taxation and reduction of benefits on additional income that could be earned by these clients.

Sincerely,

In an announcement sure to cause a fit of giggles, DBRS Confirms Advantaged Preferred Share Trust Units Stability Rating of STA-2 (middle). Stop snickering, Stability Ratings are supposed to reflect “the fund’s ability to generate sufficient cash to pay out a stable level of distributions on a per-unit basis over the longer term.” Good for snickers in the DBRS rating confirmation is the phrase:

The credit quality of the Portfolio remains strong: approximately 78% of the portfolio shares are rated at Pfd-3 (high) or higher.

Rather an unusual cut-off, wouldn’t you say? But … “Pfd-3(high)” allows them to include Enbridge. But heads will nod in agreement with:

As of Oct 14, 2015 the Trust has seen a 24% decline in Portfolio value compared to June 30, 2015 values. Such a decline is mainly explained by the negative investor sentiment regarding the overall preferred share market that translates into vast selling of preferred shares causing the supply exceeding the demand. The fund rating methodology does not directly address the potential price volatility of the Portfolio.

Until, of course, those wisely nodding heads realize that it doesn’t actually say anything. Some might wonder if this comment is the whole point of the confirmation, desperately asked for by the fund sponsors! “Please, give us something we can say to all our angry clients!”

Canadian preferred share investors have a new ride!

It was another incredibly strong day for the Canadian preferred share market, with PerpetualDiscounts up 53bp, FixedResets winning an amazing 306bp and DeemedRetractibles gaining a mere 48bp. No less than fourteen issues, all FixedResets, gained over 5% on the day (bid/bid); this is a rather fun statistic, too bad I don’t get to use it more often! Volume was very extremely high.

Still, let’s keep things in perspective and remember that the TXPL (price index) is still only back to where it was in mid-August. 15Q3 was a really, really, lousy quarter. On a total return basis, performance for TXPL is below zero with a start-date of August 19. So while I’m pleased to see these impressive gains, we’ll need another few weeks of them before we can call it a good year!

PerpetualDiscounts now yield 5.76%, equivalent to 7.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.3%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a sharp reduction from the ludicrous 340bp reported October 14.

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

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

Here’s TRP:

Implied Volatility remained constant today, above what I consider reasonable.

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.71 to be $0.60 rich, while TRP.PR.A, resetting 2019-12-31 at +192, is $0.58 cheap at its bid price of 15.15.

Implied Volatility declined slightly for the MFC series today.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 14.90 to be 0.71 rich, while MFC.PR.L resetting at +216bp on 2019-6-19, is bid at 18.18 to be 0.70 cheap.

The fit on the BAM issues continues to be poor. Implied Volatility increased a little today, but this is a figure that’s very highly dependent on the performance of the high-spread issue BAM.PF.H.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.60 to be $0.90 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 21.63 and appears to be $0.69 rich.

Implied Volatility declined again today but remains high.

FTS.PR.K, with a spread of +205bp, and bid at 18.90, looks $0.63 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.27 and is $0.47 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.87%, with one outlier above 0.00%. The distribution is bimodal, with bank NVCC non-compliant pairs averaging -1.07% and other issues averaging -0.31%. There are two junk outliers above 0.00% and two below -2.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	2.3096 %	1,717.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	2.3096 %	3,003.5
Floater	4.32 %	4.38 %	62,145	16.66	3	2.3096 %	1,826.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.0162 %	2,757.8
SplitShare	4.35 %	5.17 %	78,063	2.97	5	0.0162 %	3,232.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0162 %	2,521.7
Perpetual-Premium	5.88 %	5.83 %	68,250	14.02	5	0.3135 %	2,476.4
Perpetual-Discount	5.67 %	5.76 %	80,237	14.25	33	0.5261 %	2,512.2
FixedReset	4.94 %	4.46 %	205,668	15.90	76	3.0619 %	2,062.6
Deemed-Retractible	5.22 %	5.17 %	105,739	5.44	33	0.4826 %	2,554.1
FloatingReset	2.51 %	4.02 %	68,838	5.82	9	1.7865 %	2,149.9

Performance Highlights
Issue	Index	Change	Notes
W.PR.J	Perpetual-Discount	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 22.78 Evaluated at bid price : 23.06 Bid-YTW : 6.11 %
FTS.PR.F	Perpetual-Discount	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 5.72 %
MFC.PR.F	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.90 Bid-YTW : 8.97 %
TD.PF.F	Perpetual-Discount	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 22.39 Evaluated at bid price : 22.69 Bid-YTW : 5.41 %
RY.PR.P	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 23.85 Evaluated at bid price : 24.19 Bid-YTW : 5.46 %
FTS.PR.H	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 4.10 %
GWO.PR.H	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 6.59 %
PWF.PR.S	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 5.57 %
RY.PR.N	Perpetual-Discount	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 22.66 Evaluated at bid price : 23.00 Bid-YTW : 5.48 %
W.PR.H	Perpetual-Discount	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 22.80 Evaluated at bid price : 23.08 Bid-YTW : 5.99 %
GWO.PR.L	Deemed-Retractible	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.88 %
BNS.PR.B	FloatingReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.22 Bid-YTW : 4.02 %
MFC.PR.B	Deemed-Retractible	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.37 Bid-YTW : 6.89 %
BNS.PR.Q	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.42 Bid-YTW : 3.48 %
SLF.PR.E	Deemed-Retractible	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.76 Bid-YTW : 7.10 %
PWF.PR.E	Perpetual-Discount	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 23.68 Evaluated at bid price : 23.95 Bid-YTW : 5.76 %
GWO.PR.Q	Deemed-Retractible	1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 6.39 %
RY.PR.L	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 4.04 %
CU.PR.H	Perpetual-Discount	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 22.79 Evaluated at bid price : 23.16 Bid-YTW : 5.77 %
BNS.PR.P	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 3.58 %
TD.PR.T	FloatingReset	1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 3.89 %
RY.PR.W	Perpetual-Discount	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 22.46 Evaluated at bid price : 22.72 Bid-YTW : 5.47 %
MFC.PR.C	Deemed-Retractible	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 7.20 %
BMO.PR.M	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.57 Bid-YTW : 3.31 %
IFC.PR.C	FixedReset	1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.81 Bid-YTW : 6.66 %
SLF.PR.A	Deemed-Retractible	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.91 Bid-YTW : 6.63 %
HSE.PR.G	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 22.71 Evaluated at bid price : 23.80 Bid-YTW : 4.61 %
SLF.PR.B	Deemed-Retractible	1.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 6.63 %
BNS.PR.A	FloatingReset	1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.05 Bid-YTW : 3.74 %
BAM.PF.D	Perpetual-Discount	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 20.97 Evaluated at bid price : 20.97 Bid-YTW : 5.91 %
TRP.PR.B	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 12.43 Evaluated at bid price : 12.43 Bid-YTW : 4.30 %
HSE.PR.A	FixedReset	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 14.09 Evaluated at bid price : 14.09 Bid-YTW : 4.69 %
CM.PR.Q	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.22 %
BMO.PR.S	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 4.31 %
TD.PR.Z	FloatingReset	2.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.17 %
BMO.PR.Z	Perpetual-Discount	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 23.25 Evaluated at bid price : 23.55 Bid-YTW : 5.41 %
MFC.PR.K	FixedReset	2.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.74 Bid-YTW : 7.14 %
BAM.PR.Z	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.72 %
VNR.PR.A	FixedReset	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 4.46 %
TRP.PR.D	FixedReset	2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 18.46 Evaluated at bid price : 18.46 Bid-YTW : 4.57 %
TRP.PR.G	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 20.97 Evaluated at bid price : 20.97 Bid-YTW : 4.59 %
BAM.PR.B	Floater	2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 4.25 %
BMO.PR.R	FloatingReset	2.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 3.76 %
TD.PR.S	FixedReset	2.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 3.21 %
HSE.PR.E	FixedReset	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 22.63 Evaluated at bid price : 23.61 Bid-YTW : 4.67 %
BNS.PR.D	FloatingReset	2.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.90 Bid-YTW : 6.05 %
SLF.PR.I	FixedReset	2.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.34 Bid-YTW : 6.44 %
PWF.PR.T	FixedReset	2.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.52 Evaluated at bid price : 21.90 Bid-YTW : 3.82 %
RY.PR.M	FixedReset	2.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 4.42 %
CM.PR.O	FixedReset	2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.32 %
TD.PF.A	FixedReset	2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.27 %
BMO.PR.W	FixedReset	3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.39 %
BNS.PR.Y	FixedReset	3.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.01 Bid-YTW : 5.64 %
NA.PR.Q	FixedReset	3.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 3.59 %
FTS.PR.M	FixedReset	3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.29 %
PWF.PR.P	FixedReset	3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.08 %
RY.PR.I	FixedReset	3.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 3.76 %
RY.PR.J	FixedReset	3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 4.40 %
TD.PF.B	FixedReset	3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 4.26 %
BAM.PR.C	Floater	3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 10.88 Evaluated at bid price : 10.88 Bid-YTW : 4.38 %
MFC.PR.H	FixedReset	3.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.89 Bid-YTW : 5.31 %
NA.PR.W	FixedReset	3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.30 %
TRP.PR.F	FloatingReset	3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 14.24 Evaluated at bid price : 14.24 Bid-YTW : 4.05 %
RY.PR.Z	FixedReset	3.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.34 Evaluated at bid price : 19.34 Bid-YTW : 4.23 %
BAM.PR.R	FixedReset	3.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 4.87 %
BMO.PR.T	FixedReset	3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.33 %
BAM.PF.E	FixedReset	3.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 4.70 %
RY.PR.H	FixedReset	3.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.14 Evaluated at bid price : 19.14 Bid-YTW : 4.32 %
CM.PR.P	FixedReset	4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 4.27 %
BMO.PR.Y	FixedReset	4.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.54 Evaluated at bid price : 21.86 Bid-YTW : 4.22 %
MFC.PR.G	FixedReset	4.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.26 Bid-YTW : 5.41 %
BAM.PF.G	FixedReset	4.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.34 Evaluated at bid price : 21.63 Bid-YTW : 4.50 %
BNS.PR.Z	FixedReset	4.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.15 Bid-YTW : 6.06 %
BMO.PR.Q	FixedReset	4.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.41 %
TD.PF.C	FixedReset	4.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.28 %
IAG.PR.G	FixedReset	4.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 5.66 %
MFC.PR.J	FixedReset	4.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.84 Bid-YTW : 6.05 %
TD.PF.E	FixedReset	5.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 4.28 %
BAM.PF.B	FixedReset	5.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.62 %
TRP.PR.C	FixedReset	5.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 13.26 Evaluated at bid price : 13.26 Bid-YTW : 4.50 %
MFC.PR.M	FixedReset	5.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.32 Bid-YTW : 6.32 %
BAM.PF.F	FixedReset	5.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.53 %
BIP.PR.A	FixedReset	5.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.54 Evaluated at bid price : 21.85 Bid-YTW : 5.09 %
BAM.PF.A	FixedReset	5.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 4.54 %
BAM.PR.X	FixedReset	6.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 15.28 Evaluated at bid price : 15.28 Bid-YTW : 4.64 %
FTS.PR.G	FixedReset	6.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 18.27 Evaluated at bid price : 18.27 Bid-YTW : 4.30 %
NA.PR.S	FixedReset	6.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.28 %
BAM.PR.T	FixedReset	7.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.47 %
MFC.PR.N	FixedReset	7.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 6.32 %
CU.PR.C	FixedReset	7.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 3.88 %
FTS.PR.K	FixedReset	7.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.13 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.D	FixedReset	236,463	Desjardins crossed blocks of 97,000 and 104,300, both at 18.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 18.46 Evaluated at bid price : 18.46 Bid-YTW : 4.57 %
MFC.PR.J	FixedReset	88,995	Scotia crossed 28500 at 19.90 and 40,000 at 20.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.84 Bid-YTW : 6.05 %
MFC.PR.M	FixedReset	81,090	Scotia crossed 10,100 at 19.52 and 32,900 at 21.00. That’s one helluva difference in block prices! YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.32 Bid-YTW : 6.32 %
MFC.PR.N	FixedReset	66,655	Scotia crossed 12,400 at 19.15. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 6.32 %
TD.PF.E	FixedReset	65,700	Scotia sold 13,800 to TD at 21.20 and bought 10,000 from RBC at 21.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 4.28 %
PWF.PR.P	FixedReset	54,021	Nesbitt crossed 30,000 at 15.27. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.08 %
There were 72 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.G	FixedReset	Quote: 20.97 – 22.39 Spot Rate : 1.4200 Average : 0.7902 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 20.97 Evaluated at bid price : 20.97 Bid-YTW : 4.59 %
MFC.PR.L	FixedReset	Quote: 18.18 – 19.45 Spot Rate : 1.2700 Average : 0.8489 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.18 Bid-YTW : 7.65 %
CM.PR.O	FixedReset	Quote: 19.20 – 20.27 Spot Rate : 1.0700 Average : 0.6604 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.32 %
MFC.PR.H	FixedReset	Quote: 22.89 – 23.99 Spot Rate : 1.1000 Average : 0.6960 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.89 Bid-YTW : 5.31 %
CM.PR.P	FixedReset	Quote: 18.99 – 20.00 Spot Rate : 1.0100 Average : 0.6529 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-21 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 4.27 %
MFC.PR.I	FixedReset	Quote: 21.35 – 22.10 Spot Rate : 0.7500 Average : 0.4121 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.01 %

Nothing happened today, other than Canadian preferred share investors checking out the current value of their portfolios:

It was another superb day for the Canadian preferred share market (boy, when things snap back, they snap back in a hurry, don’t they?) with PerpetualDiscounts up 57bp, FixedResets winning a whopping 239bp and DeemedRetractibles gaining 38bp. It will be most interesting to see in the coming weeks whether these gains continue or vanish like fairy gold! The Performance Highlights table is, of course, enormous, with no less than eight issues (all FixedResets) up more than the 5% that usually indicates a ridiculous situation with bad quotes. Volume was, again, extremely high.

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

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

Here’s TRP:

Implied Volatility eased off again today but remains above what I consider reasonable.

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.56 to be $0.85 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.73 cheap at its bid price of 12.60.

The MFC series has now renormalized and the fit has returned to its usual excellence.

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 14.75 to be 0.27 rich, while MFC.PR.J resetting at +261bp on 2018-3-19, is bid at 19.85 to be 0.31 cheap.

The fit on the BAM issues continues to be poor.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.00 to be $0.90 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.75 and appears to be $0.81 rich.

Implied Volatility declined again today but remains high.

FTS.PR.M, with a spread of +248bp, and bid at 19.90, looks $0.31 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.16 and is $0.67 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.87%, with no outliers (although I had to change the scale again!). The distribution is slightly bimodal, with bank NVCC non-compliant pairs averaging -1.08% and other issues averaging -0.56%. There is one junk outlier above 0.00% and one below -2.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	2.5608 %	1,679.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	2.5608 %	2,935.7
Floater	4.42 %	4.49 %	63,191	16.45	3	2.5608 %	1,784.9
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2185 %	2,757.3
SplitShare	4.35 %	5.37 %	77,837	2.97	5	-0.2185 %	3,231.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2185 %	2,521.3
Perpetual-Premium	5.90 %	5.86 %	68,582	14.01	5	0.4197 %	2,468.7
Perpetual-Discount	5.70 %	5.79 %	80,134	14.21	33	0.5740 %	2,499.0
FixedReset	5.10 %	4.59 %	202,460	15.59	76	2.3903 %	2,001.3
Deemed-Retractible	5.24 %	5.18 %	104,713	5.45	33	0.3775 %	2,541.8
FloatingReset	2.55 %	4.21 %	69,231	5.82	9	1.8364 %	2,112.2

Performance Highlights
Issue	Index	Change	Notes
W.PR.H	Perpetual-Discount	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 22.55 Evaluated at bid price : 22.81 Bid-YTW : 6.07 %
PWF.PR.S	Perpetual-Discount	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.64 %
GWO.PR.S	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 6.19 %
TRP.PR.A	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 4.82 %
GWO.PR.G	Deemed-Retractible	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 6.47 %
BNS.PR.Z	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 6.87 %
IFC.PR.A	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.26 Bid-YTW : 9.60 %
GWO.PR.I	Deemed-Retractible	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.82 Bid-YTW : 7.06 %
RY.PR.O	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 22.25 Evaluated at bid price : 22.62 Bid-YTW : 5.52 %
IGM.PR.B	Perpetual-Premium	1.17 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.88 %
SLF.PR.E	Deemed-Retractible	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 7.28 %
RY.PR.L	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.28 %
RY.PR.M	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.54 %
SLF.PR.A	Deemed-Retractible	1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 6.86 %
POW.PR.A	Perpetual-Discount	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 24.05 Evaluated at bid price : 24.30 Bid-YTW : 5.79 %
BMO.PR.M	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 3.58 %
BIP.PR.A	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.39 %
FTS.PR.F	Perpetual-Discount	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.73 Evaluated at bid price : 21.98 Bid-YTW : 5.65 %
TD.PF.E	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.52 %
SLF.PR.D	Deemed-Retractible	1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 7.28 %
GWO.PR.P	Deemed-Retractible	1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 6.20 %
CM.PR.O	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.67 Evaluated at bid price : 18.67 Bid-YTW : 4.45 %
BAM.PR.K	Floater	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 10.61 Evaluated at bid price : 10.61 Bid-YTW : 4.49 %
BAM.PF.F	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 4.78 %
BMO.PR.Z	Perpetual-Discount	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 22.65 Evaluated at bid price : 23.00 Bid-YTW : 5.54 %
CU.PR.E	Perpetual-Discount	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.31 Evaluated at bid price : 21.59 Bid-YTW : 5.75 %
FTS.PR.H	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 4.15 %
MFC.PR.F	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.75 Bid-YTW : 9.10 %
MFC.PR.B	Deemed-Retractible	1.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.11 Bid-YTW : 7.06 %
BMO.PR.Y	FixedReset	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.42 %
CM.PR.P	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.44 %
BNS.PR.P	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.97 Bid-YTW : 3.82 %
BMO.PR.T	FixedReset	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 4.50 %
TRP.PR.D	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.68 %
FTS.PR.M	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.44 %
CU.PR.G	Perpetual-Discount	1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.67 %
TD.PF.D	FixedReset	2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.48 %
BAM.PF.A	FixedReset	2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.80 %
RY.PR.H	FixedReset	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 4.49 %
BNS.PR.D	FloatingReset	2.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 6.51 %
CU.PR.F	Perpetual-Discount	2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 5.66 %
MFC.PR.I	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.19 Bid-YTW : 6.11 %
BNS.PR.Y	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.40 Bid-YTW : 6.18 %
NA.PR.S	FixedReset	2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.58 %
BAM.PR.X	FixedReset	2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 14.37 Evaluated at bid price : 14.37 Bid-YTW : 4.94 %
TD.PR.T	FloatingReset	2.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.94 Bid-YTW : 4.13 %
FTS.PR.K	FixedReset	2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 17.54 Evaluated at bid price : 17.54 Bid-YTW : 4.46 %
TD.PR.Y	FixedReset	2.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 3.94 %
FTS.PR.J	Perpetual-Discount	2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.61 %
CM.PR.Q	FixedReset	2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.04 Evaluated at bid price : 21.04 Bid-YTW : 4.31 %
TD.PF.A	FixedReset	2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.40 %
NA.PR.W	FixedReset	2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.45 %
MFC.PR.J	FixedReset	2.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 6.70 %
MFC.PR.G	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.38 Bid-YTW : 5.95 %
BNS.PR.B	FloatingReset	2.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 4.23 %
SLF.PR.J	FloatingReset	2.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 9.08 %
BAM.PR.C	Floater	2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 10.51 Evaluated at bid price : 10.51 Bid-YTW : 4.53 %
TD.PR.S	FixedReset	2.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.87 Bid-YTW : 3.67 %
VNR.PR.A	FixedReset	2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.42 Evaluated at bid price : 20.42 Bid-YTW : 4.57 %
BAM.PF.G	FixedReset	2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.72 %
FTS.PR.G	FixedReset	2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 17.16 Evaluated at bid price : 17.16 Bid-YTW : 4.59 %
BNS.PR.C	FloatingReset	2.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 3.91 %
IAG.PR.G	FixedReset	2.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.77 Bid-YTW : 6.30 %
BMO.PR.W	FixedReset	2.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 4.52 %
HSE.PR.G	FixedReset	2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 22.51 Evaluated at bid price : 23.40 Bid-YTW : 4.70 %
BNS.PR.R	FixedReset	2.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 3.71 %
TRP.PR.F	FloatingReset	3.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 4.19 %
BAM.PR.Z	FixedReset	3.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.83 %
BMO.PR.Q	FixedReset	3.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 6.23 %
RY.PR.Z	FixedReset	3.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.39 %
HSE.PR.C	FixedReset	3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.82 Evaluated at bid price : 22.20 Bid-YTW : 4.62 %
TRP.PR.G	FixedReset	3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 4.70 %
TRP.PR.E	FixedReset	3.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 4.61 %
BMO.PR.S	FixedReset	3.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.40 %
TD.PF.B	FixedReset	3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.40 %
BAM.PR.B	Floater	3.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 10.92 Evaluated at bid price : 10.92 Bid-YTW : 4.36 %
RY.PR.J	FixedReset	3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 4.55 %
BAM.PR.T	FixedReset	3.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 4.80 %
BAM.PF.B	FixedReset	4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 4.87 %
BAM.PF.E	FixedReset	4.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.89 %
BNS.PR.Q	FixedReset	4.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.12 Bid-YTW : 3.70 %
CU.PR.C	FixedReset	4.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.16 %
MFC.PR.N	FixedReset	4.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.26 %
BAM.PR.R	FixedReset	4.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.06 %
IFC.PR.C	FixedReset	5.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.87 %
SLF.PR.H	FixedReset	5.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.74 Bid-YTW : 7.57 %
MFC.PR.K	FixedReset	5.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.30 Bid-YTW : 7.46 %
TRP.PR.C	FixedReset	5.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 4.73 %
SLF.PR.G	FixedReset	5.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 8.24 %
MFC.PR.M	FixedReset	5.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 7.01 %
MFC.PR.L	FixedReset	5.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.04 Bid-YTW : 7.75 %
TRP.PR.B	FixedReset	6.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 12.20 Evaluated at bid price : 12.20 Bid-YTW : 4.38 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.A	FixedReset	83,070	Scotia crossed 14,200 at 15.05 and bought blocks of 23,500 and 24,200 from RBC at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 4.82 %
PWF.PR.P	FixedReset	80,000	Scotia crossed blocks of 33,900 and 39,500, both at 14.94. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 4.21 %
GWO.PR.S	Deemed-Retractible	65,532	TD crossed 16,900 at 23.75. RBC sold blocks of 23,200 and 11,500 to anonymous, both at 23.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 6.19 %
TD.PF.C	FixedReset	61,850	RBC crossed 12,800 at 18.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.49 %
NA.PR.S	FixedReset	60,119	RBC crossed 10,000 at 18.30, then bought 29,600 from GMP at 18.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.58 %
CM.PR.O	FixedReset	58,988	RBC crossed 10,000 at 18.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.67 Evaluated at bid price : 18.67 Bid-YTW : 4.45 %
There were 62 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.J	FixedReset	Quote: 19.85 – 20.44 Spot Rate : 0.5900 Average : 0.3395 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 6.70 %
W.PR.H	Perpetual-Discount	Quote: 22.81 – 23.51 Spot Rate : 0.7000 Average : 0.5091 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 22.55 Evaluated at bid price : 22.81 Bid-YTW : 6.07 %
FTS.PR.F	Perpetual-Discount	Quote: 21.98 – 22.50 Spot Rate : 0.5200 Average : 0.3400 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.73 Evaluated at bid price : 21.98 Bid-YTW : 5.65 %
BIP.PR.A	FixedReset	Quote: 20.70 – 21.15 Spot Rate : 0.4500 Average : 0.3003 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.39 %
GWO.PR.L	Deemed-Retractible	Quote: 24.45 – 24.90 Spot Rate : 0.4500 Average : 0.3194 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 6.05 %
TD.PF.E	FixedReset	Quote: 20.55 – 21.20 Spot Rate : 0.6500 Average : 0.5248 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.52 %

I have often railed against the useless of regulatory make-work schemes; clearly, one of the most ridiculous is the anti-money-laundering set of regulations. I’ve quoted John Allison’s observation before, but now I’ll quote it again:

And then there was the Patriot Act, which was supposed to catch terrorists. I’ve talked to many people in government and they all do this dancing act, but the fact is there has never been a single terrorist caught and convicted because of the Patriot Act. The Act cost the banking industry more than $5 billion annually, and I would argue that no one is going to be caught. If you are dumb enough to get caught under the Patriot Act, you are going to get caught anyway. The only significant conviction of the Patriot Act was Eliot Spitzer, the governor of New York, who was convicted of soliciting prostitutes under a law designed to catch terrorists.

Since he wrote that, the authorities also seem to have caught John Hastert, who needed lots of cash because he was being blackmailed as discussed on May 28, 2015; knowing that victims of blackmail can be caught and exposed more easily and righteously should certainly cause us all to sleep better at night. But the direct human effects – beyond the financial cost for this make-work – has now been written about in a Globe story about Canadian “politically exposed persons”:

Those regulations propose a vast reach: For 20 years after the politically exposed persons (PEPs) leave office, the financial institutions will need to keep their eyes on them, their family and associates. The financial institutions’ first job is to identify the PEPs; then to assess their risk; and then, if the institutions determine the PEPs are a high risk – there is little public explanation on how the banks are expected to do this – they will need to monitor the PEPs’ account activity. The institutions will need to report suspicious activity (anything they suspect is connected to terrorism or money laundering) to a federal intelligence agency known as Fintrac, which investigates and can turn over files to the Mounties or the Canada Revenue Agency.
…
Ontario sisters Catherine and Emilie Taman both said in interviews they received mysterious phone calls from their separate banks, asking intrusive questions. (Emilie Taman is running for the New Democratic Party in an Ottawa riding in the federal election.) Catherine’s banker eventually explained why: Her mother was a foreign PEP. The Taman sisters’ mother is Ms. Arbour, who apart from being a retired Supreme Court judge is also a former international war-crimes prosecutor and a former United Nations human rights commissioner. Catherine said when she refused to answer the questions (on her mother’s advice), her account was frozen, which she discovered when she tried to use her bank card in a restaurant. A letter she provided to The Globe showed her bank asking questions such as, “From whom/where are you getting money?” “How did you accumulate your wealth/net worth?”

How the banks knew the Taman sisters were Ms. Arbour’s daughters was a mystery to all three women, but experts contacted by The Globe say a small group of private companies provide lists of foreign PEPs and their families, and banks run new customers through those computerized lists, for a fee. There are similar lists for domestic PEPs.

In a commentary published in Thursday’s Globe, Ms. Arbour calls the program a “useless bureaucratic nightmare,” and says that her children should be left alone by their bankers.

The highlight of the story is a quote from one of the piggies at the trough:

“I think corruption is growing by leaps and bounds,” Garry Clement, a former national director of the RCMP’s proceeds of crime program, said in an interview. “It’s far greater than people are willing to accept.”

I have a message for Garry Clement: I don’t give a rat’s ass what you think and neither does anybody else with half a brain. Let’s see some proof. Let’s see some proof, first that corruption is growing by leaps and bounds and second that it needs to be addressed (I don’t care about corruption in Libya, the Libyans aren’t paying me anything to look after them) and third that these regulations are the best way to fight it. Proof that can stand up in court and has been used to convict real bad guys, not pathetic victims like Spitzer and Hastert.

I mentioned the folly of UK central planners with respect to buy-to-let housing on October 1. The scheme has now attracted the ire of Institute of Chartered Accountants in England & Wales:

Britain’s leading professional accounting body, the Institute of Chartered Accountants in England & Wales, has attacked the Chancellor’s controversial new tax on buy-to-let tax as “unfair and unreasonable”.

It condemns the legislation as “unthought-through” and predicts it will cause “extreme confusion”, as well as forcing some landlords out of business, distorting the market – and even making life harder for first-time buyers.

The new tax, which was not consulted upon and which The Telegraph is campaigning against, is included within the Finance Bill currently progressing through Parliament.

It will be phased in between 2017 and 2020, and effectively removes the ability of private landlords to offset the cost of their mortgage interest before arriving at a taxable profit.
…
While the proposed tax has found popularity among tenants, the ICAEW says it could exacerbate the property crisis and make it more difficult for first-time buyers.

“The interest relief restriction will favour cash buyers who want to buy to let and may increase the competition even more at the lower end of the property market, thereby increasing prices and hindering first-time buyers.”

According to the Economist, Canadian housing is grossly overvalued, tied for most in the world (with Hong Kong) with respect to rents (89% rich) and highly ranked with respect to income (34% rich). Paul Matsiras of Moody’s claims:

“The risks are less around the rapid house price appreciation per se than the fact that, relative to incomes, homes in Toronto and Vancouver are increasingly becoming unaffordable either to own or to rent,” Moody’s economist Paul Matsiras said in his report.

“Canadian household debt has risen faster than disposable income since 2011, greatly increasing the debt burden for consumers and the risks of a pullback in spending as interest rates rise.”

He warned of difficulties as the key measure of household debt to disposable income rises, now standing at almost 165 per cent.

But fear not! In future photographs of G-7 meetings, Canada will display the best hair:

The country’s three major broadcasters — CTV, CBC and Global News — have projected a Liberal majority win. The Liberals won or were leading in 183 of the 338 House of Commons seats, with the Conservatives ahead in 98 and the New Democratic Party with 30, as of 10:36 p.m. Monday in Ottawa, according to preliminary results from Elections Canada. A party needs 170 seats for a majority.
…
The Canadian dollar fell after the networks called a Liberal victory, down 0.1 percent at 10 p.m. in Toronto to C$1.3040 per U.S. dollar, dropping for a third day. The currency has depreciated 10.9 percent against the U.S. dollar this year.

I’m very glad to see the end of the Bill C-51 boys, but I wish their replacements were led by somebody with a better claim to fame than being born. But we’ll see. Maybe we can stop obsessing about how other people dress, anyway.

Yee-haw!

Canadian preferred share investors were riding the bull today in the best day I can remember off the top of my head, with PerpetualDiscounts up 76bp, FixedResets winning an incredible 304bp and DeemedRetractibles gaining 35bp. The Performance Highlights table is much as you’d expect, with no less than a dozen issues – all FixedResets – gaining more than the 5% figure that usually indicates an absurdity of some kind. 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:

Implied Volatility declined today but remains above what I consider reasonable.

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.96 to be $0.77 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.90 cheap at its bid price of 11.95.

There was some normalization from Friday‘s absurd results, but MFC.PR.F is still noticeably off the line defined by the other issues.

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 14.52 to be 0.85 rich, while MFC.PR.L resetting at +216bp on 2019-6-19, is bid at 17.09 to be 0.51 cheap.

The fit on the BAM issues continues to be horrible!

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.25 to be $0.90 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.20 and appears to be $0.69 rich.

Implied Volatility declined substantially today but remains high.

FTS.PR.M, with a spread of +248bp, and bid at 19.55, looks $0.40 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.70 and is $0.78 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.67%, with no outliers. The distribution is only slightly bimodal, with bank NVCC non-compliant pairs averaging -0.85% and other issues averaging -0.41%. There is one junk outlier above 0.50% and one below -1.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.1924 %	1,637.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.1924 %	2,862.4
Floater	4.54 %	4.56 %	62,422	16.32	3	0.1924 %	1,740.3
OpRet	0.00 %	0.00 %	0	0.00	0	0.0648 %	2,763.4
SplitShare	4.34 %	5.16 %	77,409	2.97	5	0.0648 %	3,238.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0648 %	2,526.8
Perpetual-Premium	5.92 %	5.87 %	67,825	13.99	5	0.9452 %	2,458.4
Perpetual-Discount	5.74 %	5.81 %	79,938	14.16	33	0.7565 %	2,484.8
FixedReset	5.22 %	4.72 %	202,387	15.41	76	3.0427 %	1,954.6
Deemed-Retractible	5.26 %	5.22 %	103,649	5.45	33	0.3478 %	2,532.2
FloatingReset	2.60 %	4.51 %	68,564	5.81	9	1.3760 %	2,074.1

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.B	Floater	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 10.55 Evaluated at bid price : 10.55 Bid-YTW : 4.51 %
BAM.PR.C	Floater	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 10.24 Evaluated at bid price : 10.24 Bid-YTW : 4.65 %
PWF.PR.K	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 21.51 Evaluated at bid price : 21.77 Bid-YTW : 5.70 %
CU.PR.D	Perpetual-Discount	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 5.78 %
GWO.PR.I	Deemed-Retractible	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.59 Bid-YTW : 7.21 %
PWF.PR.L	Perpetual-Discount	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 22.06 Evaluated at bid price : 22.35 Bid-YTW : 5.71 %
BMO.PR.R	FloatingReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 4.31 %
POW.PR.D	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 5.79 %
PWF.PR.F	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.84 %
TD.PF.F	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 22.07 Evaluated at bid price : 22.40 Bid-YTW : 5.47 %
BAM.PR.N	Perpetual-Discount	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.93 %
SLF.PR.B	Deemed-Retractible	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.43 Bid-YTW : 7.00 %
BMO.PR.Q	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 6.77 %
PWF.PR.R	Perpetual-Discount	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 23.13 Evaluated at bid price : 23.51 Bid-YTW : 5.86 %
GWO.PR.N	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.09 Bid-YTW : 9.39 %
BNS.PR.Q	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.06 Bid-YTW : 4.51 %
SLF.PR.G	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.70 Bid-YTW : 8.92 %
BAM.PR.M	Perpetual-Discount	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.91 %
BNS.PR.B	FloatingReset	1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 4.67 %
GWO.PR.R	Deemed-Retractible	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 6.69 %
MFC.PR.B	Deemed-Retractible	1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.77 Bid-YTW : 7.29 %
PWF.PR.O	Perpetual-Premium	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 24.45 Evaluated at bid price : 24.75 Bid-YTW : 5.87 %
BMO.PR.Z	Perpetual-Discount	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 22.35 Evaluated at bid price : 22.65 Bid-YTW : 5.50 %
MFC.PR.J	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.36 Bid-YTW : 7.04 %
PWF.PR.H	Perpetual-Premium	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 24.29 Evaluated at bid price : 24.60 Bid-YTW : 5.86 %
TRP.PR.C	FixedReset	1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 11.95 Evaluated at bid price : 11.95 Bid-YTW : 4.99 %
GWO.PR.S	Deemed-Retractible	1.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 6.04 %
TRP.PR.D	FixedReset	2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.76 %
BMO.PR.Y	FixedReset	2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 20.66 Evaluated at bid price : 20.66 Bid-YTW : 4.49 %
FTS.PR.H	FixedReset	2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 14.03 Evaluated at bid price : 14.03 Bid-YTW : 4.21 %
RY.PR.I	FixedReset	2.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 4.40 %
MFC.PR.H	FixedReset	2.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.13 Bid-YTW : 5.76 %
TD.PF.E	FixedReset	2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.58 %
CU.PR.C	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.36 %
PWF.PR.P	FixedReset	2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 4.23 %
BAM.PR.R	FixedReset	2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 5.31 %
BMO.PR.M	FixedReset	2.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 3.84 %
MFC.PR.G	FixedReset	2.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.85 Bid-YTW : 6.29 %
SLF.PR.C	Deemed-Retractible	2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.36 Bid-YTW : 7.31 %
TRP.PR.E	FixedReset	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.96 Evaluated at bid price : 17.96 Bid-YTW : 4.77 %
BNS.PR.P	FixedReset	2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.57 Bid-YTW : 4.12 %
NA.PR.Q	FixedReset	2.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 4.03 %
BMO.PR.T	FixedReset	2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.58 %
FTS.PR.G	FixedReset	2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 4.72 %
BAM.PF.E	FixedReset	2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 5.11 %
PWF.PR.S	Perpetual-Discount	2.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 21.33 Evaluated at bid price : 21.62 Bid-YTW : 5.56 %
RY.PR.J	FixedReset	3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 4.72 %
IFC.PR.A	FixedReset	3.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.10 Bid-YTW : 9.74 %
SLF.PR.H	FixedReset	3.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.85 Bid-YTW : 8.26 %
BMO.PR.W	FixedReset	3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.66 %
TD.PF.B	FixedReset	3.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.83 Evaluated at bid price : 17.83 Bid-YTW : 4.56 %
SLF.PR.I	FixedReset	3.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.70 Bid-YTW : 6.87 %
HSE.PR.C	FixedReset	3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.80 %
IFC.PR.C	FixedReset	3.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.55 Bid-YTW : 7.55 %
HSE.PR.A	FixedReset	3.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 4.79 %
TRP.PR.A	FixedReset	3.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 4.87 %
BMO.PR.S	FixedReset	3.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.56 %
MFC.PR.K	FixedReset	3.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.37 Bid-YTW : 8.17 %
BAM.PF.F	FixedReset	3.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 4.85 %
MFC.PR.I	FixedReset	3.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.76 Bid-YTW : 6.39 %
RY.PR.H	FixedReset	3.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 4.58 %
BNS.PR.C	FloatingReset	4.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.99 Bid-YTW : 4.38 %
TRP.PR.G	FixedReset	4.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.86 %
TRP.PR.F	FloatingReset	4.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 13.35 Evaluated at bid price : 13.35 Bid-YTW : 4.32 %
BNS.PR.R	FixedReset	4.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 4.23 %
TD.PF.D	FixedReset	4.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.57 %
RY.PR.M	FixedReset	4.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.60 %
RY.PR.Z	FixedReset	4.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 4.53 %
FTS.PR.K	FixedReset	4.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.56 %
CM.PR.Q	FixedReset	4.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 4.41 %
VNR.PR.A	FixedReset	4.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 4.70 %
BAM.PF.G	FixedReset	4.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.85 %
CM.PR.P	FixedReset	4.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.52 %
BAM.PF.B	FixedReset	4.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 5.06 %
MFC.PR.L	FixedReset	4.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.09 Bid-YTW : 8.50 %
TD.PF.A	FixedReset	4.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 4.51 %
FTS.PR.M	FixedReset	5.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.52 %
PWF.PR.T	FixedReset	5.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 21.39 Evaluated at bid price : 21.39 Bid-YTW : 3.94 %
CM.PR.O	FixedReset	5.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.39 Evaluated at bid price : 18.39 Bid-YTW : 4.52 %
TD.PF.C	FixedReset	5.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 4.53 %
NA.PR.S	FixedReset	5.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 4.68 %
BAM.PF.A	FixedReset	5.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.90 %
MFC.PR.M	FixedReset	5.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.29 Bid-YTW : 7.75 %
IAG.PR.G	FixedReset	5.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 6.68 %
MFC.PR.N	FixedReset	5.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.00 Bid-YTW : 7.89 %
BIP.PR.A	FixedReset	5.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.47 %
BAM.PR.T	FixedReset	6.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 4.99 %
NA.PR.W	FixedReset	6.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 4.57 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.B	FixedReset	158,635	Nesbitt crossed 19,300 at 17.30; RBC crossed 107,800 at 18.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.83 Evaluated at bid price : 17.83 Bid-YTW : 4.56 %
TRP.PR.B	FixedReset	139,492	Scotia crossed 58,500 at 11.40 and another 50,000 at 11.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.65 %
BMO.PR.W	FixedReset	137,345	RBC crossed 110,400 at 17.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.66 %
TD.PF.A	FixedReset	110,520	TD crossed 23,500 at 17.41; RBC crossed 23,800 at 17.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 4.51 %
RY.PR.H	FixedReset	73,588	RBC crossed 30,000 at 17.86. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 4.58 %
MFC.PR.J	FixedReset	72,700	Nesbitt crossed 31,000 at 19.02 and 20,000 at 19.22. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.36 Bid-YTW : 7.04 %
There were 61 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.E	FixedReset	Quote: 17.96 – 20.00 Spot Rate : 2.0400 Average : 1.3076 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.96 Evaluated at bid price : 17.96 Bid-YTW : 4.77 %
HSE.PR.G	FixedReset	Quote: 22.75 – 23.54 Spot Rate : 0.7900 Average : 0.4964 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 22.15 Evaluated at bid price : 22.75 Bid-YTW : 4.86 %
RY.PR.N	Perpetual-Discount	Quote: 22.65 – 23.24 Spot Rate : 0.5900 Average : 0.3439 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 22.36 Evaluated at bid price : 22.65 Bid-YTW : 5.57 %
TRP.PR.D	FixedReset	Quote: 17.70 – 18.40 Spot Rate : 0.7000 Average : 0.4649 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.76 %
TD.PR.Z	FloatingReset	Quote: 21.31 – 22.00 Spot Rate : 0.6900 Average : 0.4746 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.31 Bid-YTW : 4.72 %
TD.PF.E	FixedReset	Quote: 20.25 – 20.85 Spot Rate : 0.6000 Average : 0.3876 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-19 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.58 %

The Russians are bringing us new trends in financial computer hacking:

A group of Russian hackers infiltrated the servers of Dow Jones & Co., owner of the Wall Street Journal and several other news publications, and stole information to trade on before it became public, according to four people familiar with the matter.

The Federal Bureau of Investigation, Secret Service and the Securities and Exchange Commission are leading an investigation of the infiltration, according to the people. The probe began at least a year ago, one of them said.

Dow Jones, in a statement, said: “To the best of our knowledge, we have received no information from the authorities about any such alleged matter, and we are looking into whether there is any truth whatsoever to this report by a competitor news organization.”
…
Information embargoed by companies and the government for release at a later time could be valuable to traders looking to gain an edge over other market participants, as could stories being prepared on topics like mergers and acquisitions that move stock prices.
…
The hack investigation shows how quickly law enforcers are shifting to a new front in insider trading: cyberspace. Market-moving, nonpublic information used to trade hands in secret meetings. Hackers are now stealing sensitive information and selling it to traders. This new vulnerability in the financial markets is challenging law-enforcement officials who are trying to keep pace with cyber-criminals’ rapidly evolving moneymaking schemes.

For would-be inside traders, business journalists and data providers are a rich target. Potentially market-moving scoops often develop in-house for days or weeks, promising intruders a long pre-publication window to mine information and execute trades. Data being held for public release at a specified time can also be a gold mine in markets where the profitably of a trade is determined in a fraction of a second.

Life got a little better for preferred share investors today:

It was a glorious day for the Canadian preferred share market, with PerpetualDiscounts gaining 32bp, FixedResets winning 142bp and DeemedRetractibles up 120bp. The Performance Highlights table is as lengthy as one might expect. Volume was extremely heavy.

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

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

Here’s TRP:

Implied Volatility declined a lot today but remains high.

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.50 to be $0.78 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.86 cheap at its bid price of 11.72.

There was an incredible drop in Implied Volatility today – and it would be near zero if the calculation wasn’t distorted by the MFC.PR.F outlier. Dropping the outlier results in a very good fit:

Using the all-inclusive fit, the most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 14.50 to be 1.32 rich, while MFC.PR.L resetting at +216bp on 2019-6-19, is bid at 16.32 to be 0.68 cheap.

The fit on the BAM issues continues to be horrible!

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.90 to be $0.90 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 19.30 and appears to be $0.58 rich.

Implied Volatility declined substantially today but remains ridiculously high.

FTS.PR.M, with a spread of +248bp, and bid at 18.60, looks $0.39 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.24 and is $0.56 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.45%, with no outliers. The distribution is only slightly bimodal, with bank NVCC non-compliant pairs averaging -0.58% and other issues averaging -0.26%. There are three junk outliers above 0.50% and one below -1.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	4.0721 %	1,633.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	4.0721 %	2,856.9
Floater	4.55 %	4.60 %	62,771	16.24	3	4.0721 %	1,737.0
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2505 %	2,761.6
SplitShare	4.34 %	5.14 %	74,724	2.98	5	-0.2505 %	3,236.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2505 %	2,525.2
Perpetual-Premium	5.98 %	5.98 %	68,243	13.96	5	0.4173 %	2,435.4
Perpetual-Discount	5.78 %	5.86 %	80,238	14.10	33	0.3217 %	2,466.1
FixedReset	5.38 %	4.92 %	199,722	15.09	76	1.4250 %	1,896.9
Deemed-Retractible	5.28 %	5.22 %	103,083	5.46	33	1.1972 %	2,523.5
FloatingReset	2.66 %	4.77 %	69,057	5.81	9	0.5348 %	2,045.9

Performance Highlights
Issue	Index	Change	Notes
BNS.PR.R	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.76 Bid-YTW : 5.01 %
BNS.PR.D	FloatingReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.02 Bid-YTW : 6.89 %
BAM.PF.B	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.34 %
GWO.PR.P	Deemed-Retractible	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.44 Bid-YTW : 6.38 %
RY.PR.Z	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.29 Evaluated at bid price : 17.29 Bid-YTW : 4.78 %
HSB.PR.C	Deemed-Retractible	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 5.21 %
IGM.PR.B	Perpetual-Premium	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 24.41 Evaluated at bid price : 24.70 Bid-YTW : 5.98 %
RY.PR.G	Deemed-Retractible	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.94 Bid-YTW : 4.69 %
RY.PR.E	Deemed-Retractible	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.72 %
RY.PR.C	Deemed-Retractible	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.82 %
PWF.PR.S	Perpetual-Discount	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.74 %
MFC.PR.N	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.01 Bid-YTW : 8.68 %
HSB.PR.D	Deemed-Retractible	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 5.22 %
FTS.PR.G	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 4.90 %
GWO.PR.G	Deemed-Retractible	1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.56 Bid-YTW : 6.70 %
TD.PF.A	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.76 %
BAM.PR.R	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 5.48 %
BMO.PR.W	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.84 %
HSE.PR.A	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 13.35 Evaluated at bid price : 13.35 Bid-YTW : 5.01 %
CM.PR.P	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.77 %
SLF.PR.H	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.34 Bid-YTW : 8.70 %
TRP.PR.E	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.93 %
BNS.PR.A	FloatingReset	1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 4.33 %
GWO.PR.N	FixedReset	1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.91 Bid-YTW : 9.59 %
RY.PR.J	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 4.90 %
IFC.PR.C	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.95 Bid-YTW : 8.02 %
BAM.PF.E	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 5.29 %
TRP.PR.B	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 4.74 %
FTS.PR.K	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.82 %
BNS.PR.M	Deemed-Retractible	1.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 4.60 %
CU.PR.C	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 18.74 Evaluated at bid price : 18.74 Bid-YTW : 4.50 %
GWO.PR.H	Deemed-Retractible	1.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 6.87 %
TD.PF.D	FixedReset	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.80 %
TRP.PR.F	FloatingReset	1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 12.80 Evaluated at bid price : 12.80 Bid-YTW : 4.55 %
RY.PR.H	FixedReset	2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 4.80 %
BNS.PR.L	Deemed-Retractible	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 : 4.60 %
BAM.PF.A	FixedReset	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 5.21 %
BAM.PF.F	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 5.07 %
TD.PF.E	FixedReset	2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 4.71 %
TRP.PR.A	FixedReset	2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 14.41 Evaluated at bid price : 14.41 Bid-YTW : 5.08 %
SLF.PR.B	Deemed-Retractible	2.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.17 Bid-YTW : 7.16 %
BAM.PR.C	Floater	2.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 10.13 Evaluated at bid price : 10.13 Bid-YTW : 4.70 %
GWO.PR.R	Deemed-Retractible	2.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.54 Bid-YTW : 6.92 %
NA.PR.Q	FixedReset	2.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 4.53 %
POW.PR.G	Perpetual-Discount	2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 23.63 Evaluated at bid price : 24.09 Bid-YTW : 5.83 %
SLF.PR.D	Deemed-Retractible	2.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 7.52 %
FTS.PR.J	Perpetual-Discount	2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 5.79 %
MFC.PR.C	Deemed-Retractible	2.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.01 Bid-YTW : 7.63 %
CM.PR.Q	FixedReset	2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.64 %
RY.PR.M	FixedReset	2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.84 %
MFC.PR.K	FixedReset	2.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.75 Bid-YTW : 8.68 %
BAM.PR.X	FixedReset	2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 14.02 Evaluated at bid price : 14.02 Bid-YTW : 5.12 %
SLF.PR.E	Deemed-Retractible	2.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.18 Bid-YTW : 7.49 %
SLF.PR.A	Deemed-Retractible	2.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.21 Bid-YTW : 7.08 %
FTS.PR.M	FixedReset	2.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.79 %
SLF.PR.C	Deemed-Retractible	2.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.86 Bid-YTW : 7.65 %
BAM.PR.K	Floater	2.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 10.35 Evaluated at bid price : 10.35 Bid-YTW : 4.60 %
TRP.PR.G	FixedReset	3.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.09 %
MFC.PR.I	FixedReset	3.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.98 Bid-YTW : 6.93 %
BAM.PR.Z	FixedReset	3.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 19.72 Evaluated at bid price : 19.72 Bid-YTW : 5.06 %
MFC.PR.J	FixedReset	3.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.31 %
SLF.PR.G	FixedReset	3.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.50 Bid-YTW : 9.11 %
VNR.PR.A	FixedReset	3.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.96 %
BMO.PR.T	FixedReset	3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 4.74 %
PWF.PR.T	FixedReset	4.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 4.18 %
TRP.PR.D	FixedReset	4.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.90 %
SLF.PR.I	FixedReset	4.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.07 Bid-YTW : 7.33 %
MFC.PR.G	FixedReset	5.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.35 Bid-YTW : 6.64 %
MFC.PR.H	FixedReset	6.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.67 Bid-YTW : 6.07 %
BMO.PR.Y	FixedReset	6.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.61 %
BAM.PR.B	Floater	6.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.45 %

Volume Highlights
Issue	Index	Shares Traded	Notes
PWF.PR.F	Perpetual-Discount	283,400	Nesbitt crossed blocks of 238,000 and 40,000, both at 22.40. Nice tickets! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 5.91 %
PWF.PR.O	Perpetual-Premium	190,856	Nesbitt crossed 176,700 at 24.36. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 24.03 Evaluated at bid price : 24.33 Bid-YTW : 5.97 %
BAM.PF.A	FixedReset	160,376	Scotia crossed two blocks of 50,000 each, both at 18.58, and a block of 40,000 at 18.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 5.21 %
RY.PR.H	FixedReset	125,541	Scotia crossed 42,200 at 17.25 and sold 14,100 to RBC at 17.40. RBC bought 11,900 from TD at 17.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 4.80 %
TRP.PR.E	FixedReset	118,299	Desjardins crossed 103,400 at 17.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.93 %
RY.PR.J	FixedReset	98,436	Scotia crossed 47,500 at 18.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 4.90 %
There were 67 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.A	FixedReset	Quote: 14.65 – 15.98 Spot Rate : 1.3300 Average : 0.7704 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 10.18 %
VNR.PR.A	FixedReset	Quote: 19.00 – 19.92 Spot Rate : 0.9200 Average : 0.5750 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.96 %
IAG.PR.G	FixedReset	Quote: 19.10 – 19.93 Spot Rate : 0.8300 Average : 0.5138 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 7.46 %
CU.PR.C	FixedReset	Quote: 18.74 – 19.50 Spot Rate : 0.7600 Average : 0.4628 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 18.74 Evaluated at bid price : 18.74 Bid-YTW : 4.50 %
PWF.PR.P	FixedReset	Quote: 14.11 – 14.85 Spot Rate : 0.7400 Average : 0.4857 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-16 Maturity Price : 14.11 Evaluated at bid price : 14.11 Bid-YTW : 4.38 %
GWO.PR.S	Deemed-Retractible	Quote: 23.29 – 23.95 Spot Rate : 0.6600 Average : 0.4104 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.29 Bid-YTW : 6.31 %

There are continued dovish expectations regarding the Fed’s next move:

The October rebound in global equities resumed, with U.S. stocks rising to a eight-week high amid bank earnings and growing speculation the Federal Reserve will delay raising interest rates until 2016. Treasuries fell and gold erased its loss for the year.
…
The probability of a Fed interest rate increase by the December policy meeting has dropped to 30 percent, down from 70 percent at the start of August, according to futures data compiled by Bloomberg. The slide worsened even after a gauge of U.S. core consumer prices advanced more than projected in September, while hiring data provided evidence of labor-market resilience.

My old buddy Doug Grieve, of long-time Nesbitt fame, mentioned on June 26 as becoming the manager of Lysander-Slater Preferred Share Dividend Fund, has now also been named as the manager of the Lysander-Slater Preferred Share ActivETF which has the awesome symbol PR.

Husky Energy, proud issuer of HSE.PR.A, HSE.PR.C, HSE.PR.E and HSE.PR.G, was confirmed at Pfd-2(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating and Senior Unsecured Notes and Debentures rating of Husky Energy Inc. (Husky or the Company) at A (low) as well as its Commercial Paper rating at R-1 (low) and its Preferred Shares – Cumulative rating at Pfd-2 (low), all with Stable trends. DBRS believes that Husky is in a good position to ride the challenging commodity price environment among its domestic peers given (a) Husky’s relatively low leverage; (b) reasonable liquidity and no material long-term debt refinancing risk over the next three years; (c) strong earnings and cash flow contributions from the Liwan Gas Project (Liwan) offshore China and the Company’s downstream business, which are not tied directly to oil prices; and (d) the near completion of the major capital-intensive projects – Liwan and Sunrise Energy (Sunrise) – reducing capital expenditure (capex) commitments going forward. The Stable trend incorporates DBRS’s expectation that key credit metrics will weaken materially in 2015, but will remain above average among DBRS-rated investment-grade peers in Canada; however, a negative rating action could be taken if key credit metrics remain under pressure on a sustained basis.

It was a whole new world for Canadian preferred share investors today!

It was a very good day for the Canadian preferred share market, with PerpetualDiscounts gaining 28bp, FixedResets up 73bp and DeemedRetractibles winning 109bp. FixedResets dominated the nicer side of the Performance Highlights table. Volume was enormous.

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:

Implied Volatility declined today but remains high.

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.24 to be $0.93 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.66 cheap at its bid price of 11.68.

Implied Volatility remained at the highest level I am willing to consider today.

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 14.50 to be 0.91 rich, while MFC.PR.K resetting at +222bp on 2018-9-19, is bid at 16.32 to be 0.66 cheap.

The fit on the BAM issues continues to be horrible!

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.70 to be $0.90 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 19.30 and appears to be $0.69 rich.

Implied Volatility edged down today but remains ridiculously high.

FTS.PR.M, with a spread of +248bp, and bid at 18.09, looks $0.34 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.03 and is $0.46 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.55%, with no outliers after I changed the y-axis limits. The distribution is bimodal, with bank NVCC non-compliant pairs averaging -0.85% and other issues averaging -0.14%. There are two junk outliers above 0.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.8932 %	1,570.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.8932 %	2,745.1
Floater	4.73 %	4.76 %	63,130	15.95	3	-0.8932 %	1,669.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.2755 %	2,768.5
SplitShare	4.33 %	5.03 %	74,138	2.98	5	0.2755 %	3,244.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2755 %	2,531.5
Perpetual-Premium	6.00 %	6.03 %	63,252	13.89	5	-0.0409 %	2,425.2
Perpetual-Discount	5.80 %	5.90 %	80,199	14.05	33	0.2827 %	2,458.2
FixedReset	5.45 %	4.96 %	197,459	14.88	76	0.7331 %	1,870.2
Deemed-Retractible	5.34 %	5.45 %	102,739	5.45	33	1.0899 %	2,493.6
FloatingReset	2.67 %	4.86 %	67,564	5.81	9	-0.0407 %	2,035.1

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.J	Perpetual-Discount	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 5.94 %
RY.PR.Z	FixedReset	-1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.83 %
HSE.PR.C	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 5.00 %
BMO.PR.Q	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.11 Bid-YTW : 7.11 %
BAM.PR.C	Floater	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 9.90 Evaluated at bid price : 9.90 Bid-YTW : 4.81 %
BNS.PR.D	FloatingReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.23 Bid-YTW : 6.68 %
RY.PR.H	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 4.90 %
RY.PR.C	Deemed-Retractible	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.61 Bid-YTW : 5.04 %
MFC.PR.C	Deemed-Retractible	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 7.98 %
RY.PR.E	Deemed-Retractible	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.62 Bid-YTW : 4.93 %
BMO.PR.Y	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 4.91 %
CU.PR.F	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 5.76 %
W.PR.J	Perpetual-Discount	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 23.10 Evaluated at bid price : 23.36 Bid-YTW : 6.02 %
SLF.PR.J	FloatingReset	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.30 Bid-YTW : 9.52 %
BAM.PF.B	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 5.28 %
CM.PR.O	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 4.84 %
PWF.PR.K	Perpetual-Discount	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 21.25 Evaluated at bid price : 21.52 Bid-YTW : 5.76 %
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 : 19.39 Bid-YTW : 7.34 %
BAM.PF.E	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 5.39 %
RY.PR.I	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.15 Bid-YTW : 4.68 %
SLF.PR.B	Deemed-Retractible	1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.70 Bid-YTW : 7.47 %
BAM.PR.N	Perpetual-Discount	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.94 %
MFC.PR.M	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.17 Bid-YTW : 8.63 %
TD.PF.C	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 16.94 Evaluated at bid price : 16.94 Bid-YTW : 4.82 %
TD.PF.B	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 4.79 %
GWO.PR.P	Deemed-Retractible	1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 6.52 %
CM.PR.P	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.84 %
RY.PR.B	Deemed-Retractible	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.04 %
SLF.PR.E	Deemed-Retractible	1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.64 Bid-YTW : 7.87 %
FTS.PR.M	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 18.09 Evaluated at bid price : 18.09 Bid-YTW : 4.93 %
IAG.PR.G	FixedReset	1.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 7.57 %
TRP.PR.B	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 4.82 %
SLF.PR.A	Deemed-Retractible	1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.64 Bid-YTW : 7.46 %
VNR.PR.A	FixedReset	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 5.15 %
CU.PR.C	FixedReset	2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.58 %
W.PR.H	Perpetual-Discount	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 22.89 Evaluated at bid price : 23.16 Bid-YTW : 5.97 %
MFC.PR.L	FixedReset	2.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.20 Bid-YTW : 9.25 %
SLF.PR.D	Deemed-Retractible	2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.55 Bid-YTW : 7.87 %
SLF.PR.I	FixedReset	2.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.26 Bid-YTW : 7.93 %
SLF.PR.H	FixedReset	2.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.10 Bid-YTW : 8.90 %
GWO.PR.H	Deemed-Retractible	2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.30 Bid-YTW : 7.13 %
MFC.PR.K	FixedReset	2.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.32 Bid-YTW : 9.04 %
MFC.PR.B	Deemed-Retractible	2.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 7.64 %
TRP.PR.G	FixedReset	2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 18.44 Evaluated at bid price : 18.44 Bid-YTW : 5.25 %
TRP.PR.C	FixedReset	3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 11.68 Evaluated at bid price : 11.68 Bid-YTW : 5.17 %
TRP.PR.D	FixedReset	3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 5.12 %
BAM.PR.Z	FixedReset	3.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 19.13 Evaluated at bid price : 19.13 Bid-YTW : 5.22 %
TRP.PR.E	FixedReset	4.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 17.24 Evaluated at bid price : 17.24 Bid-YTW : 5.01 %
PWF.PR.P	FixedReset	4.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 4.39 %
PWF.PR.T	FixedReset	6.27 %	Quite real! It looks like a buy programme commenced at 2pm on the dot as the issue traded 18,033 shares in a range of 18.50-19.70. All but one of the last 25 trades were for 100 shares; all of them listed RBC as the buyer. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.37 %
HSB.PR.C	Deemed-Retractible	7.91 %	Simply reverses most – but not quite all! – of yesterday‘s nonsense. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 5.41 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.J	FixedReset	179,867	RBC crossed blocks of 47,300 and 50,300, both at 18.15. Desjardins crossed 32,800 at 18.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.98 %
CM.PR.O	FixedReset	127,586	RBC crossed blocks of 50,000 and 24,600, both at 17.04. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 4.84 %
SLF.PR.I	FixedReset	120,680	Desjardins crossed 81,100 at 17.95. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.26 Bid-YTW : 7.93 %
RY.PR.M	FixedReset	109,938	RBC crossed 91,800 at 17.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.97 %
RY.PR.H	FixedReset	104,375	RBC crossed 10,000 at 17.05. Nesbitt crossed blocks of 16,900 and 37,700 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 4.90 %
CM.PR.P	FixedReset	99,424	Nesbitt crossed 30,000 1 16.60; Scotia crossed 36,200 at 16.58. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.84 %
There were 70 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BNS.PR.Q	FixedReset	Quote: 22.72 – 23.67 Spot Rate : 0.9500 Average : 0.5547 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 4.78 %
SLF.PR.G	FixedReset	Quote: 14.02 – 15.00 Spot Rate : 0.9800 Average : 0.5874 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.02 Bid-YTW : 9.55 %
IFC.PR.C	FixedReset	Quote: 17.65 – 18.49 Spot Rate : 0.8400 Average : 0.5483 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.65 Bid-YTW : 8.25 %
FTS.PR.M	FixedReset	Quote: 18.09 – 18.79 Spot Rate : 0.7000 Average : 0.4495 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 18.09 Evaluated at bid price : 18.09 Bid-YTW : 4.93 %
FTS.PR.J	Perpetual-Discount	Quote: 20.31 – 20.86 Spot Rate : 0.5500 Average : 0.3995 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 5.94 %
BAM.PR.M	Perpetual-Discount	Quote: 19.85 – 20.18 Spot Rate : 0.3300 Average : 0.2251 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-15 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.05 %

There was an extremely benign inflation indicator in the States today:

Wholesale prices in the U.S. declined in September by the most since the start of the year as costs fell for gasoline, food and brokerage services.

The 0.5 percent decrease in the producer-price index was the biggest since January and followed no change in August, Labor Department figures showed Wednesday. The median forecast of economists surveyed by Bloomberg called for a 0.2 percent drop. Costs were down 1.1 percent over the past 12 months.
…
Energy expenses decreased 5.9 percent in September, the most since January, after falling 3.3 percent the month before. Food prices dropped 0.8 percent after a 0.3 percent gain. The costs of eggs slumped, while beef and veal prices plunged 7.9 percent, the most since January 2004.

Wholesale prices excluding these two components unexpectedly declined 0.3 percent. The median forecast in the Bloomberg survey called for a 0.1 percent gain. Those costs were up 0.8 percent from September 2014.

Goods prices, which have fallen for three straight months, slumped 1.2 percent in September. The costs of services dropped

0.4 percent, the most since February. More than a quarter of that decrease was due to slumping costs for securities brokerage, dealing and investment advice, the Labor Department said.

After eliminating food, energy and trade services to arrive at a reading that some economists prefer because it excludes one of the report’s most volatile components, wholesale costs also decreased 0.3 percent in September. That was the biggest decline since records began in 2013

“slumping costs for … investment advice”??? This isn’t a slow-down! This is a DEPRESSION!

And retail sales were sluggish:

Consumers in the U.S. tempered purchases at retailers in September, pocketing the savings from lower fuel costs and making for a weak finish to the third quarter.

The 0.1 percent gain followed little change in the prior month that was weaker than previously reported, Commerce Department figures showed Wednesday in Washington. The median forecast of 82 economists surveyed by Bloomberg called for a 0.2 percent advance. More than half of merchant categories showed decreases.

Sluggish sales may raise concern about the staying power of consumer spending, which accounts for about 70 percent of the economy, at a time overseas demand is also cooling. While job gains and cheap fuel may help to underpin purchases, a pickup in wages remains elusive as Federal Reserve policy makers are weighing whether to raise interest rates this year.

Naturally, this led the market to believe that maybe a rate hike isn’t imminent:

First Treasuries traders were banking on September for the Federal Reserve to raise interest rates. Then they turned their focus to December. Now even March is looking like a toss-up.

The drumbeat of weaker-than-forecast global economic data continued Wednesday as September U.S. retail sales fell short of analysts’ expectations. The report came after Fed Governor Daniel Tarullo, who votes on rate decisions, said Tuesday that he doesn’t currently favor an increase in 2015, even though Chair Janet Yellen has said a move would be warranted.

Traders’ bets that the Fed will lift its benchmark by year-end have dropped to less than a one-in-three chance, and aren’t much higher for January. For March, the probability has tumbled to about 50 percent, from 65 percent a month ago. The calculation is based on the assumption that the effective fed funds rate will average 0.375 percent after the first increase.

The uncertainty may be exacerbated by a disagreement regarding a basic tenet of economics:

On Monday, Governor Lael Brainard said that global risks warranted a more cautious stance from the central bank. The next day, fellow Governor Daniel Tarullo indicated that he expects it will be appropriate to keep rates on hold through year end.

The details of their dovish commentary are much more noteworthy, as both appear to disagree with Yellen’s description of what the Fed’s reaction mechanism ought to be.

At the heart of the matter is the extent to which the progress made in achieving one part of the central bank’s mandate (full employment) portends improvement in the other part (price stability, defined as an annual inflation rate of 2 percent).

The relationship between unemployment and inflation is typically understood in terms of the Phillips Curve, which holds that there is an inverse relationship between inflation and unemployment.

Yellen’s previous remarks suggest she thinks a firming labor market will indeed lead to higher levels of inflation.
…
The governors are much more skeptical.

“I do think under these circumstances it’s probably wise not to be counting so much on past correlations—things like the Phillips Curve, which really haven’t been operating very effectively for 10 years now—and instead to really look for some tangible evidence of, for example, pickups in wages or inflation that allow us to make informed decisions based on the evidence,” Tarullo said in an interview with CNBC.

Brainard issued what appeared to be an even more direct rebuttal.

“To be clear, I do not view the improvement in the labor market as a sufficient statistic for judging the outlook for inflation,” she said. “A variety of econometric estimates would suggest that the classic Phillips curve influence of resource utilization on inflation is, at best, very weak at the moment.”

Silver Bullion Trust has fired another round in its battle with Sprott (bolding from original):

Bruce Heagle, Chair of the Special Committee of the Board of Trustees of SBT stated: “Sprott’s recent claims of an “increased offer” are illusory; in reality, nothing has changed. Their supposed “premium consideration” of $0.025 per Unit is immaterial; it represents less than 0.3% of the current value of an SBT Unit, and would be more than offset by the higher annual management fees charged by Sprott. Sprott continues to offer no meaningful premium, would charge significantly higher management fees, strip Unitholders of virtually all their governance rights and expose certain U.S. Unitholders to higher tax risk. Rejecting Sprott’s self-serving, inadequate offer and retaining your SBT Units, characterized by an industry-leading expense ratio, superior bullion security and safeguards, and a sound, tax efficient structure, is the clear choice for long-term bullion investors.”

I’ll be very disappointed when the whole thing is resolved!

Element Financial, whose preferreds were recent added to the HIMIPref™ database, is shifting strategic priorities:

Element Financial Corporation (TSX:EFN) (“Element” or the “Company”), today announced that it has initiated a series of steps that will accelerate the transformation of the Company into North America’s leading fleet management and services enterprise with complementary commercial finance operations. Specifically, the Company has initiated a process to harvest capital from its Canadian commercial & vendor (“C&V”) operations for reinvestment in both organic growth and acquisition opportunities in its core fleet management business. These opportunities include the acquisition of existing fleet management businesses and portfolios as well as fleet services companies that have the potential to drive incremental service fee income for the Company. Concurrently, the Company will optimize the scale and focus of its non-fleet businesses to complement its core fleet management operations.

Some old research done for Parliament illustrates effective marginal tax rates for low income earners:

The “welfare wall” refers to the disincentives to work created by interaction between the system of social assistance and personal income taxation in Canada. Canadians who receive social assistance and subsequently accept low-paying employment face a series of consequences that could potentially make them worse off, including: higher income and payroll taxes; new work-related expenses such as transportation, clothing and childcare; reduced income support in the form of social assistance and income-tested refundable tax credits; and loss of in-kind benefits such as subsidized housing and prescription drugs.

This welfare wall can be demonstrated by estimating an individual’s effective marginal tax rate; that is, the costs associated with the next dollar of earned income. Figure 1 shows that, under the current system of social assistance and taxation in Canada, a single parent with one child who increases his/her earnings from $0 to $10,000 would lose an estimated 78 cents of every additional dollar earned. By comparison, an increase in earnings from $40,000 to $50,000 has an effective marginal tax rate of 41%.

The effective marginal tax rate of 78% on the FIRST $10,000 of earnings is, of course, ridiculous and points out the absurdity of things like the coming Toronto proposal for income-based pricing of bus passes, discussed yesterday, which will only increase the effective marginal rate by withdrawing subsidies as income increases. One suggestion that has some solid thinking behind it is for substantial refundable tax credits to replace social programmes:

The current tax system contains more than $80-billion of tax credits which are non-refundable, which means that low-income Canadians who do not have sufficient taxes owing cannot benefit from them in the same fashion as higher-income taxpayers. While tax filers will be most familiar with the basic personal amount at the top of Schedule 1 of the federal income tax form, other credits for age, eligible dependents, employment and education are also important.

Our recent research paper evaluates the effect of converting these non-refundable credits to refundable credits in the fashion of existing credits such as the Goods and Services Tax Credit and the Working Income Tax Credit and the recently replaced National Child Benefit. A refundable credit simply converts any excess between the credit and taxes owing to a refundable benefit, allowing low-income tax filers to realize the benefits of these tax credits that already accrue to higher-income tax filers.

The paper, titled THE IMPACT OF CONVERTING FEDERAL NON-REFUNDABLE TAX CREDITS INTO REFUNDABLE CREDITS by Wayne Simpson and Harvey Stevens is summarized:

With economic inequality on the rise in Canada, the federal government needs to consider innovative solutions. One possibility for improving the tax-transfer system involves refundable tax credits (RTCs). Making all tax credits refundable wouldn’t require Ottawa to introduce new tax measures; the Canadian tax system already contains a mix of RTCs and NRTCs, so the government could simply continue its practice of designing tax credit programs to be refundable.

Using Statistics Canada’s Social Policy Simulation Database and Model, this paper examines the impacts and cost of converting NRTCs to RTCs, with and without an income exemption equal to 25 percent of the before-tax low-income standard for a census family, the Census Family Low-Income Line.

Under the Option Without Exemption (OW/OE), RTC recipients are taxed at a single rate of 15 percent, regardless of family size, right up to the Line. Under the Option With Exemption (OWE), RTC recipients are taxed at zero percent up to 25 percent of the Line and at a single rate of 20 percent, regardless of family size, up to 100 percent of the Line.

The incremental cost of switching NRTCs to RTCs under the OW/OE is $6.6 billion, as additional benefits are provided to 6.4 million families — slightly less than 37 percent of all families. The cost of the OWE is $7.2 billion, as benefits flow to slightly more families — 6.45 million. However, the percentage of benefits reaching low-income families is much higher under the OWE (69 percent vs. 49 percent). Additionally, the OWE provides an average of nine percent more RTC benefits to low-income tax filers, making it clearly the superior option for poverty reduction. Moreover, the paper shows that alternative conversion schemes that set benefit reduction rates to differ by family size can further increase the benefits to low-income families at a lower overall cost.

Such changes would elicit a labour-supply response in terms of a reduction in hours worked, and while the effect is smaller under the less expensive OW/OE, the difference between the two options is slight.

This paper simulates the conversion of NRTCs to RTCs in comprehensive detail, besides providing practical advice on how such a shift would be funded. It offers valuable food for thought on an issue that is increasingly critical to Canadian society.

“Trigger warnings” have become a popular bone of contention at universities and I’ve decided to experiment with their use myself. So, before you proceed to read about the day’s market action:

It was yet another crummy day for the Canadian preferred share market, with PerpetualDiscounts and FixedResets both down 59bp and DeemedRetractibles losing 80bp. The Performance Highlights table is … well, you know. It’s the Performance Highlights table. It highlights performance. Of particular interest today though, what the amount of churn; some issues did really, really well! Volume was very extremely awfully high – this is like tax-loss selling season! And perhaps it is!

PerpetualDiscounts now yield 5.90%, equivalent to 7.67% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.25%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a number I didn’t really expect to see ever again, a significant widening from the 330bp reported October 7.

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:

Implied Volatility declined today with the normalization of the bid on TRP.PR.D, but remained ridiculously high.

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.50 to be $0.63 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.75 cheap at its bid price of 11.33.

Implied Volatility shot upwards today, propelled by excellent relative performance of MFC.PR.F, which is featured on the Performance Highlights table.

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 14.40 to be 1.04 rich, while MFC.PR.K resetting at +222bp on 2018-9-19, is bid at 15.86 to be 0.96 cheap.

The fit on the BAM issues continues to be horrible!

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.60 to be $0.90 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 19.19 and appears to be $0.86 rich.

Implied Volatility edged up again today to the maximum level I am willing to discuss.

FTS.PR.H, with a spread of +145bp, and bid at 13.70, looks $0.16 expensive and resets 2020-6-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.01 and is $0.42 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.51%, with two outliers above 0.00% and none below -2.00%. The distribution is bimodal, with bank NVCC non-compliant pairs averaging -0.82% and other issues averaging -0.07%. There are three junk outliers above 0.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.3297 %	1,584.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.3297 %	2,769.8
Floater	4.69 %	4.72 %	63,238	16.02	3	-0.3297 %	1,684.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.2274 %	2,760.9
SplitShare	4.34 %	5.21 %	74,179	2.99	5	0.2274 %	3,235.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2274 %	2,524.6
Perpetual-Premium	6.00 %	6.04 %	61,757	13.87	5	-0.1552 %	2,426.2
Perpetual-Discount	5.81 %	5.90 %	80,200	14.06	33	-0.5894 %	2,451.3
FixedReset	5.49 %	4.97 %	197,178	14.78	76	-0.5931 %	1,856.6
Deemed-Retractible	5.40 %	6.16 %	103,151	5.45	33	-0.7991 %	2,466.7
FloatingReset	2.67 %	4.94 %	68,311	5.81	9	-0.5949 %	2,035.9

Performance Highlights
Issue	Index	Change	Notes
HSB.PR.C	Deemed-Retractible	-7.44 %	Not real. The issue traded a whopping 511 shares today in a range of 24.51-71. The five trades (four of which were timestamped on and after 3:58) so exhausted the market maker that the issue closed at 22.88-24.72 (!). I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.88 Bid-YTW : 6.86 %
TRP.PR.A	FixedReset	-4.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 5.17 %
BAM.PR.X	FixedReset	-3.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 13.52 Evaluated at bid price : 13.52 Bid-YTW : 5.31 %
BNS.PR.Q	FixedReset	-3.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 4.88 %
RY.PR.H	FixedReset	-2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 4.84 %
MFC.PR.N	FixedReset	-2.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.77 Bid-YTW : 8.87 %
PWF.PR.T	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.65 %
IFC.PR.A	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 10.17 %
TRP.PR.F	FloatingReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 12.51 Evaluated at bid price : 12.51 Bid-YTW : 4.65 %
BNS.PR.R	FixedReset	-2.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.15 Bid-YTW : 4.70 %
BAM.PR.R	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 5.60 %
BAM.PR.T	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 5.44 %
BMO.PR.T	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 4.93 %
PWF.PR.P	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 13.48 Evaluated at bid price : 13.48 Bid-YTW : 4.59 %
RY.PR.Z	FixedReset	-2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 4.74 %
BNS.PR.P	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 4.41 %
FTS.PR.K	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 16.21 Evaluated at bid price : 16.21 Bid-YTW : 4.87 %
BMO.PR.S	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 4.81 %
W.PR.H	Perpetual-Discount	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 22.44 Evaluated at bid price : 22.70 Bid-YTW : 6.09 %
GWO.PR.Q	Deemed-Retractible	-1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.19 Bid-YTW : 6.88 %
TD.PF.B	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 16.87 Evaluated at bid price : 16.87 Bid-YTW : 4.86 %
TD.PF.A	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 16.94 Evaluated at bid price : 16.94 Bid-YTW : 4.85 %
CM.PR.O	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.89 %
CU.PR.E	Perpetual-Discount	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 5.92 %
BMO.PR.W	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 4.95 %
BIP.PR.A	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.81 %
SLF.PR.I	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.83 Bid-YTW : 8.25 %
CU.PR.G	Perpetual-Discount	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 5.82 %
FTS.PR.M	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 5.01 %
CU.PR.F	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.83 %
TRP.PR.C	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 11.33 Evaluated at bid price : 11.33 Bid-YTW : 5.33 %
BAM.PF.E	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.46 %
TRP.PR.B	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 10.99 Evaluated at bid price : 10.99 Bid-YTW : 4.92 %
BAM.PR.Z	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 5.40 %
TD.PF.D	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.92 %
GWO.PR.H	Deemed-Retractible	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.78 Bid-YTW : 7.47 %
GWO.PR.P	Deemed-Retractible	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.86 Bid-YTW : 6.73 %
IFC.PR.C	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.79 Bid-YTW : 8.14 %
MFC.PR.C	Deemed-Retractible	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 8.13 %
CU.PR.C	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.67 %
SLF.PR.D	Deemed-Retractible	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 8.20 %
MFC.PR.I	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.16 Bid-YTW : 7.50 %
POW.PR.B	Perpetual-Discount	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 5.95 %
GWO.PR.M	Deemed-Retractible	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.51 Bid-YTW : 6.16 %
SLF.PR.J	FloatingReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.15 Bid-YTW : 9.66 %
SLF.PR.E	Deemed-Retractible	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.33 Bid-YTW : 8.09 %
TD.PF.F	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 21.71 Evaluated at bid price : 22.00 Bid-YTW : 5.57 %
MFC.PR.B	Deemed-Retractible	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.67 Bid-YTW : 8.05 %
BAM.PR.M	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 6.05 %
SLF.PR.C	Deemed-Retractible	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.15 Bid-YTW : 8.16 %
BNS.PR.B	FloatingReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.08 Bid-YTW : 4.94 %
MFC.PR.J	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.45 Bid-YTW : 7.71 %
VNR.PR.A	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 5.25 %
TRP.PR.G	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 5.40 %
HSE.PR.E	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 22.16 Evaluated at bid price : 22.75 Bid-YTW : 4.89 %
TRP.PR.D	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 5.28 %
MFC.PR.H	FixedReset	1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.46 Bid-YTW : 6.85 %
GWO.PR.N	FixedReset	3.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.76 Bid-YTW : 9.72 %
RY.PR.I	FixedReset	4.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 4.91 %
MFC.PR.F	FixedReset	5.19 %	Wow! The issue traded 26,035 shares in a range of 13.37-14.69 and closed at 14.40-69, 218×30. It caught an enormous bid after about 2:30pm. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.40 Bid-YTW : 9.44 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PR.N	Perpetual-Discount	111,699	RBC crossed 104,800 at 19.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 19.93 Evaluated at bid price : 19.93 Bid-YTW : 6.02 %
RY.PR.J	FixedReset	99,357	RBC crossed blocks of 14,800 shares, 32,400 and 25,000, all at 18.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 5.01 %
RY.PR.M	FixedReset	87,709	Anonymous crossed 10,900 at 18.20; RBC crossed 52,400 at 17.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 4.98 %
GWO.PR.N	FixedReset	66,416	Scotia crossed 21,100 at 13.55. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.76 Bid-YTW : 9.72 %
TD.PF.D	FixedReset	65,381	Desjardins crossed 40,000 at 18.68. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.92 %
MFC.PR.H	FixedReset	57,353	Nesbitt crossed 48,200 at 20.33. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.46 Bid-YTW : 6.85 %
There were 70 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
HSB.PR.C	Deemed-Retractible	Quote: 22.88 – 24.72 Spot Rate : 1.8400 Average : 1.0510 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.88 Bid-YTW : 6.86 %
TRP.PR.E	FixedReset	Quote: 16.50 – 17.95 Spot Rate : 1.4500 Average : 0.9180 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.24 %
MFC.PR.K	FixedReset	Quote: 15.86 – 16.60 Spot Rate : 0.7400 Average : 0.5186 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.86 Bid-YTW : 9.43 %
W.PR.J	Perpetual-Discount	Quote: 23.10 – 23.70 Spot Rate : 0.6000 Average : 0.3896 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 6.09 %
POW.PR.G	Perpetual-Discount	Quote: 23.50 – 24.19 Spot Rate : 0.6900 Average : 0.4919 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-14 Maturity Price : 23.12 Evaluated at bid price : 23.50 Bid-YTW : 5.98 %
TD.PR.S	FixedReset	Quote: 23.00 – 23.49 Spot Rate : 0.4900 Average : 0.3163 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.34 %

Singapore is being affected by low growth in Asia:

Singapore’s central bank eased monetary policy for the second time this year as the economy narrowly avoided a technical recession, saying weakening prospects for global growth will pose “headwinds” in the coming months.

The Monetary Authority of Singapore, which uses the currency rather than interest rates as its main policy tool, said Wednesday it will reduce “slightly” the pace of appreciation in the local dollar versus those of its trading partners. Gross domestic product unexpectedly rose an annualized 0.1 percent in the three months through September from the previous quarter, when it shrank a revised 2.5 percent, the trade ministry said in a separate statement.

“The Singapore economy is projected to expand at a modest pace in 2015 and 2016, with growth slightly weaker than earlier envisaged,” the central bank said. “The subdued global growth will exert a drag on the external-oriented sectors in Singapore in the quarters ahead.”

On a brighter note, today we learned what millennials do at the office all day, which has heretofore been very mysterious:

Last year, Playboy.com cleaned up its website to make it “safe for work,” and has since seen its monthly unique Web visitors rise fivefold. The median age of those visitors dropped to 30 years-old from 47 as a result — “an attractive demographic for advertisers,” the company said.

Of all the do-gooder strategies ever devised, there has never been anything as cruel as income-geared pricing. This mechanism traps the poor inextricably in their circumstances, since any incremental improvements they can make to income – by getting a slightly better job, or by working slightly more hours – will immediately be taxed away by reduction of benefits. So, naturally, guess what Toronto City Council is plotting?

As the TTC board contemplates another New Year’s fare increase — the seventh in as many years — there’s growing concern that the rising cost of transportation is eating through the empty pockets of its neediest riders at a disproportionate rate.

Many cities offer an income-based concession pass. Is it time for Toronto to do the same?

Still, it was nice to see Canadian preferred share investors waving the flag today:

It was a hideous day for the Canadian preferred share market, with PerpetualDiscounts off 27bp, FixedResets losing a stunning 186bp and DeemedRetractibles down 31bp. An extraordinarily long Performance Highlights table is dominated by losing FixedResets, as might be expected. Volume was extremely high.

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

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

Here’s TRP:

Implied Volatility remained ridiculous.

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 14.83 to be $0.52 rich, while TRP.PR.D, resetting 2019-4-30 at +238, is $0.61 cheap at its bid price of 15.86.

Implied Volatility re-established itself at higher levels today following the precipitous decline on Friday.

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 13.69 to be 0.59 rich, while MFC.PR.K resetting at +222bp on 2018-9-19, is bid at 16.01 to be 0.74 cheap.

The fit on the BAM issues continues to be horrible!

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.92 to be $0.82 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 19.01 and appears to be $0.69 rich.

Implied Volatility edged up again today and is ridiculously high.

FTS.PR.K, with a spread of +205bp, and bid at 16.51, looks $0.23 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.16 and is $0.46 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.58%, with four outliers above 0.00% and none below -2.00%. The distribution is bimodal, with bank NVCC non-compliant pairs averaging -0.90% and other issues averaging -0.13%. There are three junk outliers above 0.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.3640 %	1,589.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.3640 %	2,779.0
Floater	4.67 %	4.72 %	63,636	16.03	3	0.3640 %	1,689.6
OpRet	0.00 %	0.00 %	0	0.00	0	-0.3399 %	2,754.7
SplitShare	4.35 %	5.28 %	73,962	2.99	5	-0.3399 %	3,228.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3399 %	2,518.8
Perpetual-Premium	5.99 %	6.03 %	59,538	13.89	5	-0.7537 %	2,430.0
Perpetual-Discount	5.78 %	5.84 %	79,185	14.12	33	-0.2720 %	2,465.8
FixedReset	5.46 %	4.97 %	195,954	14.70	76	-1.8643 %	1,867.7
Deemed-Retractible	5.36 %	5.38 %	102,075	5.46	33	-0.3074 %	2,486.6
FloatingReset	2.66 %	4.76 %	65,454	5.82	9	0.0867 %	2,048.1

Performance Highlights
Issue	Index	Change	Notes
RY.PR.I	FixedReset	-6.19 %	Not real. The issue traded 6,499 shares today in a range of 23.10-42 before closing at 21.81-23.42 (!). There were three trades in the last ten minutes at 23.10, totalling 2,500 shares. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.81 Bid-YTW : 5.76 %
MFC.PR.H	FixedReset	-6.17 %	Real enough! The issue traded 10,477 shares in a range of 20.01-21.68 before closing at 20.06-25. There were eleven trades in the market’s last hour, totalling 3,040 shares, in a range of 20.23-26. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.06 Bid-YTW : 7.12 %
MFC.PR.M	FixedReset	-5.52 %	Reasonably real. The issue traded 17,011 shares today in a range of 17.26-10 before closing at 17.11-42. There were seven trades in the last ten minutes, totalling 1,300 shares, in a range of 17.26-47. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.11 Bid-YTW : 8.67 %
GWO.PR.N	FixedReset	-5.21 %	Real! The issue traded 92,216 shares in a range of 13.30-93 before closing at 13.27-30. It looks like the market just ran of bids … there were at least eighteen trades totalling 38,800 shares timestamped between 3:35 and 3:43, then there was a pause, then seven trades totalling 2,200 shares timestamped at 3:58-3:59 in a range of 13.30-48. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.27 Bid-YTW : 10.20 %
TD.PF.C	FixedReset	-5.03 %	Real enough! The issue traded 21,902 shares in a range of 16.55-50 before closing at 16.63-94. There were 7 trades in the last six minutes, five of them totalling 933 shares at or below 16.62, two of them totalling 200 shares at or above 16.94. On a more reasonable day for the market I would fault the market-maker for allowing a spread of almost 2%, but on a day like this … I’ll give him a pass. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 16.63 Evaluated at bid price : 16.63 Bid-YTW : 4.91 %
IAG.PR.G	FixedReset	-4.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.72 Bid-YTW : 7.73 %
CM.PR.P	FixedReset	-4.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 4.91 %
SLF.PR.I	FixedReset	-4.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.10 Bid-YTW : 8.04 %
MFC.PR.L	FixedReset	-4.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.93 Bid-YTW : 9.48 %
MFC.PR.N	FixedReset	-4.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.47 %
NA.PR.W	FixedReset	-3.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 4.95 %
TD.PF.B	FixedReset	-3.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.78 %
NA.PR.S	FixedReset	-3.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 16.97 Evaluated at bid price : 16.97 Bid-YTW : 5.05 %
PWF.PR.T	FixedReset	-3.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 4.52 %
TD.PF.A	FixedReset	-3.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 4.77 %
CM.PR.O	FixedReset	-3.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 4.81 %
VNR.PR.A	FixedReset	-3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 5.31 %
BMO.PR.W	FixedReset	-3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 4.87 %
MFC.PR.K	FixedReset	-3.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.01 Bid-YTW : 9.30 %
TD.PR.S	FixedReset	-3.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.09 Bid-YTW : 4.27 %
IFC.PR.C	FixedReset	-3.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.02 Bid-YTW : 7.96 %
BMO.PR.Z	Perpetual-Discount	-2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 22.10 Evaluated at bid price : 22.43 Bid-YTW : 5.67 %
TRP.PR.C	FixedReset	-2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 11.49 Evaluated at bid price : 11.49 Bid-YTW : 5.25 %
BMO.PR.S	FixedReset	-2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.72 %
NA.PR.Q	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.92 %
BIP.PR.A	FixedReset	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.72 %
RY.PR.H	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.70 %
BMO.PR.Y	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 18.67 Evaluated at bid price : 18.67 Bid-YTW : 5.01 %
MFC.PR.G	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.31 Bid-YTW : 7.35 %
BMO.PR.M	FixedReset	-2.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 4.10 %
RY.PR.Z	FixedReset	-2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 4.64 %
IGM.PR.B	Perpetual-Premium	-2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 23.96 Evaluated at bid price : 24.25 Bid-YTW : 6.09 %
FTS.PR.G	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 16.16 Evaluated at bid price : 16.16 Bid-YTW : 4.92 %
RY.PR.W	Perpetual-Discount	-1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 21.98 Evaluated at bid price : 22.21 Bid-YTW : 5.59 %
TRP.PR.G	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 5.48 %
MFC.PR.F	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.69 Bid-YTW : 10.11 %
MFC.PR.I	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.39 Bid-YTW : 7.33 %
FTS.PR.K	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.78 %
BMO.PR.T	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 4.82 %
TD.PF.E	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.86 %
BAM.PF.E	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 17.24 Evaluated at bid price : 17.24 Bid-YTW : 5.38 %
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 : 18.25 Bid-YTW : 7.86 %
SLF.PR.A	Deemed-Retractible	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.30 Bid-YTW : 7.69 %
BAM.PF.G	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 5.19 %
POW.PR.G	Perpetual-Discount	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 23.23 Evaluated at bid price : 23.63 Bid-YTW : 5.94 %
SLF.PR.H	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.76 Bid-YTW : 9.18 %
MFC.PR.B	Deemed-Retractible	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.89 Bid-YTW : 7.88 %
BAM.PF.B	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 5.39 %
RY.PR.M	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.95 %
SLF.PR.B	Deemed-Retractible	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.53 Bid-YTW : 7.58 %
BAM.PF.A	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 5.28 %
IFC.PR.A	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.03 Bid-YTW : 9.81 %
CU.PR.D	Perpetual-Discount	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 5.83 %
BNS.PR.D	FloatingReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.61 Bid-YTW : 6.32 %
HSE.PR.A	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 13.15 Evaluated at bid price : 13.15 Bid-YTW : 5.08 %
TD.PF.F	Perpetual-Discount	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 21.96 Evaluated at bid price : 22.25 Bid-YTW : 5.51 %
BNS.PR.P	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.63 Bid-YTW : 4.08 %
SLF.PR.D	Deemed-Retractible	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.33 Bid-YTW : 8.03 %
RY.PR.L	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 4.41 %
BNS.PR.R	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 4.27 %
CU.PR.C	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 4.61 %
SLF.PR.C	Deemed-Retractible	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.35 Bid-YTW : 8.01 %
BNS.PR.Q	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.34 Bid-YTW : 4.29 %
MFC.PR.C	Deemed-Retractible	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.54 Bid-YTW : 7.96 %
CU.PR.H	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 22.51 Evaluated at bid price : 22.83 Bid-YTW : 5.85 %
BAM.PF.D	Perpetual-Discount	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 20.49 Evaluated at bid price : 20.49 Bid-YTW : 6.04 %
TRP.PR.D	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 15.86 Evaluated at bid price : 15.86 Bid-YTW : 5.37 %
HSE.PR.E	FixedReset	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 21.96 Evaluated at bid price : 22.43 Bid-YTW : 4.97 %
SLF.PR.J	FloatingReset	5.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.30 Bid-YTW : 9.51 %

Volume Highlights
Issue	Index	Shares Traded	Notes
GWO.PR.N	FixedReset	92,216	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.27 Bid-YTW : 10.20 %
BAM.PF.H	FixedReset	70,006	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 23.14 Evaluated at bid price : 24.98 Bid-YTW : 4.96 %
CM.PR.P	FixedReset	51,217	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 4.91 %
BMO.PR.Z	Perpetual-Discount	48,707	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 22.10 Evaluated at bid price : 22.43 Bid-YTW : 5.67 %
CM.PR.Q	FixedReset	37,747	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 4.78 %
FTS.PR.M	FixedReset	35,691	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 4.93 %
There were 65 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
RY.PR.I	FixedReset	Quote: 21.81 – 23.00 Spot Rate : 1.1900 Average : 0.7621 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.81 Bid-YTW : 5.76 %
IAG.PR.G	FixedReset	Quote: 18.72 – 19.35 Spot Rate : 0.6300 Average : 0.4000 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.72 Bid-YTW : 7.73 %
CU.PR.D	Perpetual-Discount	Quote: 21.33 – 21.85 Spot Rate : 0.5200 Average : 0.3449 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 5.83 %
TD.PF.D	FixedReset	Quote: 18.80 – 19.39 Spot Rate : 0.5900 Average : 0.4502 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.85 %
PWF.PR.G	Perpetual-Premium	Quote: 24.50 – 24.94 Spot Rate : 0.4400 Average : 0.3011 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-13 Maturity Price : 24.21 Evaluated at bid price : 24.50 Bid-YTW : 6.03 %
PVS.PR.B	SplitShare	Quote: 24.31 – 24.74 Spot Rate : 0.4300 Average : 0.2925 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.31 Bid-YTW : 5.47 %