PrefBlog

Market Action

January 22, 2016

Yeah, so it was a Friday to be remembered:

Oil prices surged as much as 10 per cent on Friday, one of the biggest daily rallies ever, as bearish traders who had taken out record short positions scrambled to close them, betting the market’s long rout may finally be over.

The onset of a massive snowstorm on the U.S. East Coast sent heating oil up more than 10 per cent. This helped fuel a 15 per cent gain in crude prices over two days, reversing nearly half of the relentless, fund-driven selloff that had pushed crude below $30 (U.S.) a barrel for the first time in 12 years.

… and headline inflation and retail sales both rose:

Canadians are still buying new cars and vegetables even as they become more expensive, supporting the central bank’s view the economy will recover from a commodity crash without further interest-rate cuts.

December inflation climbed at the fastest pace in a year at 1.6 per cent, led by double-digit gains for fruit and vegetables and a reduced drag from gasoline, Ottawa-based Statistics Canada said Friday. The agency also reported retail sales rose 1.7 per cent in November, almost triple the highest estimate in a Bloomberg economist survey
…
Fresh fruit and vegetable prices rose 13 per cent in December from a year earlier, pushing up total food costs 3.7 per cent. Most fresh produce is imported from the U.S. or Latin America during winter. Canada’s dollar fell 16 per cent last year versus the U.S. currency.

… which made it a hot day for equities:

The Standard & Poor’s/TSX Index jumped 2.9 percent to 12,389.58 at 4 p.m. in Toronto, capping the gauge’s first weekly gain of the year. Nine of the index’s 10 main industries rose more than 1.1 percent, with energy, utility and industrial shares the biggest gainers. The S&P/TSX, which entered a bear market two weeks ago, fell on Wednesday to its lowest level since August 2012. It’s down 4.8 percent in 2016.

Canada joined a rebound among global equities sparked by speculation the European Central Bank and Bank of Japan are poised to add to stimulus at the same time China reassured investors it would do more to damp volatility. Crude oil surged 8.9 percent, bringing its two-day increase past 20 percent.
…
All but one of the 55 companies in the S&P/TSX energy index rose as the gauge climbed 5.5 percent. Baytex Energy Corp. surged 15 percent, while Paramount Resources Ltd. and Enerplus Corp. climbed at least 9.3 percent. Penn West Petroleum Ltd. rose 15 percent to the highest level in more than two weeks.

And as for preferred shares …

s_fireworks_at_the_2013_Celebration_of_Light_in_Vancouver,_BC

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The Canadian preferred share market had a superb day today, with PerpetualDiscounts gaining 193bp, FixedResets winning 328bp and DeemedRetractibles up 223bp. The Performance Highlights table is ridiculous. 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:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.72 to be $1.00 rich, while TRP.PR.B, resetting 2020-6-30 at +128, is $0.82 cheap at its bid price of 9.52.

Click for Big

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 17.00 to be 0.81 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.68 to be 0.82 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.43 to be $1.88 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 19.45 and appears to be $1.33 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 15.75, looks $0.50 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.17 and is $0.48 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.31%, with two outliers below -1.00%. There are five junk outliers below -1.00% and one above +1.00%

Click for Big

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.28 %	6.43 %	21,005	16.13	1	4.0486 %	1,473.4
FixedFloater	7.63 %	6.66 %	30,560	15.64	1	2.0492 %	2,605.5
Floater	4.81 %	4.96 %	75,045	15.58	4	1.6542 %	1,590.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.0767 %	2,692.7
SplitShare	4.91 %	6.68 %	78,140	2.72	6	0.0767 %	3,151.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0767 %	2,458.5
Perpetual-Premium	5.93 %	5.88 %	92,778	13.98	6	1.3403 %	2,489.4
Perpetual-Discount	5.89 %	5.86 %	102,418	14.11	33	1.9332 %	2,447.4
FixedReset	5.73 %	4.94 %	245,812	14.89	83	3.2774 %	1,801.1
Deemed-Retractible	5.32 %	5.94 %	132,488	6.93	34	2.2257 %	2,538.1
FloatingReset	2.77 %	4.75 %	62,927	5.60	13	2.4144 %	2,007.7

Performance Highlights
Issue	Index	Change	Notes
BIP.PR.B	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.71 Evaluated at bid price : 22.10 Bid-YTW : 6.31 %
PWF.PR.K	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.86 %
BMO.PR.L	Deemed-Retractible	1.26 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-25 Maturity Price : 25.25 Evaluated at bid price : 25.77 Bid-YTW : 2.31 %
RY.PR.B	Deemed-Retractible	1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.08 Bid-YTW : 5.37 %
RY.PR.F	Deemed-Retractible	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.92 Bid-YTW : 5.25 %
IGM.PR.B	Perpetual-Premium	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.77 Evaluated at bid price : 24.21 Bid-YTW : 6.11 %
BMO.PR.Z	Perpetual-Discount	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 22.04 Evaluated at bid price : 22.34 Bid-YTW : 5.68 %
RY.PR.A	Deemed-Retractible	1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.26 %
RY.PR.O	Perpetual-Discount	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.70 Evaluated at bid price : 21.99 Bid-YTW : 5.56 %
PWF.PR.A	Floater	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 11.05 Evaluated at bid price : 11.05 Bid-YTW : 4.33 %
BNS.PR.O	Deemed-Retractible	1.40 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-04-27 Maturity Price : 25.25 Evaluated at bid price : 25.39 Bid-YTW : 2.85 %
RY.PR.E	Deemed-Retractible	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.96 Bid-YTW : 5.27 %
CU.PR.H	Perpetual-Discount	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.98 Evaluated at bid price : 22.26 Bid-YTW : 5.98 %
RY.PR.C	Deemed-Retractible	1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.06 Bid-YTW : 5.29 %
RY.PR.D	Deemed-Retractible	1.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.95 Bid-YTW : 5.27 %
BNS.PR.R	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 5.01 %
BMO.PR.K	Deemed-Retractible	1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.14 Bid-YTW : 5.34 %
TRP.PR.B	FixedReset	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 9.52 Evaluated at bid price : 9.52 Bid-YTW : 5.09 %
GWO.PR.L	Deemed-Retractible	1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 5.94 %
BNS.PR.B	FloatingReset	1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 4.75 %
ELF.PR.F	Perpetual-Discount	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 6.13 %
CU.PR.D	Perpetual-Discount	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 6.03 %
RY.PR.G	Deemed-Retractible	1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.98 Bid-YTW : 5.25 %
CCS.PR.C	Deemed-Retractible	1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.10 Bid-YTW : 7.50 %
BAM.PR.Z	FixedReset	1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 5.16 %
PWF.PR.H	Perpetual-Premium	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 24.25 Evaluated at bid price : 24.54 Bid-YTW : 5.88 %
RY.PR.W	Perpetual-Discount	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 5.50 %
PWF.PR.O	Perpetual-Premium	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 24.26 Evaluated at bid price : 24.76 Bid-YTW : 5.86 %
FTS.PR.F	Perpetual-Discount	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 5.83 %
CU.PR.F	Perpetual-Discount	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.99 %
RY.PR.N	Perpetual-Discount	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.59 Evaluated at bid price : 21.92 Bid-YTW : 5.57 %
CU.PR.G	Perpetual-Discount	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.04 Evaluated at bid price : 19.04 Bid-YTW : 6.01 %
TD.PF.C	FixedReset	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.50 %
CU.PR.E	Perpetual-Discount	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.02 %
W.PR.J	Perpetual-Discount	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 22.00 Evaluated at bid price : 22.23 Bid-YTW : 6.34 %
NA.PR.Q	FixedReset	1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.76 Bid-YTW : 5.81 %
BNS.PR.Y	FixedReset	1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.13 Bid-YTW : 6.53 %
BNS.PR.C	FloatingReset	1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.41 Bid-YTW : 4.89 %
PWF.PR.R	Perpetual-Discount	1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.10 Evaluated at bid price : 23.52 Bid-YTW : 5.86 %
W.PR.H	Perpetual-Discount	2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.78 Evaluated at bid price : 22.02 Bid-YTW : 6.29 %
BAM.PR.G	FixedFloater	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 25.00 Evaluated at bid price : 12.45 Bid-YTW : 6.66 %
BNS.PR.N	Deemed-Retractible	2.06 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 4.24 %
BMO.PR.R	FloatingReset	2.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 4.50 %
BNS.PR.L	Deemed-Retractible	2.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 5.25 %
PWF.PR.F	Perpetual-Discount	2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 22.18 Evaluated at bid price : 22.46 Bid-YTW : 5.86 %
MFC.PR.I	FixedReset	2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.98 Bid-YTW : 8.20 %
PWF.PR.E	Perpetual-Discount	2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.27 Evaluated at bid price : 23.57 Bid-YTW : 5.85 %
RY.PR.L	FixedReset	2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.49 %
TD.PR.Y	FixedReset	2.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 4.65 %
ELF.PR.G	Perpetual-Discount	2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.87 %
BAM.PR.C	Floater	2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 9.45 Evaluated at bid price : 9.45 Bid-YTW : 5.05 %
BNS.PR.M	Deemed-Retractible	2.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 5.22 %
FTS.PR.J	Perpetual-Discount	2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.85 %
BAM.PR.B	Floater	2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 9.62 Evaluated at bid price : 9.62 Bid-YTW : 4.96 %
BAM.PF.B	FixedReset	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.96 %
TD.PR.Z	FloatingReset	2.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.76 Bid-YTW : 4.39 %
POW.PR.C	Perpetual-Premium	2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 5.90 %
GWO.PR.G	Deemed-Retractible	2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 6.63 %
CM.PR.O	FixedReset	2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.56 %
MFC.PR.L	FixedReset	2.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.19 Bid-YTW : 9.18 %
TD.PR.T	FloatingReset	2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 4.27 %
POW.PR.D	Perpetual-Discount	2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 5.83 %
PWF.PR.L	Perpetual-Discount	2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.55 Evaluated at bid price : 21.81 Bid-YTW : 5.86 %
POW.PR.G	Perpetual-Discount	2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.67 Evaluated at bid price : 24.16 Bid-YTW : 5.82 %
GWO.PR.H	Deemed-Retractible	2.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.42 Bid-YTW : 7.11 %
CIU.PR.C	FixedReset	2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 10.46 Evaluated at bid price : 10.46 Bid-YTW : 4.74 %
BAM.PF.D	Perpetual-Discount	2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 6.39 %
BAM.PF.C	Perpetual-Discount	2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.38 %
POW.PR.B	Perpetual-Discount	2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 5.85 %
GWO.PR.I	Deemed-Retractible	2.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.39 Bid-YTW : 7.42 %
MFC.PR.K	FixedReset	2.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.70 Bid-YTW : 9.46 %
BAM.PF.E	FixedReset	2.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.86 %
HSE.PR.C	FixedReset	2.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 13.45 Evaluated at bid price : 13.45 Bid-YTW : 7.37 %
BAM.PR.R	FixedReset	2.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 13.43 Evaluated at bid price : 13.43 Bid-YTW : 5.47 %
BAM.PR.N	Perpetual-Discount	2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 6.33 %
MFC.PR.H	FixedReset	2.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 7.47 %
POW.PR.A	Perpetual-Discount	3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.74 Evaluated at bid price : 24.05 Bid-YTW : 5.86 %
TRP.PR.C	FixedReset	3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 4.81 %
BAM.PR.M	Perpetual-Discount	3.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 6.34 %
BIP.PR.A	FixedReset	3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 6.25 %
GWO.PR.S	Deemed-Retractible	3.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.59 Bid-YTW : 6.16 %
BMO.PR.T	FixedReset	3.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 4.43 %
NA.PR.S	FixedReset	3.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 4.71 %
BMO.PR.S	FixedReset	3.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.52 %
TD.PF.A	FixedReset	3.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.03 Evaluated at bid price : 17.03 Bid-YTW : 4.45 %
CU.PR.I	FixedReset	3.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.27 Evaluated at bid price : 25.30 Bid-YTW : 4.38 %
IFC.PR.A	FixedReset	3.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.56 Bid-YTW : 11.01 %
BAM.PF.G	FixedReset	3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.91 %
GWO.PR.R	Deemed-Retractible	3.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 7.10 %
BAM.PR.X	FixedReset	3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 5.02 %
GWO.PR.Q	Deemed-Retractible	3.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.87 Bid-YTW : 6.50 %
RY.PR.P	Perpetual-Discount	3.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.13 Evaluated at bid price : 23.55 Bid-YTW : 5.55 %
MFC.PR.M	FixedReset	3.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.16 Bid-YTW : 8.57 %
MFC.PR.G	FixedReset	3.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.68 Bid-YTW : 8.35 %
PWF.PR.P	FixedReset	3.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 11.45 Evaluated at bid price : 11.45 Bid-YTW : 4.75 %
RY.PR.Z	FixedReset	3.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 4.33 %
BAM.PR.T	FixedReset	3.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 14.48 Evaluated at bid price : 14.48 Bid-YTW : 5.19 %
RY.PR.I	FixedReset	3.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 5.11 %
GWO.PR.P	Deemed-Retractible	3.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 6.06 %
BNS.PR.Q	FixedReset	3.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.74 Bid-YTW : 4.66 %
NA.PR.W	FixedReset	3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 4.66 %
TD.PF.B	FixedReset	3.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 4.37 %
RY.PR.H	FixedReset	3.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.36 %
TD.PR.S	FixedReset	3.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 4.13 %
MFC.PR.J	FixedReset	3.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.34 Bid-YTW : 8.41 %
MFC.PR.C	Deemed-Retractible	3.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.37 Bid-YTW : 7.46 %
MFC.PR.B	Deemed-Retractible	3.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.74 Bid-YTW : 7.38 %
VNR.PR.A	FixedReset	4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 5.24 %
BAM.PR.E	Ratchet	4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 25.00 Evaluated at bid price : 12.85 Bid-YTW : 6.43 %
SLF.PR.G	FixedReset	4.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.80 Bid-YTW : 10.80 %
BNS.PR.P	FixedReset	4.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 3.88 %
HSE.PR.G	FixedReset	4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 7.30 %
IFC.PR.C	FixedReset	4.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.91 Bid-YTW : 9.45 %
SLF.PR.B	Deemed-Retractible	4.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.56 Bid-YTW : 6.96 %
SLF.PR.E	Deemed-Retractible	4.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.34 Bid-YTW : 7.46 %
SLF.PR.A	Deemed-Retractible	4.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.43 Bid-YTW : 6.99 %
FTS.PR.M	FixedReset	4.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.78 %
HSE.PR.A	FixedReset	4.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 8.55 Evaluated at bid price : 8.55 Bid-YTW : 6.79 %
BMO.PR.W	FixedReset	4.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.46 %
SLF.PR.D	Deemed-Retractible	4.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.18 Bid-YTW : 7.51 %
SLF.PR.C	Deemed-Retractible	4.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.38 Bid-YTW : 7.37 %
HSE.PR.E	FixedReset	4.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 7.46 %
RY.PR.J	FixedReset	4.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 4.65 %
RY.PR.M	FixedReset	4.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 4.60 %
IAG.PR.G	FixedReset	4.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.60 Bid-YTW : 7.62 %
TRP.PR.E	FixedReset	4.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.78 %
GWO.PR.N	FixedReset	4.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.23 Bid-YTW : 11.28 %
TRP.PR.F	FloatingReset	5.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.89 %
TD.PF.D	FixedReset	5.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.60 %
TD.PF.E	FixedReset	5.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.48 %
FTS.PR.K	FixedReset	5.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.59 %
CM.PR.P	FixedReset	5.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.45 %
FTS.PR.G	FixedReset	5.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 15.17 Evaluated at bid price : 15.17 Bid-YTW : 4.80 %
SLF.PR.I	FixedReset	5.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.68 Bid-YTW : 8.92 %
SLF.PR.J	FloatingReset	5.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.01 Bid-YTW : 10.96 %
MFC.PR.N	FixedReset	5.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 8.63 %
BMO.PR.Y	FixedReset	6.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 4.53 %
CU.PR.C	FixedReset	6.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 4.57 %
TRP.PR.G	FixedReset	6.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 5.03 %
CM.PR.Q	FixedReset	6.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 4.57 %
GWO.PR.O	FloatingReset	6.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.00 Bid-YTW : 10.81 %
BNS.PR.D	FloatingReset	6.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.61 Bid-YTW : 6.46 %
TRP.PR.D	FixedReset	7.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.11 Evaluated at bid price : 16.11 Bid-YTW : 4.88 %
BAM.PF.F	FixedReset	7.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.72 %
PWF.PR.T	FixedReset	7.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 3.90 %
TRP.PR.A	FixedReset	11.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 4.78 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.X	FixedReset	796,852	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.09 Evaluated at bid price : 24.84 Bid-YTW : 5.48 %
TD.PF.G	FixedReset	80,725	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.25 Evaluated at bid price : 25.34 Bid-YTW : 5.15 %
HSE.PR.G	FixedReset	75,810	RBC crossed 60,151 at 14.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 7.30 %
SLF.PR.H	FixedReset	55,810	RBC crossed 19,000 at 13.85 and bought 11,000 from TD at 14.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.80 Bid-YTW : 10.79 %
TRP.PR.B	FixedReset	53,570	TD crossed 31,000 at 9.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 9.52 Evaluated at bid price : 9.52 Bid-YTW : 5.09 %
CU.PR.H	Perpetual-Discount	49,831	TD bought blocks of 10,000 shares, 20,000 and 16,300 from National, all at 22.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.98 Evaluated at bid price : 22.26 Bid-YTW : 5.98 %
There were 64 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CM.PR.Q	FixedReset	Quote: 18.77 – 22.00 Spot Rate : 3.2300 Average : 1.9632 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 4.57 %
BAM.PF.A	FixedReset	Quote: 17.95 – 19.24 Spot Rate : 1.2900 Average : 0.8267 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 5.09 %
PWF.PR.S	Perpetual-Discount	Quote: 20.05 – 21.23 Spot Rate : 1.1800 Average : 0.7578 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.02 %
BAM.PF.B	FixedReset	Quote: 17.15 – 18.39 Spot Rate : 1.2400 Average : 0.8353 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.96 %
RY.PR.K	FloatingReset	Quote: 20.86 – 21.95 Spot Rate : 1.0900 Average : 0.7619 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.86 Bid-YTW : 5.41 %
PVS.PR.B	SplitShare	Quote: 23.15 – 23.88 Spot Rate : 0.7300 Average : 0.4479 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.15 Bid-YTW : 7.42 %

Issue Comments

NA.PR.X Soft On Decent Volume

National Bank of Canada has announced:

that it has closed its domestic public offering of non-cumulative 5-year rate reset first preferred shares series 34 (non-viability contingent capital (NVCC)) (the “Series 34 Preferred Shares”). National Bank issued 16 million Series 34 Preferred Shares at a price of $25.00 per share to raise gross proceeds of $400 million.

The offering was underwritten by a syndicate led by National Bank Financial Inc.

The Series 34 Preferred Shares will commence trading on the Toronto Stock Exchange today under the ticker symbol NA.PR.X.

The Series 34 Preferred Shares were issued under a prospectus supplement dated January 15, 2016 to National Bank’s short form base shelf prospectus dated December 1, 2014.

NA.PR.X is a FixedReset, 5.60%+490, announced 2016-1-13. It will be tracked by HIMIPref™ and has been added to the FixedReset subindex.

NA.PR.X traded 796,852 shares today (consolidated exchanges) in a range of 24.65-99 before closing at 24.84-85, 57×31. Vital Statistics are:

NA.PR.X

FixedReset

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.09
Evaluated at bid price : 24.84
Bid-YTW : 5.48 %

A little softness is reasonable, given the wild market action in the time since the announcement. The TXPL price index closed at 597.06 on announcement day, January 13, and at 587.78 today, for a decline of 1.56%. Mind you, this was via a low of 560.24 on January 18, 6.17% below the initial figure … some players might have gotten cold feet!

Implied Volatility analysis is not possible for the NA issues, since there are only three of them including the new issue. However, comparison to today’s analysis for TD shows that the issue is attractively priced. The high level of Implied Volatility leads to the conclusion that there is a high degree of directional bias in the pricing of TD’s NVCC-compliant FixedResets. As this bias recedes (assuming that it ever does!), Implied Volatility will decline, the curve will flatten and the higher-spread issues (most notably the new issues) will significantly outperform the lower-spread issues.

The NA issues are priced very close to the TD curve, with perhaps a slight yield premium.

Note that the NVCC non-compliant issues are so obviously differentiated from the NVCC-compliant ones that they are not included in the calculation, although they are shown in the chart.

On the other hand, the directional bias could be quite right! There will be many among us who think that +490 is an utterly ridiculous spread for solid bank – NVCC or no NVCC – and that spreads will narrow once memories of 2015 fade. Given this particular scenario, the lower-spread issues will shine: a calculation based on projected calculated values of 250bp Spread and 10% Implied Volatility implies that the extant TD NVCC-compliant preferreds will enjoy total capital gains in the area of 35% which, if achieved in a reasonable timeframe, will dwarf the yield advantage of the new issue for which capital gains will be a big fat zero.

So pays yer money and takes yer chances, gents, roll up, roll up! If you think current market conditions are the new normal, you’ll like the new issue. If you think this is a transitory crash, you won’t.

Click for Big

Issue Comments

BNS.PR.Z / BNS.PR.F: 32% Conversion to FloatingReset

The Bank of Nova Scotia has announced:

that 5,184,345 of the 16,360,000 Non-cumulative 5-Year Rate Reset Preferred Shares Series 32 of Scotiabank (the “Preferred Shares Series 32”) have been elected for conversion on February 2, 2016, on a one-for-one basis, into Non-cumulative Floating Rate Preferred Shares Series 33 of Scotiabank (the “Preferred Shares Series 33”). Consequently, on February 2, 2016, Scotiabank will have 11,175,655 Preferred Shares Series 32 and 5,184,345 Preferred Shares Series 33 issued and outstanding. The Preferred Shares Series 32 and Preferred Shares Series 33 will be listed on the Toronto Stock Exchange under the symbols BNS.PR.Z and BNS.PR.F, respectively.

Assiduous Readers will remember that BNS.PR.Z will reset to 2.063%, while the FloatingReset issue, BNS.PR.F, will pay 3-Month T-Bills + 134bp, reset quarterly. I recommended against conversion.

Market Action

January 21, 2016

So much for private equity:

Henry Kravis called it private equity’s golden age. From 2005 to 2007, buyout firms paid fat prices to buy about 20 supersized companies, from Hilton Worldwide Holdings Inc. to Hertz Global Holdings Inc.

Now, a decade later, the results of that debt-fueled spree can be tabulated — and it’s hardly golden. The mega-deals produced mostly mediocre returns, falling well short of the profits that leveraged buyout shops typically seek, according to separate compilations by Bloomberg and asset manager Hamilton Lane Advisors. In more than half the deals — each valued at more than $10 billion — the firms would have been better off if they had put their investors’ money into a stock index fund.
…
The results also pale when compared with the 70 percent median return yielded by all private equity transactions during that period, the Hamilton Lane study shows. That group includes thousands of smaller deals.

On an annualized basis, the largest deals generated a median 4 percent return, according to the Hamilton Lane study, which looked at 25 transactions from the era. The Standard and Poor’s 500 Index, by comparison, returned 7.3 percent a year from the start of 2006 through 2015.

Meanwhile, players are increasing bets on a dovish Fed:

Traders have gone from betting on two Fed increases in the next year — half the pace policy makers signaled last month — to just about one, as inflation expectations have tumbled to multiyear lows and stocks worldwide have crashed. That’s comparable with the market’s predicted pace in 2013 when the Fed started talking about winding down its bond-buying program, according to a Morgan Stanley index.

Judging by futures prices, investors see the fed funds effective rate rising to 0.61 percent by year-end. That’s nearly in line with the 0.62 percent level that would signal one rate increase, assuming the Fed raises its target range by 0.25 percentage point, following liftoff from near zero last month. Futures imply a one-in-five chance the Fed will boost rates at its March meeting, and it’s not until September that the chances exceed a coin flip, data compiled by Bloomberg show.

Preferred share investors were feeling buoyant today!

Click for Big

It was a strong day for the Canadian preferred share market, with PerpetualDiscounts gaining 39bp, FixedResets up 99bp and DeemedRetractibles winning 131bp. The Performance Highlight table was the Performance Highlights table. Volume was very high.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 15.95 to be $1.13 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.44 cheap at its bid price of 17.10.

Click for Big

Most expensive is MFC.PR.M, resetting at +236bp on 2019-12-19, bid at 16.60 to be 0.65 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.10 to be 0.79 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.05 to be $1.85 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 17.20 and appears to be $1.06 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 14.98, looks $0.32 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.42 and is $0.59 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.02%, with no outliers. There are five junk outliers below -1.00%.

Click for Big

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.49 %	6.68 %	21,807	15.82	1	12.7854 %	1,416.0
FixedFloater	7.79 %	6.79 %	29,394	15.48	1	1.1609 %	2,553.1
Floater	4.88 %	5.07 %	75,453	15.38	4	0.0776 %	1,564.4
OpRet	0.00 %	0.00 %	0	0.00	0	0.1257 %	2,690.7
SplitShare	4.91 %	7.03 %	73,934	2.73	6	0.1257 %	3,148.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1257 %	2,456.7
Perpetual-Premium	6.01 %	5.98 %	93,006	13.94	6	0.5501 %	2,456.4
Perpetual-Discount	5.99 %	6.00 %	102,115	13.90	33	0.3852 %	2,400.9
FixedReset	5.91 %	5.09 %	241,674	14.73	82	0.9904 %	1,744.0
Deemed-Retractible	5.42 %	5.88 %	134,105	6.93	34	1.3176 %	2,482.8
FloatingReset	2.84 %	5.04 %	64,133	5.60	13	0.7810 %	1,960.3

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.E	FixedReset	-3.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 13.76 Evaluated at bid price : 13.76 Bid-YTW : 7.81 %
TRP.PR.B	FixedReset	-2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 9.37 Evaluated at bid price : 9.37 Bid-YTW : 5.17 %
HSE.PR.C	FixedReset	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 13.07 Evaluated at bid price : 13.07 Bid-YTW : 7.59 %
BAM.PR.X	FixedReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 12.34 Evaluated at bid price : 12.34 Bid-YTW : 5.20 %
PWF.PR.A	Floater	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 10.90 Evaluated at bid price : 10.90 Bid-YTW : 4.39 %
W.PR.H	Perpetual-Discount	-2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 21.31 Evaluated at bid price : 21.58 Bid-YTW : 6.42 %
W.PR.J	Perpetual-Discount	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 21.57 Evaluated at bid price : 21.83 Bid-YTW : 6.46 %
BAM.PR.B	Floater	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 5.07 %
CIU.PR.C	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 10.18 Evaluated at bid price : 10.18 Bid-YTW : 4.87 %
PWF.PR.T	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 4.21 %
HSE.PR.A	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 8.18 Evaluated at bid price : 8.18 Bid-YTW : 7.10 %
GWO.PR.O	FloatingReset	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.25 Bid-YTW : 11.66 %
PWF.PR.R	Perpetual-Discount	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 22.71 Evaluated at bid price : 23.06 Bid-YTW : 5.98 %
ELF.PR.F	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.24 %
PWF.PR.H	Perpetual-Premium	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 23.86 Evaluated at bid price : 24.11 Bid-YTW : 5.98 %
BNS.PR.C	FloatingReset	1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.24 %
BAM.PR.G	FixedFloater	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 25.00 Evaluated at bid price : 12.20 Bid-YTW : 6.79 %
POW.PR.D	Perpetual-Discount	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.00 %
TRP.PR.D	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 15.03 Evaluated at bid price : 15.03 Bid-YTW : 5.24 %
MFC.PR.L	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.79 Bid-YTW : 9.53 %
BMO.PR.W	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.67 %
VNR.PR.A	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 5.45 %
CM.PR.O	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.58 Evaluated at bid price : 16.58 Bid-YTW : 4.67 %
MFC.PR.F	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.50 Bid-YTW : 12.17 %
IAG.PR.G	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.75 Bid-YTW : 8.27 %
GWO.PR.S	Deemed-Retractible	1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.87 Bid-YTW : 6.60 %
BAM.PF.E	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.01 %
MFC.PR.G	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.10 Bid-YTW : 8.82 %
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 : 23.18 Bid-YTW : 6.57 %
PWF.PR.S	Perpetual-Discount	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.96 %
GWO.PR.Q	Deemed-Retractible	1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.13 Bid-YTW : 6.97 %
FTS.PR.J	Perpetual-Discount	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.99 %
IFC.PR.C	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.25 Bid-YTW : 10.05 %
BAM.PF.A	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 5.10 %
FTS.PR.F	Perpetual-Discount	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.93 %
SLF.PR.H	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.84 %
TD.PF.A	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.60 %
TD.PF.C	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.58 %
TRP.PR.F	FloatingReset	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 10.95 Evaluated at bid price : 10.95 Bid-YTW : 5.14 %
SLF.PR.I	FixedReset	1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.80 Bid-YTW : 9.69 %
NA.PR.S	FixedReset	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.86 %
GWO.PR.G	Deemed-Retractible	1.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.19 Bid-YTW : 6.99 %
CCS.PR.C	Deemed-Retractible	1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 7.74 %
CM.PR.P	FixedReset	1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.16 Evaluated at bid price : 16.16 Bid-YTW : 4.69 %
BNS.PR.P	FixedReset	1.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 4.64 %
SLF.PR.G	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.30 Bid-YTW : 11.34 %
MFC.PR.J	FixedReset	2.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.70 Bid-YTW : 8.94 %
MFC.PR.M	FixedReset	2.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 9.04 %
RY.PR.Z	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 4.50 %
TRP.PR.E	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 5.02 %
GWO.PR.I	Deemed-Retractible	2.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.82 Bid-YTW : 7.83 %
GWO.PR.L	Deemed-Retractible	2.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.26 Bid-YTW : 6.17 %
RY.PR.H	FixedReset	2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.56 %
BMO.PR.T	FixedReset	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.57 %
RY.PR.M	FixedReset	2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.85 %
GWO.PR.H	Deemed-Retractible	2.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.86 Bid-YTW : 7.49 %
GWO.PR.R	Deemed-Retractible	2.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.67 Bid-YTW : 7.57 %
TRP.PR.A	FixedReset	2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 12.55 Evaluated at bid price : 12.55 Bid-YTW : 5.35 %
RY.PR.J	FixedReset	2.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.90 %
W.PR.K	FixedReset	2.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 22.87 Evaluated at bid price : 24.22 Bid-YTW : 5.42 %
MFC.PR.I	FixedReset	2.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.50 %
TRP.PR.H	FloatingReset	2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 9.09 Evaluated at bid price : 9.09 Bid-YTW : 4.41 %
SLF.PR.B	Deemed-Retractible	3.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.66 Bid-YTW : 7.58 %
MFC.PR.B	Deemed-Retractible	3.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.96 Bid-YTW : 7.93 %
SLF.PR.A	Deemed-Retractible	3.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.52 Bid-YTW : 7.62 %
TD.PF.B	FixedReset	3.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 4.54 %
TD.PF.D	FixedReset	3.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.84 %
SLF.PR.D	Deemed-Retractible	3.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.29 Bid-YTW : 8.16 %
FTS.PR.M	FixedReset	3.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.01 %
MFC.PR.C	Deemed-Retractible	3.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.61 Bid-YTW : 8.01 %
BAM.PF.G	FixedReset	4.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 5.08 %
SLF.PR.C	Deemed-Retractible	4.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.48 Bid-YTW : 8.02 %
MFC.PR.H	FixedReset	4.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.88 %
SLF.PR.E	Deemed-Retractible	4.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.49 Bid-YTW : 8.07 %
BAM.PR.K	Floater	6.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 9.15 Evaluated at bid price : 9.15 Bid-YTW : 5.21 %
FTS.PR.H	FixedReset	6.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 12.05 Evaluated at bid price : 12.05 Bid-YTW : 4.47 %
TD.PF.E	FixedReset	7.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.71 %
SLF.PR.J	FloatingReset	7.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.35 Bid-YTW : 11.71 %
BAM.PR.E	Ratchet	12.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 25.00 Evaluated at bid price : 12.35 Bid-YTW : 6.68 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	130,018	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 23.25 Evaluated at bid price : 25.34 Bid-YTW : 5.15 %
RY.PR.Q	FixedReset	93,630	RBC crossed blocks of 29,700 and 10,000, both at 25.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 23.24 Evaluated at bid price : 25.30 Bid-YTW : 5.10 %
BAM.PR.X	FixedReset	49,723	TD crossed 30,000 at 12.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 12.34 Evaluated at bid price : 12.34 Bid-YTW : 5.20 %
HSE.PR.C	FixedReset	47,180	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 13.07 Evaluated at bid price : 13.07 Bid-YTW : 7.59 %
HSE.PR.E	FixedReset	46,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 13.76 Evaluated at bid price : 13.76 Bid-YTW : 7.81 %
RY.PR.Z	FixedReset	42,293	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 4.50 %
There were 60 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.O	FloatingReset	Quote: 11.25 – 20.25 Spot Rate : 9.0000 Average : 5.5256 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.25 Bid-YTW : 11.66 %
PWF.PR.T	FixedReset	Quote: 18.62 – 19.98 Spot Rate : 1.3600 Average : 0.9455 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 4.21 %
GWO.PR.N	FixedReset	Quote: 11.65 – 12.50 Spot Rate : 0.8500 Average : 0.5500 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.65 Bid-YTW : 11.94 %
PWF.PR.P	FixedReset	Quote: 11.07 – 11.76 Spot Rate : 0.6900 Average : 0.4396 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 11.07 Evaluated at bid price : 11.07 Bid-YTW : 4.92 %
PVS.PR.C	SplitShare	Quote: 24.22 – 24.99 Spot Rate : 0.7700 Average : 0.5390 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.22 Bid-YTW : 7.03 %
TD.PR.Y	FixedReset	Quote: 22.20 – 22.97 Spot Rate : 0.7700 Average : 0.5546 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 5.07 %

Issue Comments

BRF.PR.E: Exchange Offer Extended, Minimum Tender Condition Waived

Brookfield Renewable Energy Partners L.P. has announced:

that, in connection with its previously announced offer to exchange each issued and outstanding Class A Preference Share, Series 5 of Brookfield Renewable Power Preferred Equity Inc. (TSX:BRF.PR.E) with an annual dividend rate of 5.00% (collectively, the “Series 5 Preferred Shares”) for one newly issued Class A Preferred Limited Partnership Unit, Series 5 of Brookfield Renewable with an annual distribution rate of 5.59% (the “Exchange Offer”), it has extended the expiry date of the Exchange Offer to 5:00 p.m. (Toronto Time) on February 8, 2016 and waived the Exchange Offer’s minimum tender condition (the “Minimum Tender Condition”). As of 5:00 p.m. (Toronto Time) on January 20, 2016, a total of 2,805,911 Series 5 Preferred Shares have been validly tendered to the Exchange Offer, representing approximately 40.08% of the issued and outstanding Series 5 Preferred Shares.

Following expiry of the Exchange Offer, any and all Series 5 Preferred Shares tendered will be taken up, regardless of how many Series 5 Preferred Shares are tendered, provided that the remaining Exchange Offer conditions have been satisfied or waived and the expiry date of the Exchange Offer has not been further extended. The waiver of the Minimum Tender Condition and the extension of the Exchange Offer enable holders of Series 5 Preferred Shares (the “Series 5 Preferred Shareholders”) who have not yet tendered their Series 5 Preferred Shares to accept the Exchange Offer. All other terms and conditions of the Exchange Offer remain the same. Series 5 Preferred Shareholders who have validly tendered (and not withdrawn) their Series 5 Preferred Shares pursuant to the Exchange Offer need take no further action to accept the Exchange Offer.

The Exchange Offer is being extended pursuant to a second amendment and restatement of Brookfield Renewable’s prospectus supplement dated November 9, 2015, as amended and restated on December 23, 2015, to its short form base shelf prospectus dated May 12, 2015 (the “Second Amended and Restated Prospectus Supplement”). Full details of the Exchange Offer are contained in the Second Amended and Restated Prospectus Supplement, which will be filed with securities regulatory authorities in each of the provinces and territories of Canada and mailed to Series 5 Preferred Shareholders as required under applicable Canadian securities laws on or about January 27, 2016. Copies of the Second Amended and Restated Prospectus Supplement will be available on SEDAR at www.sedar.com and on Brookfield Renewable’s website at www.brookfieldrenewable.com at such time. Series 5 Preferred Shareholders are urged to evaluate carefully all information in the Exchange Offer, including risk factors, and to consult their own investment, tax and legal advisors.

Computershare Investor Services Inc. is the Depositary for the Exchange Offer and D.F. King Canada, a division of CST Investor Services Inc., is the Information Agent. Any questions or requests for assistance concerning the Exchange Offer or further information about tendering to the Exchange Offer should be directed to the Depositary at 1-800-564-6253 (toll free in North America) or 1-514-982-7555, or by e-mail at corporateactions@computershare.com; or to the Information Agent at 1-800-332-4904 (toll free in North America) or 1-201-806-7301, or by e-mail at inquiries@dfking.com.

Copies of the Second Amended and Restated Prospectus Supplement may be obtained free of charge upon request to the Depositary or the Information Agent. Series 5 Preferred Shareholders whose Series 5 Preferred Shares are registered in the name of a broker, investment dealer, bank, trust company or other nominee should contact such nominee for assistance in depositing their Series 5 Preferred Shares to the Exchange Offer.

Assiduous Readers will remember that the original offer was announced 2015-11-9, which was extended 2015-12-21 with a filing thereof appearing on SEDAR on 2015-12-23.

Issue Comments

TRP.PR.C / TRP.PR.I: 9% Conversion to FloatingReset

TransCanada Corporation has announced:

that 1,284,609 of its 14,000,000 fixed rate Cumulative Redeemable First Preferred Shares, Series 5 (Series 5 Shares) have been elected for conversion on a one-for-one basis, into floating rate Cumulative Redeemable First Preferred Shares, Series 6 (Series 6 Shares) effective on February 1, 2016. As a result, on February 1, 2016, TransCanada will have 12,715,391 Series 5 Shares and 1,284,609 Series 6 Shares issued and outstanding. The Series 5 Shares and Series 6 Shares will be listed on the Toronto Stock Exchange under the symbols TRP.PR.C and TRP.PR.I, respectively.

Assiduous Readers will recall that TRP.PR.C will reset to 2.263%; TRP.PR.I is a FloatingReset paying 154bp over 3-Month Bills, reset quarterly. I recommended against conversion.

Issue Comments

PWF.PR.P / PWF.PR.Q: 20% Conversion to Floating Reset

Power Financial Corporation has announced:

that 2,234,515 of its outstanding 11,200,000 Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series P (the “Series P shares”) will be converted on February 1, 2016, on a one-for-one basis, into Non-Cumulative Floating Rate First Preferred Shares, Series Q (the “Series Q shares”) of Power Financial.

As a result, on February 1, 2016, Power Financial will have issued and outstanding 8,965,485 Series P shares and 2,234,515 Series Q shares.

The Series P shares are currently listed on the Toronto Stock Exchange under the symbol PWF.PR.P. The Series Q shares will be listed on the Toronto Stock Exchange under the symbol PWF.PR.Q.

Assiduous Readers will remember that PWF.PR.P will reset to 2.306%; PWF.PR.Q is a FloatingReset that will pay 3-Month T-Bills +160bp, reset quarterly. I recommended against conversion.

Market Action

January 20, 2016

Today’s big news 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 in Canada is evolving broadly as expected. Total CPI inflation remains near the bottom of the Bank’s target range as the disinflationary effects of economic slack and low consumer energy prices are only partially offset by the inflationary impact of the lower Canadian dollar on the prices of imported goods. As all of these factors dissipate, the Bank expects inflation will rise to about 2 per cent by early 2017. Measures of core inflation should remain close to 2 per cent.
….
The Bank projects Canada’s economy will grow by about 1 1/2 per cent in 2016 and 2 1/2 per cent in 2017. The complex nature of the ongoing structural adjustment makes the outlook for demand and potential output highly uncertain. The Bank’s current base case projection shows the output gap closing later than was anticipated in October, around the end of 2017. However, the Bank has not yet incorporated the positive impact of fiscal measures expected in the next federal budget.

All things considered, therefore, the risks to the profile for inflation are roughly balanced. Meanwhile, financial vulnerabilities continue to edge higher, as expected. The Bank’s Governing Council judges that the current stance of monetary policy is appropriate, and the target for the overnight rate remains at 1/2 per cent.

This was good news for some:

The loonie, as the Canadian dollar is known for the image of the aquatic bird on the C$1 coin, gained 0.7 percent to C$1.4476 per U.S. dollar at 3:30 p.m. in Toronto. One Canadian dollar buys about 69 U.S. cents. The loonie reached the cheapest since April 2003 on Wednesday before the rate announcement.

In what may be a harbinger of things to come, Pacific Exploration & Production Corp. (formerly Pacific Rubiales Energy Corp.) has run into serious trouble:

it has elected to utilize the 30 day grace period (the “Grace Period”) pursuant to the indentures governing its 5.625% notes due January 19, 2025 (the “5.625% Notes”) and its 5.375% notes due January 26, 2019 (the “5.375 Notes”, and together with the 5.625% Notes, the “Notes”) rather than make the interest payments due on January 19, 2016 and January 26, 2016, respectively, in connection with these Notes.

Specifically, the following interest payments will not be paid on the scheduled payment dates: (i) U.S.$31.3 million in the aggregate in respect of the 5.625% Notes scheduled to be paid on January 19, 2016; and (ii) U.S.$34.9 million in the aggregate in respect of the 5.375% Notes scheduled to be paid on January 26, 2016 (collectively, the “January Interest Payments”). The Company has elected to use the Grace Period to assess strategic alternatives with respect to its capital structure.

The Company’s current liquidity position is being impacted by the significantly depressed international oil prices. The Company will use the Grace Period to engage with its creditors (including its lenders and holders of each series of the Company’s notes) with a view to making its capital structure more suitable to current market conditions. The Company remains and intends to remain current with its suppliers, trade partners and contractors. Normal operations continue in Colombia and the other jurisdictions within which the Company operates.

The failure to make the January Interest Payments on the scheduled dates does not constitute an Event of Default under the indentures that govern the Notes. In each case, the Company has a 30 day period from the scheduled payment dates to cure the failure to make such payments and the Company reserves the right to make the January Interest Payments prior to the expiry of each Grace Period.

This follows some circling by the vultures:

Harbour Energy, managed by EIG Global Energy Partners (“EIG”), believes that Pacific E&P faces significant near-term insolvency concerns and requires a large infusion of new capital in order to restructure its balance sheet, avoid value-destructive asset-level reorganizations or distressed sales, and degradation of Pacific E&P’s assets through under-investment and deferred maintenance. As of September 30, 2015, Pacific E&P had approximately $5.4 billion of debt outstanding, including $4.10 billion aggregate principal amount of senior bonds that are trading at levels equivalent to approximately thirteen cents on the dollar as of January 13, 2016, indicating that no value remains in its equity. Harbour Energy and EIG are committed to investing in Pacific E&P to ensure that its operations remain intact, partnerships are maintained and, upon restructuring, Pacific E&P is once again positioned for operational excellence and growth.

… with more pressure being added today:

It appears highly unlikely that Pacific E&P will make the deferred interest payments on the 2019 Notes and the 2025 Notes nor make interest payments on the 2021 Notes or the 2023 Notes when due. However, for those that tender, because Harbour Energy’s offer includes all accrued and unpaid interest payments across all four tranches of Notes up to the end of the Company’s 30-day grace period on February 19, 2016 (assuming the company does not file for insolvency prior to that), EIG’s Tender Offer consideration of $175 per $1,000 of principal plus accrued interest is effectively $200.66 per $1,000 of principal on average across all four tranches of Notes.

“With an average effective price of approximately 20.1%, our offer represents a 100% premium over the average 10% bid price where Pacific E&P’s bonds were trading immediately before our offer was launched and when the market expected the Company to make its January interest payments. We believe the Company’s cash position is dire and that the market has underestimated the severity of the situation. …. ”

Added Mr. Thomas, “We are grateful for the bondholders who have already indicated they will tender. We believe our proposal represents the best outcome for Pacific E&P as well as the bondholders as it provides a significant premium and de-risks recovery in a comprehensive and credible way. In our view, a single voice which is prepared to support further growth of the Company in partnership with Pacific E&P’s management and other stakeholders is the only viable solution.”

Meanwhile, preferred share investors were treated to another day of watching the market:

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It was a grim day for the Canadian preferred share market, with PerpetualDiscounts off 118bp, FixedResets losing 205bp and DeemedRetractibles down 163bp. The Performance Highlights table is ridiculous. Volume was extremely high.

Here’s TRP:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 15.61 to be $0.92 rich, while TRP.PR.A, resetting 2019-12-31 at +192, is $0.52 cheap at its bid price of 12.21.

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Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 15.60 to be 0.73 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.85 to be 0.75 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.05 to be $1.63 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.95 and appears to be $1.02 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 14.89, 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 14.30 and is $0.34 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.04%, with no outliers. There are two junk outliers below -1.00% and one above 1.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	6.19 %	7.49 %	22,797	14.87	1	-11.6935 %	1,255.5
FixedFloater	7.88 %	6.87 %	30,509	15.40	1	-3.5200 %	2,523.8
Floater	4.89 %	4.99 %	76,197	15.53	4	0.2074 %	1,563.1
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0837 %	2,687.3
SplitShare	4.92 %	6.83 %	68,931	2.73	6	-0.0837 %	3,144.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0837 %	2,453.6
Perpetual-Premium	6.04 %	6.07 %	85,813	13.81	6	-0.8657 %	2,443.0
Perpetual-Discount	6.01 %	6.06 %	101,126	13.80	33	-1.1848 %	2,391.7
FixedReset	5.97 %	5.12 %	243,510	14.59	82	-2.0519 %	1,726.9
Deemed-Retractible	5.49 %	5.94 %	132,717	6.92	34	-1.6340 %	2,450.5
FloatingReset	2.86 %	5.19 %	64,247	5.60	13	-1.4756 %	1,945.1

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.J	FloatingReset	-11.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 10.58 Bid-YTW : 12.65 %
BAM.PR.E	Ratchet	-11.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 25.00 Evaluated at bid price : 10.95 Bid-YTW : 7.49 %
BAM.PR.K	Floater	-9.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 8.60 Evaluated at bid price : 8.60 Bid-YTW : 5.55 %
FTS.PR.M	FixedReset	-7.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.20 %
FTS.PR.H	FixedReset	-5.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 11.28 Evaluated at bid price : 11.28 Bid-YTW : 4.79 %
HSE.PR.A	FixedReset	-5.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 8.30 Evaluated at bid price : 8.30 Bid-YTW : 6.99 %
TRP.PR.F	FloatingReset	-5.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 5.23 %
HSE.PR.G	FixedReset	-5.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 7.57 %
MFC.PR.K	FixedReset	-5.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.35 Bid-YTW : 9.78 %
SLF.PR.E	Deemed-Retractible	-5.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.62 Bid-YTW : 8.73 %
MFC.PR.L	FixedReset	-5.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.60 Bid-YTW : 9.70 %
HSE.PR.C	FixedReset	-4.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 13.43 Evaluated at bid price : 13.43 Bid-YTW : 7.37 %
SLF.PR.C	Deemed-Retractible	-4.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.64 Bid-YTW : 8.65 %
HSE.PR.E	FixedReset	-4.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 7.56 %
FTS.PR.K	FixedReset	-4.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 14.89 Evaluated at bid price : 14.89 Bid-YTW : 4.87 %
SLF.PR.D	Deemed-Retractible	-4.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.60 Bid-YTW : 8.68 %
SLF.PR.G	FixedReset	-4.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.05 Bid-YTW : 11.62 %
TRP.PR.A	FixedReset	-4.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 12.21 Evaluated at bid price : 12.21 Bid-YTW : 5.51 %
BAM.PF.G	FixedReset	-4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 5.30 %
SLF.PR.A	Deemed-Retractible	-3.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 8.10 %
MFC.PR.F	FixedReset	-3.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.34 Bid-YTW : 12.36 %
RY.PR.M	FixedReset	-3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.84 Evaluated at bid price : 16.84 Bid-YTW : 4.97 %
RY.PR.J	FixedReset	-3.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 5.04 %
BAM.PR.R	FixedReset	-3.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 13.05 Evaluated at bid price : 13.05 Bid-YTW : 5.62 %
SLF.PR.B	Deemed-Retractible	-3.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 8.05 %
BAM.PR.G	FixedFloater	-3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 25.00 Evaluated at bid price : 12.06 Bid-YTW : 6.87 %
IAG.PR.A	Deemed-Retractible	-3.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.99 Bid-YTW : 7.82 %
BAM.PR.C	Floater	-3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 9.33 Evaluated at bid price : 9.33 Bid-YTW : 5.11 %
PWF.PR.S	Perpetual-Discount	-3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 6.05 %
MFC.PR.J	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.35 Bid-YTW : 9.24 %
TD.PF.A	FixedReset	-3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.68 %
TD.PR.S	FixedReset	-3.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 4.91 %
MFC.PR.N	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.92 Bid-YTW : 9.56 %
MFC.PR.M	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.25 Bid-YTW : 9.34 %
BAM.PR.T	FixedReset	-2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 13.99 Evaluated at bid price : 13.99 Bid-YTW : 5.37 %
BMO.PR.Y	FixedReset	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 4.84 %
IFC.PR.C	FixedReset	-2.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 10.28 %
SLF.PR.H	FixedReset	-2.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.50 Bid-YTW : 11.10 %
BIP.PR.B	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 21.55 Evaluated at bid price : 21.87 Bid-YTW : 6.37 %
TD.PF.B	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.70 %
MFC.PR.C	Deemed-Retractible	-2.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.89 Bid-YTW : 8.55 %
SLF.PR.I	FixedReset	-2.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.51 Bid-YTW : 9.95 %
FTS.PR.G	FixedReset	-2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 5.10 %
TD.PR.Y	FixedReset	-2.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 4.90 %
BAM.PR.X	FixedReset	-2.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 12.65 Evaluated at bid price : 12.65 Bid-YTW : 5.06 %
MFC.PR.B	Deemed-Retractible	-2.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.32 Bid-YTW : 8.40 %
BMO.PR.M	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 4.95 %
BAM.PF.C	Perpetual-Discount	-2.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 6.60 %
TRP.PR.B	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 9.64 Evaluated at bid price : 9.64 Bid-YTW : 5.02 %
ELF.PR.F	Perpetual-Discount	-2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 21.17 Evaluated at bid price : 21.17 Bid-YTW : 6.31 %
BAM.PF.F	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.08 %
RY.PR.H	FixedReset	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.67 %
BAM.PR.M	Perpetual-Discount	-2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 6.58 %
BMO.PR.W	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.73 %
BAM.PR.N	Perpetual-Discount	-2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.53 %
GWO.PR.S	Deemed-Retractible	-2.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.54 Bid-YTW : 6.81 %
TD.PF.E	FixedReset	-2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 5.05 %
GWO.PR.R	Deemed-Retractible	-2.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.12 Bid-YTW : 7.96 %
GWO.PR.H	Deemed-Retractible	-2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.31 Bid-YTW : 7.88 %
IGM.PR.B	Perpetual-Premium	-2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 23.58 Evaluated at bid price : 24.00 Bid-YTW : 6.16 %
BNS.PR.P	FixedReset	-2.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.31 Bid-YTW : 5.00 %
GWO.PR.P	Deemed-Retractible	-2.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.84 Bid-YTW : 6.78 %
TD.PF.F	Perpetual-Discount	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.72 %
BAM.PF.B	FixedReset	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.09 %
GWO.PR.I	Deemed-Retractible	-2.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.37 Bid-YTW : 8.15 %
TD.PF.C	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.67 %
FTS.PR.J	Perpetual-Discount	-1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 6.08 %
FTS.PR.F	Perpetual-Discount	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 20.64 Evaluated at bid price : 20.64 Bid-YTW : 6.04 %
BAM.PF.A	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 17.63 Evaluated at bid price : 17.63 Bid-YTW : 5.18 %
BMO.PR.Q	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.20 Bid-YTW : 7.80 %
CCS.PR.C	Deemed-Retractible	-1.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.36 Bid-YTW : 8.02 %
BAM.PF.D	Perpetual-Discount	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 18.84 Evaluated at bid price : 18.84 Bid-YTW : 6.58 %
PWF.PR.P	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 11.05 Evaluated at bid price : 11.05 Bid-YTW : 4.92 %
POW.PR.A	Perpetual-Discount	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 22.95 Evaluated at bid price : 23.22 Bid-YTW : 6.07 %
RY.PR.I	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 5.76 %
RY.PR.Z	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.53 Evaluated at bid price : 16.53 Bid-YTW : 4.61 %
BMO.PR.S	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.70 %
BAM.PF.E	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.08 %
TD.PF.D	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 5.01 %
MFC.PR.I	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.10 Bid-YTW : 8.90 %
BNS.PR.N	Deemed-Retractible	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.65 %
TRP.PR.D	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 5.31 %
RY.PR.L	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.87 Bid-YTW : 4.80 %
TRP.PR.E	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 15.61 Evaluated at bid price : 15.61 Bid-YTW : 5.14 %
POW.PR.B	Perpetual-Discount	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 21.97 Evaluated at bid price : 22.20 Bid-YTW : 6.06 %
MFC.PR.H	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.89 Bid-YTW : 8.50 %
RY.PR.P	Perpetual-Discount	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 22.92 Evaluated at bid price : 23.30 Bid-YTW : 5.77 %
RY.PR.K	FloatingReset	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.84 Bid-YTW : 5.55 %
MFC.PR.G	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.85 Bid-YTW : 9.02 %
TRP.PR.G	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.39 %
CIU.PR.A	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 19.14 Evaluated at bid price : 19.14 Bid-YTW : 6.11 %
NA.PR.Q	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 6.25 %
POW.PR.G	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 22.96 Evaluated at bid price : 23.36 Bid-YTW : 6.02 %
TD.PR.Z	FloatingReset	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 4.73 %
BNS.PR.Q	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.98 Bid-YTW : 5.29 %
W.PR.K	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 22.57 Evaluated at bid price : 23.55 Bid-YTW : 5.59 %
ELF.PR.H	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 21.80 Evaluated at bid price : 22.10 Bid-YTW : 6.26 %
ELF.PR.G	Perpetual-Discount	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 6.05 %
BMO.PR.T	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 4.69 %
CM.PR.P	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 4.78 %
NA.PR.S	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.96 %
RY.PR.N	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 21.58 Evaluated at bid price : 21.90 Bid-YTW : 5.67 %
RY.PR.W	Perpetual-Discount	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 21.76 Evaluated at bid price : 22.01 Bid-YTW : 5.65 %
BNS.PR.Y	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.77 Bid-YTW : 6.87 %
BNS.PR.R	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 5.17 %
GWO.PR.F	Deemed-Retractible	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 6.14 %
BNS.PR.A	FloatingReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.91 Bid-YTW : 4.65 %
GWO.PR.L	Deemed-Retractible	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.69 Bid-YTW : 6.52 %
RY.PR.C	Deemed-Retractible	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 5.64 %
RY.PR.B	Deemed-Retractible	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.92 Bid-YTW : 5.73 %
RY.PR.G	Deemed-Retractible	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.83 Bid-YTW : 5.59 %
BNS.PR.L	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 5.69 %
GWO.PR.Q	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 7.19 %
PVS.PR.E	SplitShare	1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.45 Bid-YTW : 6.83 %
BAM.PR.B	Floater	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 9.56 Evaluated at bid price : 9.56 Bid-YTW : 4.99 %
BAM.PR.Z	FixedReset	1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 5.27 %
PWF.PR.A	Floater	11.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 11.17 Evaluated at bid price : 11.17 Bid-YTW : 4.28 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.E	FixedReset	171,178	TD crossed blocks of 50,000 shares, 30,000 and 10,900, all at 25.32, and another 30,000 at 25.30. CIBC sold 10,000 to anonymous at 25.28. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 23.22 Evaluated at bid price : 25.22 Bid-YTW : 5.10 %
TD.PF.G	FixedReset	154,883	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 23.21 Evaluated at bid price : 25.20 Bid-YTW : 5.19 %
BMO.PR.S	FixedReset	98,794	Scotia crossed 25,000 at 16.99ll Nesbitt crossed 40,000 at 17.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.70 %
RY.PR.Q	FixedReset	98,273	Scotia crossed 30,000 at 25.27. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 23.21 Evaluated at bid price : 25.20 Bid-YTW : 5.12 %
BAM.PR.R	FixedReset	88,196	TD crossed 10,000 at 13.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 13.05 Evaluated at bid price : 13.05 Bid-YTW : 5.62 %
CM.PR.O	FixedReset	76,650	RBC crossed 50,000 at 16.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.36 Evaluated at bid price : 16.36 Bid-YTW : 4.74 %
There were 73 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.E	Ratchet	Quote: 10.95 – 12.91 Spot Rate : 1.9600 Average : 1.2705 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 25.00 Evaluated at bid price : 10.95 Bid-YTW : 7.49 %
BAM.PR.K	Floater	Quote: 8.60 – 9.80 Spot Rate : 1.2000 Average : 0.7410 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 8.60 Evaluated at bid price : 8.60 Bid-YTW : 5.55 %
SLF.PR.J	FloatingReset	Quote: 10.58 – 11.75 Spot Rate : 1.1700 Average : 0.7778 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 10.58 Bid-YTW : 12.65 %
FTS.PR.M	FixedReset	Quote: 16.00 – 17.00 Spot Rate : 1.0000 Average : 0.6606 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.20 %
FTS.PR.H	FixedReset	Quote: 11.28 – 12.10 Spot Rate : 0.8200 Average : 0.5306 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 11.28 Evaluated at bid price : 11.28 Bid-YTW : 4.79 %
TD.PF.E	FixedReset	Quote: 17.40 – 18.40 Spot Rate : 1.0000 Average : 0.7500 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-20 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 5.05 %

Primers

Maker-Taker Fees and Inverse Markets

Tim Kiladze in the Globe introduces us to the concept of ‘inverted markets’:

As high-frequency trading and electronic trading grew, stock exchanges started experimenting with a new model that paid high-frequency traders (HFTs) to post orders on their marketplaces. Known as the “maker-taker” pricing model, traders who removed liquidity, or executed an order and removed it from the marketplace, had to pay a “taker” fee; traders who posted that order got a “maker” rebate.

That’s still the dominant model for Toronto Stock Exchange-listed stocks, but there is incredible growth of a new system, known as an inverted market. It works in the exact opposite fashion. People who execute orders and remove them from the marketplace are given a rebate, while people who post orders have to pay to do so.

The rationale: sometimes there is a plethora of orders sitting around, with 20 different investors looking to unload the same stock at the same price. Of that 20, there may be one who needs to get the sale done immediately, so he or she will be willing to pay a small fee to jump to the front of the line. That’s why inverted markets are also known as “first look” markets.

The number of investors using these orders is growing fast. In January, 2015, inverted markets made up 9 per cent of trading volumes for TSX-listed securities. Now they make up 15 per cent of all trades, according to ITG Canada.

I find the explanation a bit clumsy: the third paragraph implies that a trader can jump the queue in a time-priority stack of orders by paying a fee, which is not the case. The actual reasoning is fairly involved and comes from an Aequitas diatribe titled NOT ALL SPEED BUMP MARKETS ARE CREATED EQUAL:

OPR [Order Protection Rule] has provided a perfect eco-system for those seeking to carry out predatory trading strategies.

An example of such an OPR-enabled predatory trading strategy would be as follows:
1. Place small orders across multiple marketplaces using the speed advantage to set the National Best Bid and Offer (“NBBO”), knowing everyone else will be forced (because of OPR) to trade with these orders first;
2. Use computer algorithms to identify trades from institutional investors or large retail orders, i.e. long-term investors (“LTIs”) that frequently break up orders to reduce market impact;
3. When an LTI order trades with one of these small orders, leverage the speed advantage to receive the information about this trade before the rest of the market;
4. Use this information, and the knowledge that the LTI order will next try to trade orders on other marketplaces (because of OPR), to technologically front-run that incoming LTI order, fade displayed quotes and ultimately trade with the incoming LTI order at a less favourable price to the investor.

…
To understand the impact of inverted markets it is important to ask the following question: who posts orders on a marketplace where they have to pay a fee?
• It is not the cost sensitive retail dealer. Retail dealers will, however, be takers of liquidity on inverted fee model marketplaces because they will have the opportunity to receive a rebate to do so, which they cannot obtain on make/take marketplaces.
• It is typically HFTs that are prepared to pay a fee to post orders for the benefit of interacting with retail flow.

…
There is nothing wrong with any of this as long as the retail dealer can demonstrate best execution.

However, when we take OPR into consideration, we come to the following conclusions:
• It is not retail orders that are being protected on inverted fee model marketplaces but orders from HFTs and other technologically sophisticated intermediaries, which were not the intended beneficiaries of OPR protection.
• With OPR, all trades are required to go to the marketplace with the best prices first (regardless of size), this makes inverted fee model marketplaces the perfect place for predatory traders to post small orders to get the first look at any type of flow and then deploy the type of strategy discussed above.

Incidentally, the Aequitas paper argues in favour of their product being a ‘protected’ market, i.e., subject to the OPR.:

We believe it is possible to build a marketplace where all industry stakeholders can co-exist and flourish. The NEO BookTM was specifically designed to promote and protect liquidity formation to the benefit of all liquidity seeking investors. We believe in fair access and that all liquidity providers should be able to compete on equal terms, regardless if they are HFT firms or institutional or retail investors.

This would no longer be the case if the NEO BookTM were to become an unprotected market, for two reasons:
1. Institutional investors will be at a competitive disadvantage compared to proprietary HFT firms who are in complete control of which market they access, and have the ability to quickly post and cancel their orders on an unprotected displayed marketplace. On the other hand, dealers that trade on behalf of their clients will be hesitant to post client orders on such markets where they are not price-protected and could get traded through. This is due to the lack of a well-defined best execution regime that demonstrably takes into account, monitors and enforces all elements of execution quality.

I have no sympathy whatsoever for this position.

Institutional investors can also be in complete control of which market they access, provided they perform the highly unusual step of thinking about what they are doing. Institutional investors charge their clients fat fees for their expertise, so let’s not spend too much time wailing over their lack thereof.

The second point is entirely dependent upon regulatory vagueness. The solution for regulatory vagueness is regulatory precision, not increasing the complexity of rules and exceptions that have the objective of counterbalancing this incompetence.

However, all this is leading up to a wonderful SEC memorandum on the topic of Maker-Taker Fees on Equities Exchanges:

The purpose of this memorandum is to facilitate an objective assessment of maker-taker fees in the U.S. equity markets by outlining the development of the maker-taker fee model in the U.S. and summarizing the current public debate about its impact on equity market structure. The memorandum will present both the asserted advantages and disadvantages of maker-taker fee structures. Though less frequently the focus of contemporary debate, it is important to note the asserted advantages of the maker-taker fee model. Specifically, some believe the maker-taker model is an important competitive tool for exchanges and directly or indirectly can provide better prices for retail investors. On the other hand, some believe it may exacerbate conflicts of interest between brokers and their customers, contribute to market fragmentation and market complexity through the proliferation of new exchange order types, and undermine price transparency.

I found the discussion of the NASDAQ experiment fascinating:

To test the premise that high access fees may discourage the use of markets that publicly display their posted best bid and offer (“lit markets”), NASDAQ conducted an access fee experiment in which it significantly lowered access fees and rebates in 14 stocks for transactions effected on the NASDAQ Stock Market over a four month period. The NASDAQ Pilot began on February 2, 2015, and lowered the access fee to remove liquidity from $0.003 to $0.0005 and reduced the credit to display liquidity to $0.0004 (such credits otherwise ranged from $0.0015 to $0.00305). NASDAQ’s stated intent in conducting the pilot was to test assertions that high access fees discourage the use of public markets and to generate “much-needed data about the impact of access fees on the level of off-exchange trading and, potentially, on price discovery, trading costs, displayed liquidity and execution quality as well.” NASDAQ provided data and prepared reports of the effects of the pilot that analyzed trading in the 14 stocks compared to a set of similar non-pilot control stocks. With respect to market share, NASDAQ expected offsetting effects, where the lower taker fee would be expected to increase market share and the lower rebate would reduce market share. In the first month of its pilot, NASDAQ observed a 2.9% decrease in market share in the 14 stocks compared to a 0.9% decrease in the control stocks. With respect to displayed liquidity, NASDAQ observed an expected decrease in response to the lower rebate incentive to display on NASDAQ. For example, NASDAQ’s time at the NBBO in the 14 stocks declined 4.9% compared to 0.3% for the control group. NASDAQ’s data thus showed statistically significant effects resulting from significant reductions in the access fees to take liquidity and related credits to post liquidity on NASDAQ in the 14 pilot stocks.

And the effect of maker-taker fees on retail market orders is also discussed:

Another important potential benefit of maker-taker fee structures is that they artificially narrow displayed spreads because the liquidity rebate effectively subsidizes the posting of liquidity. Broker-dealers that today execute virtually all retail marketable order flow off-exchange either match or improve upon the best price displayed on exchanges. Thus, to the extent displayed prices are artificially aggressive, this inures to the benefit of retail investors in the form of improved execution prices.

And in a discussion of the effects of maker-taker on best-execution requirements, inverted markets get a good mention:

For marketable orders, a broker may have an incentive to route to a trading venue that charges low access fees, or so-called “inverted” markets, offering rebates to take liquidity. However, venues with low taker fees (or that pay rebates to takers) generally have lower maker rebates (or impose fees on makers), and as a consequence, all else being equal, such markets would be less attractive to traditional liquidity providers compared to markets that pay a more attractive rebate to post liquidity for a given execution probability and therefore may have less posted liquidity available at the best price. These markets’ pricing structures also may attract sophisticated market participants that are willing to post liquidity on relatively unfavorable terms for the chance that such markets’ high position on taker routing tables will allow traders to interact with the first tranche of a large market order, thus allowing the traders to detect the earliest signs of a potential price move and quickly adjust their quoting or trading strategies on other markets. Accordingly, when a broker routes marketable customer order flow to a low taker fee (or inverted) venue, there is a risk that it actually may impair the execution quality of the customer’s order, particularly for larger institutional orders, if there is a potential for market-moving information leakage.

Again, I have no sympathy for such arguments whatsoever. If an institution is trading stupidly then they – and their clients – will have to pay for their stupidity.

And market complexity is discussed:

Some have suggested that to compete with non-exchange markets, as well as other exchanges, exchanges are motivated to offer the highest rebate to attract liquidity. To fund these rebates, exchanges must charge artificially high taker fees that may approach the access fee cap of $.003 per share. According to this view, within the maker-taker fee structure, where the difference between the highest rebate and highest taker fee approaches $0.006, exchange net trading fee revenues – the difference between taker fee revenues and maker rebate expenses – is generally less than one-tenth that range, between $0.0005 and $0.001 per share. Within this narrow range of net revenues, however, exchanges compete aggressively. The pressure to establish novel and competitive pricing often leads exchanges to modify their pricing frequently, typically on a calendar-month basis, which may add uncertainty and complexity to the marketplace as market participants must regularly update their routing tables to accommodate these frequent pricing changes.

Oh, routing tables must be updated? Trading strategies must be thought through to account for novel and competitive pricing? Well, Boo-Hoo-Hoo. If you’re a big enough trader for this to matter to returns, you’re big enough to think about it. This argument is merely illustrative that the controversy is artificial; it’s merely a means for the entitled private-school crowd to maintain their fat margins without having to compete against the hoi-polloi, who set up shop with not much more than a computer and a brain.

Market Action

January 19, 2016

All eyes are on the BoC policy rate meeting:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Which will make life interesting if downgrades pop:

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

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

Here’s some news for the middle class:

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

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

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

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

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

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

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

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

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

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

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

Updated 2016 Production and Capital Guidance

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

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

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

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

Dividend Update

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

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

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

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

Click for Big

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

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

The overnight news doesn’t look too good!

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

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

Here’s TRP:

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

Click for Big

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

Click for Big

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

Click for Big

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

Click for Big

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

Click for Big

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

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

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

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

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

PrefBlog

January 22, 2016

NA.PR.X Soft On Decent Volume

BNS.PR.Z / BNS.PR.F: 32% Conversion to FloatingReset

January 21, 2016

BRF.PR.E: Exchange Offer Extended, Minimum Tender Condition Waived

TRP.PR.C / TRP.PR.I: 9% Conversion to FloatingReset

PWF.PR.P / PWF.PR.Q: 20% Conversion to Floating Reset

January 20, 2016

Maker-Taker Fees and Inverse Markets

January 19, 2016

Archives

Of Interest