PrefBlog

Holy Smokes, that was a day and a half!

Stocks tumbled around the world, with U.S. equities sinking to their lowest levels since August, and bonds and gold jumped as oil’s plunge below $30 sent markets reeling. Treasuries extended gains as economic data and earnings added to concern that global growth is faltering.

The Dow Jones Industrial Average sank 391 points, European stocks fell into a bear market and the Shanghai Composite Index wiped out gains from an unprecedented state-rescue campaign as global equities added to the worst start to a year on record. Oil touched $29.28 a barrel before closing at a 12-year low. A measure of default risk for junk-rated U.S. companies surged to the highest in three years. Yields on 10-year Treasury notes dipped under 2 percent as doubts grow that the Federal Reserve will raise interest rates. Gold surged the most in six weeks.
…
Figures on retail sales and manufacturing Friday showed the U.S. economy ended the year on a weak note, and the start of 2016 wasn’t any better. Energy firms are laying off workers and currency markets from commodity-producing countries are in turmoil. The slump is also denting the outlook for inflation, causing traders to curb bets on how far the Fed will raise rates this year.
…
The Standard & Poor’s 500 Index plunged 2.2 percent at 4 p.m. in New York. The index fell as much as 3.3 percent before paring the slide in afternoon trading. It still capped a third weekly retreat and closed at the lowest level since Aug. 25, the day that marked the bottom of the summer selloff. U.S. equities markets are closed Monday for a federal holiday.

The gauge has lost 12 percent from its May record, leaving it well short of sliding into a bear market. It capped a third weekly decline, the longest slide since July. The Dow tumbled 2.463 points as none of its 30 members advanced, while small caps added to a bear market.
…
West Texas Intermediate crude fell as much as 6.2 percent, before settling 5.7 percent lower at $29.42 a barrel. Brent fell 5.9 percent to $29.05 a barrel. The discount on global benchmark Brent reached a five-year high as Iran moved closer to restoring exports.
…
The Bloomberg Commodity Index, which measures returns on 22 raw materials, dropped 1.4 percent to the lowest level in data going back to 1991.

Given all that, effects on Canada followed:

The country’s benchmark Standard & Poor’s/TSX Composite Index fell 2.1 percent to 12,073.46 at 4 p.m. in Toronto, undoing Thursday’s rally and resuming a sell-off that’s pulled Canada into a bear market. Stocks plunged 7.2 percent this year and are down about 23 percent from a September 2014 record. The Canadian dollar slumped to a new 13-year low and yields on five-year government bonds fell to a record low of 0.511 percent on Wednesday as speculation builds the Bank of Canada will cut interest rates next week.

Canada’s economy, heavily weighed toward resource industries such as oil and mining, has been rocked by concerns about the slowdown in China that has pushed the price of West Texas Intermediate crude below $30 for the first time since 2003. Prices for Canada’s heavy crude, which trades at a discount to the U.S. benchmark, have sunk to around $15 a barrel.

And TransAlta common got thumped:

TransAlta Corp. slumped after the Alberta electricity generator cut its dividend in preparation for a phase-out of coal power in the province.

The shares fell 9.8 per cent to $3.94 at 11:40 a.m. in Toronto. It initially dropped 14 per cent, the most on an intraday basis since 2008, to a record low.

The quarterly dividend was cut to 4 cents a share from 18 cents, the company said in a release Thursday. Calgary– based TransAlta doesn’t expect to raise equity this year as the reduced dividend will “strengthen its balance sheet.”
…
TransAlta, which has more than 70 power plants in Canada, the U.S. and Australia, said it will negotiate with the government of Alberta to “ensure the company has the certainty and capacity” to invest in clean power.
…
The falling Canadian dollar is making it more expensive to build new wind and gas-powered generators, [TransAlta CEO Dawn] Farrell said. The cost to build new projects with those technologies is more than double the current market price for power of about C$30 a megawatt hour, she said.

Well, hey, maybe the Alberta government will get some advice from Ontario, and buy that Green Power for $90/MWH!

So the SEC is now awarding prizes to short-sale analysts!

The Securities and Exchange Commission today announced a whistleblower award of more than $700,000 to a company outsider who conducted a detailed analysis that led to a successful SEC enforcement action.

“The voluntary submission of high-quality analysis by industry experts can be every bit as valuable as first-hand knowledge of wrongdoing by company insiders,” said Andrew Ceresney, Director of the SEC’s Enforcement Division. “We will continue to leverage all forms of information and analysis we receive from whistleblowers to help better detect and prosecute federal securities law violations.”

No mission creep there, nope, not a bit of it.

On such a day, it is pleasant to think about drones, instead:

In October, a Kentucky judge dismissed criminal charges against a man who had shot down a drone flying over his property. Now the drone’s owner has brought a federal civil suit against the shooter, William Merideth, arguing that the Federal Aviation Administration is in charge of all airspace and that it allows drones to fly over private property.

All this amounts to a legal mess. The law, both state and federal, is still pretty unclear about where you can fly a drone, and what you as a citizen may do if a drone — probably with a camera on board — is hovering above your home.

What’s needed is a comprehensive legal regime that integrates state and federal jurisdictions. I want to propose the outlines of such a legal model, distinguishing what should belong to the feds and what should be within the realm of the states.
…
These features give reason for states to outlaw the use of drones to observe and record people on private property without their consent. Federal control over airways shouldn’t be interpreted to displace state law regulating drones. The federal interest is in flying from place to place, not hovering to get a better view.

Protecting privacy at the state level will allow drones to fly freely without sacrificing the individual’s legitimate interest in being left alone.
…
The slogan for drone regulation should be: Feds to let them fly, states to protect what they see. The balance should let us a benefit from a new technology without sacrificing ourselves to it.

But we can reflect that comparing costs for university education is much like comparing costs for investment advice:

So since 2011, the federal government has required all schools to provide something called a net price calculator on their websites. You put in some financial data, and the calculator estimates what your actual cost would be, after any scholarships. If you aren’t among the very affluent and are applying to a private college, that net price can be tens of thousands of dollars below the list price.

Not long after the calculator became standard, a service called College Abacus emerged, allowing families to compare multiple schools at once. That spared them the laborious task of plugging the same data into multiple calculators many times over.

And how did many colleges respond? By blocking College Abacus’s access to their calculators. Imagine if Expedia or Kayak could not search for tickets on some of the most desirable airlines, and you get the idea.
…
So what’s really going on here? One strong hint comes from a letter that [College Abacus co-founder] Ms. [Abigail] Seldin received from a dean of financial aid. He wrote to her after she sent a mass note last year urging the schools that were blocking her tool to reconsider. She declined to identify him, as she still hopes to win him and others over.

“We are experiencing record student demand, engage families early in financial aid discussions and are meeting our goals,” the dean told her. “Why you think I should open myself up to a purely financial comparison when we are so much more than that, I have no idea. It is probably because you have not sat where I sit. So, kindly cease communication with me.”

However, it seems to me that the preferred share market is signalling something …

It’s ridiculous. Right now the TXPR Total Return Index Value is down about 15.2% month-to-date. Assuming that this holds through to month-end and is reflected in the BMO CM-50 index, then we can conclude that this is the worst month on record: the worst is current November, 2008, at -10.7%, and October, 2008, at -8.2%. So the violence of this drop compared to the worst part of the Credit Crunch, when there were actual Bad Things happening, should give us pause.

We may also observe that such a return would imply that the Canadian preferred share market has experienced a cumulative total return of a big fat zero since July 31, 2009; a time-span of 78 months, which is 6.5 years.

And this assumption allows us to prepare the following graph:

So … assuming there’s no recovery in the second half of the month, we’re due to record the worst 12 months in Canadian preferred market history (well … back to 1993, anyway!) and has a six-and-a-half year cumulative total return that is only a little better than the worst on record. Nice.

Update
While pondering methods of making my Assiduous Readers feel even more terrible, it occurred to me that it’s actually worse than described above. In preparing the chart above, I simply picked the most recent time that the index moved through the estimated January value, but it also broke through this barrier in November, 2005. We may observe that the index’s total cumulative return from November 30, 2005, to [estimated] January month-end, 2016, is very slightly negative (-0.27%), so holding the index for the past 10 years and two months hasn’t made you any money. The previous low for the rolling cumulative 122-month return was reached (perhaps not surprisingly) in November, 2008, when it bottomed out at +7.78%. And this is worse.

It was an appalling day for the Canadian preferred share market, with PerpetualDiscounts down 211bp, FixedResets losing 277bp and DeemedRetractibles off 156bp. I will not discuss the Performance Highlights table. I will not! Volume was incredibly high.

It was yet another big day for DC.PR.C, with 122,599 shares changing hands at a VWAP of 16.92. It would seem that views are being taken! I suspect that current market conditions are making it less likely for the the abusive and debatable Plan of Arrangement to succeed … investors are attempting to cash out, not in!

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 15.00 to be $0.90 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.92 cheap at its bid price of 9.51.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 16.21 to be 0.98 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.25 to be 0.79 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.06 to be $0.91 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.05 and appears to be $0.85 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.30, looks $0.41 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.60 and is $0.69 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.17%, with two outliers below -1.00%. There is one junk outlier below -1.00% and one above 1.00%. Note that today I have shifted the vertical axis of the chart.

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	5.38 %	6.55 %	25,315	16.00	1	-3.1514 %	1,444.7
FixedFloater	7.72 %	6.73 %	29,483	15.57	1	-2.0684 %	2,576.2
Floater	4.71 %	4.86 %	77,910	15.77	4	-1.9785 %	1,622.6
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1949 %	2,691.1
SplitShare	4.91 %	6.50 %	69,578	2.75	6	-0.1949 %	3,149.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1949 %	2,457.1
Perpetual-Premium	6.05 %	6.03 %	85,337	13.86	6	-1.4112 %	2,440.8
Perpetual-Discount	6.03 %	6.06 %	99,102	13.81	34	-2.1090 %	2,394.3
FixedReset	5.96 %	5.41 %	240,878	14.12	82	-2.7720 %	1,728.4
Deemed-Retractible	5.48 %	6.12 %	131,708	6.94	34	-1.5601 %	2,456.7
FloatingReset	3.02 %	5.38 %	65,189	5.58	13	-2.2401 %	1,953.9

Performance Highlights
Issue	Index	Change	Notes
RY.PR.A	Deemed-Retractible	-10.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 7.05 %
FTS.PR.I	FloatingReset	-10.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 10.17 Evaluated at bid price : 10.17 Bid-YTW : 4.67 %
SLF.PR.H	FixedReset	-6.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.66 Bid-YTW : 11.03 %
TRP.PR.F	FloatingReset	-6.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 5.51 %
MFC.PR.K	FixedReset	-6.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.70 %
HSE.PR.G	FixedReset	-6.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 7.30 %
HSE.PR.A	FixedReset	-6.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.15 Evaluated at bid price : 9.15 Bid-YTW : 6.58 %
MFC.PR.N	FixedReset	-6.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.96 Bid-YTW : 9.56 %
BAM.PF.A	FixedReset	-5.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 5.64 %
MFC.PR.F	FixedReset	-5.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.14 Bid-YTW : 11.54 %
PWF.PR.L	Perpetual-Discount	-5.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 6.36 %
W.PR.H	Perpetual-Discount	-5.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 6.69 %
BAM.PF.G	FixedReset	-5.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 5.64 %
TRP.PR.D	FixedReset	-5.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 14.31 Evaluated at bid price : 14.31 Bid-YTW : 5.64 %
TRP.PR.E	FixedReset	-5.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 5.47 %
MFC.PR.I	FixedReset	-5.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.32 Bid-YTW : 8.80 %
MFC.PR.J	FixedReset	-4.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.63 Bid-YTW : 9.07 %
SLF.PR.I	FixedReset	-4.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.80 Bid-YTW : 9.78 %
RY.PR.E	Deemed-Retractible	-4.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.44 Bid-YTW : 5.90 %
MFC.PR.H	FixedReset	-4.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 8.18 %
BAM.PR.T	FixedReset	-4.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 13.36 Evaluated at bid price : 13.36 Bid-YTW : 5.79 %
BAM.PF.F	FixedReset	-4.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.53 %
BNS.PR.Q	FixedReset	-4.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 5.70 %
RY.PR.J	FixedReset	-4.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 5.11 %
RY.PR.M	FixedReset	-4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 5.10 %
BAM.PF.C	Perpetual-Discount	-4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.48 Evaluated at bid price : 18.48 Bid-YTW : 6.64 %
NA.PR.W	FixedReset	-4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.02 Evaluated at bid price : 15.02 Bid-YTW : 5.21 %
TD.PF.A	FixedReset	-4.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.86 %
BAM.PF.B	FixedReset	-4.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.52 %
MFC.PR.G	FixedReset	-4.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.77 %
TRP.PR.B	FixedReset	-4.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.35 Evaluated at bid price : 9.35 Bid-YTW : 5.36 %
IFC.PR.C	FixedReset	-4.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.25 Bid-YTW : 10.14 %
BMO.PR.Y	FixedReset	-4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.76 Evaluated at bid price : 17.76 Bid-YTW : 4.96 %
PWF.PR.P	FixedReset	-4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 11.37 Evaluated at bid price : 11.37 Bid-YTW : 4.98 %
IFC.PR.A	FixedReset	-4.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.20 Bid-YTW : 11.47 %
TRP.PR.G	FixedReset	-3.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.82 %
POW.PR.B	Perpetual-Discount	-3.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 6.28 %
BAM.PF.D	Perpetual-Discount	-3.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 6.60 %
HSE.PR.E	FixedReset	-3.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 7.20 %
NA.PR.Q	FixedReset	-3.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.31 Bid-YTW : 6.25 %
BAM.PR.M	Perpetual-Discount	-3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.53 %
FTS.PR.G	FixedReset	-3.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 5.12 %
BIP.PR.A	FixedReset	-3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 6.38 %
TD.PF.D	FixedReset	-3.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 5.09 %
TD.PR.T	FloatingReset	-3.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.63 Bid-YTW : 5.38 %
SLF.PR.E	Deemed-Retractible	-3.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 8.81 %
TRP.PR.A	FixedReset	-3.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 12.55 Evaluated at bid price : 12.55 Bid-YTW : 5.49 %
BNS.PR.R	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 5.41 %
BAM.PR.N	Perpetual-Discount	-3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 6.52 %
MFC.PR.M	FixedReset	-3.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.69 Bid-YTW : 9.00 %
BMO.PR.M	FixedReset	-3.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.26 Bid-YTW : 5.03 %
W.PR.J	Perpetual-Discount	-3.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.25 Evaluated at bid price : 21.52 Bid-YTW : 6.54 %
FTS.PR.K	FixedReset	-3.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 4.85 %
TRP.PR.C	FixedReset	-3.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.51 Evaluated at bid price : 9.51 Bid-YTW : 5.80 %
BAM.PR.E	Ratchet	-3.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 25.00 Evaluated at bid price : 12.60 Bid-YTW : 6.55 %
MFC.PR.L	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.21 Bid-YTW : 9.20 %
ENB.PR.A	Perpetual-Discount	-2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 6.61 %
SLF.PR.A	Deemed-Retractible	-2.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.56 Bid-YTW : 8.30 %
BAM.PF.E	FixedReset	-2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.49 %
GWO.PR.H	Deemed-Retractible	-2.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.09 Bid-YTW : 8.02 %
RY.PR.P	Perpetual-Discount	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.49 Evaluated at bid price : 23.80 Bid-YTW : 5.65 %
BAM.PR.B	Floater	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.59 Evaluated at bid price : 9.59 Bid-YTW : 4.97 %
HSE.PR.C	FixedReset	-2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 14.27 Evaluated at bid price : 14.27 Bid-YTW : 7.04 %
POW.PR.C	Perpetual-Premium	-2.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.40 Evaluated at bid price : 23.69 Bid-YTW : 6.15 %
BAM.PR.Z	FixedReset	-2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.65 %
RY.PR.W	Perpetual-Discount	-2.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 5.63 %
POW.PR.A	Perpetual-Discount	-2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.12 %
TD.PR.Y	FixedReset	-2.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.14 %
VNR.PR.A	FixedReset	-2.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 5.50 %
ELF.PR.F	Perpetual-Discount	-2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 6.18 %
SLF.PR.G	FixedReset	-2.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.80 Bid-YTW : 10.83 %
BAM.PR.C	Floater	-2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.54 Evaluated at bid price : 9.54 Bid-YTW : 4.99 %
BNS.PR.B	FloatingReset	-2.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 5.47 %
PWF.PR.T	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.34 %
SLF.PR.J	FloatingReset	-2.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.90 Bid-YTW : 11.25 %
BAM.PR.R	FixedReset	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 13.06 Evaluated at bid price : 13.06 Bid-YTW : 5.79 %
BNS.PR.P	FixedReset	-2.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.48 Bid-YTW : 4.90 %
RY.PR.C	Deemed-Retractible	-2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 5.43 %
IAG.PR.G	FixedReset	-2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.75 %
ELF.PR.H	Perpetual-Discount	-2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.97 Evaluated at bid price : 22.33 Bid-YTW : 6.18 %
RY.PR.L	FixedReset	-2.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 5.05 %
GWO.PR.N	FixedReset	-2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.00 Bid-YTW : 11.56 %
TD.PF.E	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 4.93 %
RY.PR.F	Deemed-Retractible	-2.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 5.35 %
PWF.PR.E	Perpetual-Discount	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 22.54 Evaluated at bid price : 22.79 Bid-YTW : 6.05 %
RY.PR.D	Deemed-Retractible	-2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.14 Bid-YTW : 5.33 %
CU.PR.F	Perpetual-Discount	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.10 %
SLF.PR.C	Deemed-Retractible	-2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.76 Bid-YTW : 8.54 %
BAM.PR.G	FixedFloater	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 25.00 Evaluated at bid price : 12.31 Bid-YTW : 6.73 %
BAM.PF.H	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 22.97 Evaluated at bid price : 24.45 Bid-YTW : 5.07 %
RY.PR.G	Deemed-Retractible	-1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 5.32 %
CU.PR.D	Perpetual-Discount	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 6.17 %
BNS.PR.M	Deemed-Retractible	-1.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 5.43 %
TD.PR.Z	FloatingReset	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 5.32 %
NA.PR.S	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 15.78 Evaluated at bid price : 15.78 Bid-YTW : 5.14 %
TD.PF.B	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 4.77 %
PWF.PR.F	Perpetual-Discount	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 6.06 %
RY.PR.H	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.42 Evaluated at bid price : 16.42 Bid-YTW : 4.81 %
GWO.PR.S	Deemed-Retractible	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 6.72 %
SLF.PR.D	Deemed-Retractible	-1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.71 Bid-YTW : 8.58 %
PWF.PR.A	Floater	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 4.27 %
ELF.PR.G	Perpetual-Discount	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 5.93 %
BNS.PR.D	FloatingReset	-1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.80 Bid-YTW : 7.37 %
BMO.PR.Q	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.83 %
RY.PR.K	FloatingReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.99 Bid-YTW : 5.54 %
BMO.PR.Z	Perpetual-Discount	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 22.15 Evaluated at bid price : 22.50 Bid-YTW : 5.63 %
RY.PR.B	Deemed-Retractible	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.33 %
BNS.PR.Y	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.86 Bid-YTW : 6.80 %
BMO.PR.R	FloatingReset	-1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.31 Bid-YTW : 4.95 %
CM.PR.Q	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 4.99 %
IGM.PR.B	Perpetual-Premium	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 24.00 Evaluated at bid price : 24.46 Bid-YTW : 6.03 %
BNS.PR.L	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.35 %
TD.PF.F	Perpetual-Discount	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.68 Evaluated at bid price : 21.96 Bid-YTW : 5.58 %
CU.PR.E	Perpetual-Discount	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 6.13 %
PWF.PR.I	Perpetual-Premium	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 24.44 Evaluated at bid price : 24.68 Bid-YTW : 6.09 %
POW.PR.D	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.07 %
SLF.PR.B	Deemed-Retractible	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 8.03 %
FTS.PR.H	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 4.63 %
GWO.PR.Q	Deemed-Retractible	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 7.21 %
RY.PR.N	Perpetual-Discount	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 21.75 Evaluated at bid price : 22.05 Bid-YTW : 5.63 %
BAM.PR.X	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 5.29 %
PWF.PR.H	Perpetual-Premium	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.52 Evaluated at bid price : 23.79 Bid-YTW : 6.06 %
FTS.PR.J	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 5.94 %
BMO.PR.K	Deemed-Retractible	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 5.42 %
CU.PR.G	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 6.11 %
RY.PR.Q	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.19 Evaluated at bid price : 25.15 Bid-YTW : 5.19 %
MFC.PR.B	Deemed-Retractible	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.56 Bid-YTW : 8.21 %
PWF.PR.G	Perpetual-Premium	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 24.25 Evaluated at bid price : 24.55 Bid-YTW : 6.02 %
CM.PR.P	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.84 %
CU.PR.C	FixedReset	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.95 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	499,908	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.24 Evaluated at bid price : 25.29 Bid-YTW : 5.22 %
BAM.PR.K	Floater	352,668	TD crossed 300,000 at 10.00, then bought 11,100 from Goldman Sachs at 9.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 4.86 %
RY.PR.Q	FixedReset	327,782	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.19 Evaluated at bid price : 25.15 Bid-YTW : 5.19 %
BNS.PR.R	FixedReset	188,436	RBC crossed blocks of 131,300 and 16,000, both at 22.97. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 5.41 %
RY.PR.I	FixedReset	104,453	Scotia crossed 96,300 at 22.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.18 Bid-YTW : 5.42 %
BMO.PR.S	FixedReset	96,836	Scotia crossed 81,900 at 16.61. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.81 %
There were 89 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
RY.PR.A	Deemed-Retractible	Quote: 22.05 – 24.60 Spot Rate : 2.5500 Average : 1.3879 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 7.05 %
PWF.PR.L	Perpetual-Discount	Quote: 20.13 – 21.57 Spot Rate : 1.4400 Average : 0.8962 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 6.36 %
W.PR.H	Perpetual-Discount	Quote: 20.73 – 22.00 Spot Rate : 1.2700 Average : 0.7651 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 6.69 %
RY.PR.E	Deemed-Retractible	Quote: 23.44 – 24.55 Spot Rate : 1.1100 Average : 0.6248 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.44 Bid-YTW : 5.90 %
POW.PR.C	Perpetual-Premium	Quote: 23.69 – 24.81 Spot Rate : 1.1200 Average : 0.6487 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-15 Maturity Price : 23.40 Evaluated at bid price : 23.69 Bid-YTW : 6.15 %
BMO.PR.Q	FixedReset	Quote: 18.25 – 19.25 Spot Rate : 1.0000 Average : 0.5829 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.83 %

Equities had a good bounce today:

U.S. stocks rallied sharply Thursday as a rebound in oil prices allowed the main indexes to claw back much of the steep fall seen in the previous session.

Gains on Wall Street were across the board, but energy shares outperformed all others as crude-oil futures CLG6, -2.44% rose 2.4% to $31.20 a barrel.

Meanwhile, St. Louis Fed President James Bullard’s comment that reaching the inflation target will take longer was said to have invigorated some of the bulls who were betting on a slower pace of interest-rate increases this year.

The S&P 500 index SPX, +1.67% closed up 31.56 points, or 1.7%, at 1,921.84. The S&P 500 energy sector soared 4.5%, while all 10 main sectors advanced. The health care and technology sectors were up 2.7% and 2% respectively.

This happened even with Bullard raising a cautious note:

Federal Reserve Bank of St. Louis President James Bullard, one of the most vocal policy makers in recent months arguing to raise interest rates, sounded a more cautious note Thursday by saying the latest decline in oil prices may delay the return of inflation to the central bank’s 2 percent target.

“With renewed declines in crude oil prices in recent weeks, the associated decline in market-based inflation expectations measures is becoming worrisome,” Bullard, who votes on policy this year, said in a speech in Memphis, Tennessee. While central bankers typically “look through” oil price changes, “one circumstance where one may be more concerned is when inflation expectations themselves begin to change due to the changes in crude oil prices,” he said.
…
Bullard told reporters after his speech that strong U.S. employment would argue that the FOMC’S median projection of rate increases totaling 1 percentage point this year is “about right,” while inflation and price expectations concerns “would tend to push off rate increases.” Bullard said he would put more weight on expectations if they continue to decline.

“Generally speaking, the markets and the committee are not thinking in terms of a January move,” Bullard said. “As far as March, we would want to get more information and see how things play out before we make a judgment.”

The U.S. economy is likely to grow 2.5 percent to 3 percent this year, and recent market volatility is no reason to revise that forecast, he told reporters.

Meanwhile, Assiduous Reader IR brings to my attention the elevated level of US credit spreads (as of January 13):

The cost to protect against defaults by North American investment-grade companies soared to a three-year high as concern lingered over falling commodity prices and financial-market turmoil triggered by China.

The Standard & Poor’s 500 Index was poised for its lowest close since September, halting a global equities rally. The Bloomberg Commodities Index on Tuesday fell to the lowest level since at least 1991 on sluggish demand from developing nations. The benchmark rebounded by 0.3 percent at 3:16 p.m. on Wednesday in New York. While Chinese exports unexpectedly expanded in December in local-currency terms, the world’s second-largest economy is expected to report the slowest annual expansion since 1990 next week.

“The recent noise from the Chinese market and continued pressure on oil has prompted investors to adjust their default expectations upward,” said Ryan Jungk, a Hartford, Connecticut-based credit analyst at Newfleet Asset Management LLC. “Investment grades are not immune from the bearish sentiment.”

The risk premium on the Markit CDX North America Investment Grade Index, which is tied to 125 equally weighted companies, rose five basis points to 103.3, according to prices compiled by Bloomberg. The measure hasn’t closed above 100 since 2012.

Which reminds me, I must thank Assiduous Reader HS for the link to the story about grocery bills and the exchange rate highlighted yesterday. I forgot yesterday – oops!

I’m wondering if this widening has anything to do with revamped bank trading-book capital rules:

Banks face tougher capital requirements on swaps, bonds and other securities that they intend to trade, as global regulators tighten market-risk rules for the second time since the financial crisis.

The Basel Committee on Banking Supervision, whose members include the U.S. Federal Reserve and the People’s Bank of China, said updated rules published on Thursday will result in a weighted mean increase of about 40 percent in trading-book capital charges. The revised framework boosts the share of banks’ risk-weighted assets produced by market risk to nearly 10 percent from about 6 percent under existing rules, the Basel group said in a statement.

The overall capital burden on banks imposed by the Fundamental Review of the Trading Book, which takes effect in 2019, is nevertheless lower than was produced by earlier proposals, the Basel Committee said. The impact on specific asset classes and business lines is likely to be uneven and could hit some banks harder than others, even making some trading desks unviable.
…
The International Swaps and Derivatives Association said in an e-mailed statement on Thursday that while the Basel Committee had amended “several areas of concern identified by the industry,” its estimate of a 40 percent increase in market-risk capital requirements “would impose a considerable burden on banks on top of the increases already introduced following the crisis, as part of Basel 2.5.”

A report last year by ISDA and other industry groups estimated the capital requirement using Basel’s new standardized approach would be 4.2 times the total market-risk capital the firms currently have.

So making it tougher for depositary banks to function as investment banks is one thing and, I think, a good thing. But I still haven’t seen anything that would indicate any thought from the regulators as to what might come next. Do they want to make it easier for non-banks to become market-makers? I have often suggested that it would make sense hedge funds – already acting as market makers for equities – to hire bond desks and start trading corporate bonds vigorously. But there’s nothing. If anybody has seen any regulatory musing about where the risk will go after its presence in the banking sector has been reduced, let me know!

US authorities have gleefully announced another successful shake-down:

Goldman Sachs Group Inc. said it agreed to settle a U.S. probe into its handling of mortgage-backed securities for about $5.1 billion, cutting fourth-quarter profit by about $1.5 billion and closing out a year of record legal and litigation costs.

The proposed deal, which the bank announced in a statement Thursday, would be the latest multibillion-dollar settlement resulting from the government’s push to hold Wall Street firms to account for creating and selling subprime mortgage bonds that helped spur the 2008 financial crisis.
…
The government’s mortgage-backed security resolutions stem from a working group of prosecutors and other officials that President Barack Obama ordered up in 2012 to punish Wall Street for fueling the financial crisis with bonds linked to souring mortgages. Until then, the Justice Department had been pilloried for years for not having brought significant cases against banks and their executives.

Hey – it’s easier than raising taxes, or running for political office on the basis of policy!

And the SEC reminds us of how business gets done:

Washington D.C., Jan. 14, 2016 — The Securities and Exchange Commission today announced that State Street Bank and Trust Company agreed to pay $12 million to settle charges that it conducted a pay-to-play scheme through its then-senior vice president and a hired lobbyist to win contracts to service Ohio pension funds.

An SEC investigation found that Vincent DeBaggis, who headed State Street’s public funds group responsible for serving as custodians or sub-custodians to public retirement funds, entered into an agreement with Ohio’s then-deputy treasurer to make illicit cash payments and political campaign contributions. In exchange, State Street received three lucrative sub-custodian contracts to safeguard certain funds’ investment assets and effect the settlement of their securities transactions.

The market is also feeling sour about the Canadian economy:

Canadian benchmark bond yields fell to a new record low on Thursday, as the market increasingly bets on a rate cut to insulate the domestic economy from the oil crash.

With yields around the world declining this year as investors forsake riskier assets in favour of safe havens such as government bonds, Canadian 10-year government yields touched a record low of 1.192 per cent on Thursday.

The Canadian five-year benchmark yield marked its own new low point a day earlier, opening up a spread against its U.S. equivalent reminiscent of some dire economic episodes in Canada’s past, said Mark Chandler, head of fixed income research at Royal Bank of Canada.

“We’re at a point where it’s almost unprecedented,” he said. “If you think about market sentiment right now, it’s almost like Canada’s not going to live through this.”

The short year so far has seen market losses pile up in Canada at an alarming pace.

The Canadian dollar dipped to a new 13-year low of $0.6946 against the U.S. dollar on Thursday.

Oil sank below $30 (U.S.) a barrel on Tuesday for the first time since 2003, before rebounding modestly.

Meanwhile, the S&P/TSX composite index dipped to its lowest intraday level since July, 2013, in morning trading on Thursday before rebounding, as longer-term bond yields fell.

A thin majority of economists now expect the deteriorating conditions will compel Bank of Canada Governor Stephen Poloz to cut the overnight lending rate by 25 basis points to 0.25 per cent next week. The key policy rate has not been set that low since the depths of the financial crisis in late 2009 and early 2010.

But I think I’ve found another book about Canadian preferred shares:

It was another utterly appalling day for the Canadian preferred share market, with PerpetualDiscounts down 95bp, FixedResets losing 265bp and DeemedRetractibles off 53bp. The Performance Highlights table is headed by some incredible losses, virtually all of which are entirely genuine, albeit on markets that I would not feel comfortable characterizing as “orderly”. [I did write commentary on the worst ones; then clicked the wrong button when typing and lost it all. Damn.] Volume was extremely high.

It was another big day for DC.PR.C, with 119,915 shares changing hands at a VWAP of 17.00. It would seem that views are being taken! The current price of 17.00 corresponds to a yield of 9.20% to the extended retraction date of 2019-6-30, given a coupon of 7.50%, all of which assumes that the abusive and debatable Plan of Arrangement succeeds.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.11 to be $0.91 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.03 cheap at its bid price of 10.05.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 17.40 to be 0.75 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.55 to be 0.92 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.75 to be $1.09 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.83 and appears to be $0.67 rich.

FTS.PR.K, with a spread of +205bp, and bid at 16.74, looks $0.45 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.95 and is $0.73 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.63%, with no outliers. There is one junk outlier below -1.50% and one above 0.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.21 %	6.34 %	25,694	16.24	1	-1.8113 %	1,491.7
FixedFloater	7.56 %	6.59 %	29,756	15.74	1	-0.7893 %	2,630.6
Floater	4.62 %	4.82 %	77,185	15.84	4	-2.6860 %	1,655.3
OpRet	0.00 %	0.00 %	0	0.00	0	-0.9464 %	2,696.4
SplitShare	4.90 %	6.48 %	70,422	2.76	6	-0.9464 %	3,155.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.9464 %	2,461.9
Perpetual-Premium	5.96 %	5.96 %	86,337	13.97	6	-0.5801 %	2,475.8
Perpetual-Discount	5.90 %	5.97 %	98,417	13.95	34	-0.9528 %	2,445.9
FixedReset	5.80 %	5.21 %	240,007	14.43	82	-2.6460 %	1,777.7
Deemed-Retractible	5.39 %	5.95 %	126,298	6.94	34	-0.5335 %	2,495.6
FloatingReset	2.96 %	4.98 %	64,189	5.59	13	-1.1404 %	1,998.7

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.H	FixedReset	-10.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 4.58 %
HSE.PR.C	FixedReset	-8.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 6.82 %
CIU.PR.C	FixedReset	-6.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.93 %
FTS.PR.M	FixedReset	-6.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.95 %
PWF.PR.T	FixedReset	-6.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.23 %
FTS.PR.K	FixedReset	-5.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 4.69 %
MFC.PR.J	FixedReset	-5.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.49 Bid-YTW : 8.35 %
FTS.PR.I	FloatingReset	-5.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 4.20 %
NA.PR.Q	FixedReset	-5.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.51 %
IFC.PR.C	FixedReset	-4.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.90 Bid-YTW : 9.54 %
FTS.PR.G	FixedReset	-4.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.17 Evaluated at bid price : 15.17 Bid-YTW : 4.92 %
CCS.PR.C	Deemed-Retractible	-4.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 8.08 %
IAG.PR.G	FixedReset	-4.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.38 %
TRP.PR.G	FixedReset	-4.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 5.58 %
HSE.PR.G	FixedReset	-4.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 6.83 %
GWO.PR.O	FloatingReset	-4.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.40 Bid-YTW : 11.64 %
W.PR.K	FixedReset	-4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 5.80 %
RY.PR.I	FixedReset	-4.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 5.40 %
HSE.PR.E	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 6.92 %
NA.PR.W	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 4.97 %
SLF.PR.I	FixedReset	-4.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 9.07 %
SLF.PR.G	FixedReset	-4.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.15 Bid-YTW : 10.46 %
IFC.PR.A	FixedReset	-3.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.88 %
MFC.PR.L	FixedReset	-3.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.71 Bid-YTW : 8.77 %
MFC.PR.M	FixedReset	-3.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.53 %
MFC.PR.N	FixedReset	-3.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.01 Bid-YTW : 8.65 %
NA.PR.S	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.08 Evaluated at bid price : 16.08 Bid-YTW : 5.04 %
BMO.PR.T	FixedReset	-3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.85 %
RY.PR.Z	FixedReset	-3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.73 %
HSE.PR.A	FixedReset	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.76 Evaluated at bid price : 9.76 Bid-YTW : 6.16 %
BAM.PF.F	FixedReset	-3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 5.27 %
MFC.PR.I	FixedReset	-3.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.30 Bid-YTW : 8.01 %
TRP.PR.F	FloatingReset	-3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.52 Evaluated at bid price : 11.52 Bid-YTW : 5.14 %
CM.PR.Q	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.77 Evaluated at bid price : 17.77 Bid-YTW : 4.91 %
CU.PR.C	FixedReset	-3.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.03 %
GWO.PR.N	FixedReset	-3.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.30 Bid-YTW : 11.22 %
PWF.PR.A	Floater	-3.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.39 Evaluated at bid price : 11.39 Bid-YTW : 4.20 %
BIP.PR.A	FixedReset	-3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 6.14 %
SLF.PR.H	FixedReset	-3.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.64 Bid-YTW : 10.05 %
MFC.PR.K	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.57 Bid-YTW : 8.75 %
TRP.PR.A	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.29 %
TD.PF.C	FixedReset	-2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.71 %
MFC.PR.G	FixedReset	-2.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 8.16 %
BMO.PR.S	FixedReset	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.79 %
CU.PR.H	Perpetual-Discount	-2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.04 Evaluated at bid price : 22.35 Bid-YTW : 5.95 %
BAM.PR.K	Floater	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.87 Evaluated at bid price : 9.87 Bid-YTW : 4.82 %
TD.PF.D	FixedReset	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.90 %
BAM.PR.B	Floater	-2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.88 Evaluated at bid price : 9.88 Bid-YTW : 4.82 %
BNS.PR.R	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 4.79 %
W.PR.J	Perpetual-Discount	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.00 Evaluated at bid price : 22.23 Bid-YTW : 6.33 %
BMO.PR.W	FixedReset	-2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.81 %
TD.PR.S	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 4.49 %
TD.PF.B	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 4.68 %
PVS.PR.E	SplitShare	-2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 6.96 %
CIU.PR.A	Perpetual-Discount	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 6.02 %
BAM.PR.R	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 13.41 Evaluated at bid price : 13.41 Bid-YTW : 5.63 %
W.PR.H	Perpetual-Discount	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.28 %
TD.PF.A	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.64 %
BMO.PR.Z	Perpetual-Discount	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.52 Evaluated at bid price : 22.86 Bid-YTW : 5.54 %
TRP.PR.C	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.82 Evaluated at bid price : 9.82 Bid-YTW : 5.61 %
TRP.PR.H	FloatingReset	-2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.00 Evaluated at bid price : 9.00 Bid-YTW : 4.79 %
MFC.PR.H	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 7.50 %
TD.PF.E	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.81 %
BAM.PR.C	Floater	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 4.86 %
CM.PR.O	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.80 %
BAM.PF.G	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 5.31 %
RY.PR.H	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.72 %
BAM.PR.E	Ratchet	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 25.00 Evaluated at bid price : 13.01 Bid-YTW : 6.34 %
PVS.PR.D	SplitShare	-1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 7.28 %
FTS.PR.J	Perpetual-Discount	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 5.88 %
BAM.PF.E	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 5.32 %
CU.PR.G	Perpetual-Discount	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 6.04 %
FTS.PR.F	Perpetual-Discount	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.84 %
TRP.PR.D	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.15 Evaluated at bid price : 15.15 Bid-YTW : 5.32 %
CM.PR.P	FixedReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.83 Evaluated at bid price : 15.83 Bid-YTW : 4.90 %
TRP.PR.E	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.17 %
BMO.PR.Y	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.76 %
POW.PR.D	Perpetual-Discount	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.99 %
BIP.PR.B	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.14 Evaluated at bid price : 22.76 Bid-YTW : 6.10 %
ELF.PR.G	Perpetual-Discount	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.83 %
RY.PR.K	FloatingReset	-1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.33 Bid-YTW : 5.24 %
BNS.PR.C	FloatingReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.21 Bid-YTW : 5.17 %
GWO.PR.F	Deemed-Retractible	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 6.15 %
PWF.PR.K	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.00 %
BAM.PR.Z	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.48 %
SLF.PR.A	Deemed-Retractible	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.16 Bid-YTW : 7.85 %
RY.PR.M	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.87 %
BAM.PF.B	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.27 %
ENB.PR.A	Perpetual-Discount	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.55 Evaluated at bid price : 21.81 Bid-YTW : 6.40 %
CU.PR.E	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 6.05 %
PWF.PR.P	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 4.78 %
POW.PR.B	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.10 Evaluated at bid price : 22.32 Bid-YTW : 6.02 %
SLF.PR.E	Deemed-Retractible	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.19 Bid-YTW : 8.27 %
RY.PR.L	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.57 %
PVS.PR.B	SplitShare	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 6.48 %
BNS.PR.Q	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.55 Bid-YTW : 4.84 %
SLF.PR.B	Deemed-Retractible	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 7.85 %
TD.PR.Y	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 4.63 %
CU.PR.F	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.97 %
BMO.PR.M	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.41 %
MFC.PR.B	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.76 Bid-YTW : 8.05 %
BNS.PR.L	Deemed-Retractible	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.23 Bid-YTW : 5.08 %
BAM.PF.A	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 5.30 %
ELF.PR.H	Perpetual-Discount	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.57 Evaluated at bid price : 22.90 Bid-YTW : 6.03 %
VNR.PR.A	FixedReset	3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.35 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	2,212,913	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 23.25 Evaluated at bid price : 25.34 Bid-YTW : 5.21 %
RY.PR.Q	FixedReset	402,847	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 23.27 Evaluated at bid price : 25.41 Bid-YTW : 5.13 %
TD.PR.T	FloatingReset	88,325	Scotia crossed 79,200 at 21.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 4.71 %
BAM.PR.K	Floater	85,700	Nesbitt crossed 75,000 at 10.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.87 Evaluated at bid price : 9.87 Bid-YTW : 4.82 %
RY.PR.L	FixedReset	81,370	TD crossed blocks of 12,000 at 24.50 and 63,300 at 24.36. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.57 %
IFC.PR.A	FixedReset	78,400	Scotia crossed two blocks of 25,000 each at 14.32 and 10,200 at 14.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.88 %
There were 60 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BNS.PR.R	FixedReset	Quote: 22.95 – 23.79 Spot Rate : 0.8400 Average : 0.5294 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 4.79 %
SLF.PR.I	FixedReset	Quote: 16.60 – 17.40 Spot Rate : 0.8000 Average : 0.5117 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 9.07 %
W.PR.K	FixedReset	Quote: 22.80 – 23.55 Spot Rate : 0.7500 Average : 0.4672 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 5.80 %
IFC.PR.A	FixedReset	Quote: 13.75 – 14.50 Spot Rate : 0.7500 Average : 0.4759 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.88 %
RY.PR.K	FloatingReset	Quote: 21.33 – 22.36 Spot Rate : 1.0300 Average : 0.7583 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.33 Bid-YTW : 5.24 %
FTS.PR.I	FloatingReset	Quote: 11.30 – 12.22 Spot Rate : 0.9200 Average : 0.6609 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 4.20 %

The low dollar is attracting some notice:

On Tuesday, the Canadian dollar, commonly known as the loonie, broke below 70 U.S. cents for the first time since May 1, 2003.

For America’s northern neighbor, which imports about 80 percent of the fresh fruits and vegetables its citizens consume, this entails a sharp rise in prices for these goods. With lower-income households tending to spend a larger portion of income on food, this side effect of a soft currency brings them the most acute stress.
…
From coast-to-coast-to-coast, Canadians have taken to social media to express displeasure with soaring produce prices:

Bombardier is desperately reinventing its business model:

Bombardier Inc. scrapped $1.75 billion of business-aircraft orders, saying it anticipates making more money by reselling them directly to customers.

The Canadian planemaker also said it was ending a four-decade relationship with distributor TAG Aeronautics as part of a change in its sales strategy. Bombardier will book a $278 million pretax charge in the fourth quarter due to its moves to cut out the middleman standing between itself and aircraft buyers.

Bombardier is revamping its business-jet sales effort as the company’s finances have been strained by its $5.4 billion program for C Series commercial planes. The development of its largest-ever model is more than two years late and at least $2 billion over budget, and Bombardier has been seeking more government aid to right itself.

If it doesn’t work, they can always get another government cheque!

I’m not sure whether it’s a genuine attempt to track down laundered money or the misuse of government powers to follow a populist agenda, but I am sure we’ll hear calls for this in Canada!

Concerned about illicit money flowing into luxury real estate, the Treasury Department said Wednesday that it would begin identifying and tracking secret buyers of high-end properties.

The initiative will start in two of the nation’s major destinations for global wealth: Manhattan and Miami-Dade County. It will shine a light on the darkest corner of the real estate market: all-cash purchases made by shell companies that often shield purchasers’ identities.

It is the first time the federal government has required real estate companies to disclose names behind all-cash transactions, and it is likely to send shudders through the real estate industry, which has benefited enormously in recent years from a building boom increasingly dependent on wealthy, secretive buyers.

The initiative is part of a broader federal effort to increase the focus on money laundering in real estate. Treasury and federal law enforcement officials said they were putting greater resources into investigating luxury real estate sales that involve shell companies like limited liability companies, often known as L.L.C.s; partnerships; and other entities.

There will be ceaseless debate over the next twelve months regarding the advisability of Fed hikes … Larry Summers has fired the opening volley:

Policy makers need to heed the message from global commodity and stock markets that “risks are substantially tilted to the downside,” former U.S. Treasury Secretary Lawrence Summers said Wednesday.

Given the weakness in prices and growth, it’ll be hard for the world to take in stride four interest-rate increases that forecasters are penciling in from the Federal Reserve this year, Summers said in a Bloomberg TV interview.

“I would be surprised if the world economy could comfortably withstand four hikes, and I think that basically the markets agree with me,” he said, adding that’s why it’s important to prepare for a range of possibilities. “Really, what policy makers need to think about is, it is insurance against the more negative scenarios.”

It was another crummy day for equities:

U.S. stocks tumbled, with the Dow Jones Industrial Average plunging more than 370 points and small caps entering a bear market, as oil’s failure to maintain a 4 percent rally rekindled a flight from risk assets. Treasuries surged amid signs that demand for the relative safety of bonds is rising.

The Standard & Poor’s 500 Index fell past 1,900, a level it’s closed below only five times in the past 14 months. The Nasdaq 100 Index had its worst day since Aug. 24, as selling was heaviest in technology and consumer shares. The Russell 2000 Index capped a 22 percent slide from its June record. Brent crude dipped below $30 for the first time since 2004. The yield on the 10-year Treasury note fell to 2.04 percent, after an auction of $21 billion of 10-year notes was deemed ‘outstanding.’ Gold traded above $1,090 an ounce.
…
Treasuries rallied after investors flocked to a $21 billion auction of 10-year notes at the lowest yields since October amid concern that global growth is slowing. A class of investors that includes foreign central banks and mutual funds bought 71 percent of the sale, the second-highest amount on record.

Meanwhile, at time of writing, Chinese equities have bounced back a little … but nobody knows how much of that is manipulation:

The Shanghai Composite Index gained 2 percent to 3,007.65 at the close, reversing a loss of as much as 2.8 percent and sending a gauge of volatility to the highest levels since September. The ChiNext small-caps index surged the most in two months after 28 listed companies vowed to take action to stabilize the market, with some pledging not to sell shares over the next six months. State funds may have entered to buy stocks after the Shanghai index fell below the lowest levels reached in last year’s rout, according to Galaxy Securities Co.
…
The Shanghai gauge earlier dropped below the low of 2,927.29 set in August, when a summer rout wiped out $5 trillion and spurred the government to impose emergency rescue measures. The index, the worst performer among 93 global benchmark measures tracked by Bloomberg this year, fell as much as 20 percent from the December high before paring losses.

The question of trailer fees and the regulatory banishment thereof has been discussed many times on PrefBlog – a CSA request for comment was mentioned on December 13, 2012, for instance, which was clarified on December 18, 2012, with more discussion December 27, 2012. Assiduous Readers with good memories will remember that I have argued that the only problem with the Platonic ideals espoused by regulatory dreamers is that they won’t work in the real world (much like the regulatory dreamers themselves): Joe Lunchbucket does not want to pay a fee to his advisor unless the advisor trades a lot; this goes double if he’s just lost money in the market. So instead of buying an equity mutual fund like he should, he’ll go down to the bank and put his money into a GIC and every step in the process will be approved by the bank’s compliance department, stuffed to the gills with ex-regulators on fat salaries.

I was only one of many holding this view:

From now on, financial advisers will have to charge upfront fees to their customers rather than receive commission from companies supplying financial products. The move by the Financial Services Authority under its retail distribution review (RDR) includes pensions, Isas and unit trusts, and is designed to be more transparent and to reduce the risk of mis-selling.

It means that consumers will see clearly the cost of financial advice which may previously have appeared to be free since the charges were part of the commission payments made to the adviser. But some analysts believe that spelling out the costs, even though these can be spread over a number of years, could put many customers off seeking advice.

A recent survey by Rostrum Research found that nine out of 10 consumers would only pay up to £25 for an hour’s financial advice, compared with the mooted £50-£250 an hour fee range expected in the review.

I have been criticized for this view, but it appears that two years after banning producer payments to intermediaries, it is becoming clear that Joe Lunchbucket does not want to pay for advice:

An influential panel of experts appointed by the Government as part of the Financial Advice Market Review is considering radical reforms to regulation which would roll back key aspects of the RDR to boost access to advice, Money Marketing understands.

The FAMR, jointly led by the Treasury and the FCA, is assessing barriers to the provision of financial advice following the pensions overhaul introduced last April. In particular, the review is looking to tackle the advice gap for people with smaller pots to invest.
…
Sources close to the panel say a number of radical ideas have been seriously discussed during the three sessions held in the second half of last year. These include creating a new basic tier of advice with a lower qualification requirement for simple accumulation products, developing a new charging structure similar to commission and banning regulated advisers from selling unregulated products.
…

A separate source says allowing firms to receive commission on simple accumulation product sales is also under consideration.

The source says: “The panel have discussed putting forward an alternative commercial model for advice that would allow a fee to be built into the product. So today you might pay 1 per cent and it is normally paid by selling units in funds but it has to be agreed as part of your service agreement with the adviser. What is being discussed is more like commission.

“So you could invest in an Isa or a pension and the adviser receives a fee on completion of the transaction direct from the provider.”

Panel members have also discussed the possibility of banning regulated advisers from selling unregulated products.

No agreement has been reached on taking these proposals to the Government.

However, the very fact they are being discussed suggests the FAMR could fundamentally redraw the advice landscape yet again.

Shaw Communications, proud issuer of SJR.PR.A, will finance the acquisition of Wind Mobile by selling media assets to the related Corus Entertainment:

Corus Entertainment Inc. has agreed to pay $2.65-billion to acquire Shaw Media Inc. from Shaw Communications Inc., bulking up to compete in a shifting television landscape.

The price will be paid through a combination of $1.85-billion in cash and 71 million Corus class B shares at $11.21 per share. Both companies are ultimately controlled by the Shaw family of Alberta, but are separately listed on the Toronto Stock Exchange.
…
It also removes any doubt about how Shaw will pay for its $1.6-billion acquisition of Wind Mobile Corp., which it announced in December. There had been some speculation that it could sell its U.S. data centre business ViaWest or issue equity.

Instead, Shaw made it clear it intends to use the cash from the sale of Shaw Media to fund the Wind purchase.

Shaw expects its acquisition of Wind to close in the third quarter of its fiscal year, which is the three-month period ending May 31, and said Wednesday if that transaction closes earlier, it will rely on bridge financing to fund the deal.

DBRS comments:

Following the divestiture, DBRS notes that the loss of Shaw Media’s operating income and substantial cash generating capacity, in conjunction with the inclusion of the negative free cash flow wireless and existing business infrastructure services segments, will result in free cash flow (after cash dividend payments) turning negative until F2018. This signals a meaningful, albeit temporary, loss in financial flexibility and places greater reliance on growth in operating income to achieve stated financial leverage targets.

In its review, DBRS will focus on (1) assessing the business risk profile of the new entity, including organic growth prospects in the remaining segments and risks associated with integration of WIND; (2) the Company’s longer-term business strategy; (3) financial management intentions of the new entity going forward and its free cash flow trajectory profile; and (4) the Company’s liquidity profile over the near to medium term.

The proposed asset sale and the WIND acquisition are proceeding through customary regulatory, concurrently, and are both expected to close by Q3 F2016. As previously announced, the Company has secured a $1.7 billion bridge facility, which would allow it to complete the WIND acquisition in the event of a delay in completing the proposed divestiture. The Company would then repay the bridge upon receipt of proceeds from the Shaw Media divestiture.

The previously instated Under Review with Negative Implications rating action will be resolved once DBRS becomes confident that the proposed transaction will close under the current terms, at which point DBRS will likely downgrade Shaw’s ratings by one notch, to the BBB (low) rating category.

This follows prior news that SJR: Credit Agencies Nervous About Wind Acquisition.

GMP, proud issuer of GMP.PR.B, has swallowed hard and acknowledged hard times:

GMP Capital Inc.’s radical restructuring, which involves shutting down its United Kingdom and Australian operations as well as eliminating its dividend, is also hitting senior staff at home.

In total, seventy-three jobs are being axed in a new round of cuts announced Wednesday, affecting investment bankers, research analysts and employees in sales and trading. Twenty-nine positions are being eliminated in Canada, 22 in the U.K., 12 in Australia and 10 in the U.S. GMP said 97 positions – a quarter of its work force – have now been eliminated since the end of the third quarter.
…
GMP has lost money in three of the past four quarters. In the third quarter of 2015, revenue from the company’s energy sector investment banking cratered 87 per cent from a year ago.

The brokerage was founded in 1995 and went public in December, 2003. GMP was immensely profitable during the great bull run in resources and some of its proprietary traders, such as Michael Wekerle, were among the best paid people on Bay Street. In mid-2006, GMP’s share price peaked at $28. It closed Tuesday at $3.92 – not far from an all-time low.

I have not seen any reaction from the Credit Rating Agencies yet.

I came across the following on the Internet … I think it might be a book about Canadian preferred shares …

It was another horrible day for the Canadian preferred share market, with PerpetualDiscounts down 44bp, FixedResets losing 133bp and DeemedRetractibles off 29bp. The Performance Highlights table is as lengthy as one might expect, but on the bright side there were a few winners today! Volume was well below average.

It was a big day for DC.PR.C, which Assiduous Readers will remember is the target of an abusive Exchange Offer via a Plan of Arrangement which has been the subject of widespread interest. The issue traded 732,460 shares today in a range of 16.70-00, including a monster-block of 555,600, crossed by GMP shortly before the close at 17.00. When one considers that there are only 6-million shares out, one gets even more impressed! The stock was up sharply on the day. If we assume this is an actual arm’s-length cross (and not an internal cross between two accounts of the same manager), then it looks like somebody has started to feel good about the deal … all the more so since the record date to vote on the Plan of Arrangement has long since passed.

PerpetualDiscounts now yield 5.93%, equivalent to 7.71% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread is now about 355bp, a stunning increase from the 330bp that I should have reported last week. This is an incredible number, surpassed only for a month or so during the credit crunch … and this is happening without any significant credit worries!

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.11 to be $0.91 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.03 cheap at its bid price of 10.05.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 17.40 to be 0.75 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.55 to be 0.92 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.75 to be $1.09 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.83 and appears to be $0.67 rich.

FTS.PR.K, with a spread of +205bp, and bid at 16.74, looks $0.45 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.95 and is $0.73 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.63%, with no outliers. There is one junk outlier below -1.50% and one above 0.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.12 %	6.23 %	26,781	16.38	1	-4.2630 %	1,519.2
FixedFloater	7.50 %	6.54 %	31,078	15.80	1	0.0581 %	2,651.5
Floater	4.49 %	4.69 %	78,248	16.08	4	0.5017 %	1,701.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.0019 %	2,722.1
SplitShare	4.85 %	6.03 %	67,583	2.76	6	0.0019 %	3,185.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0019 %	2,485.4
Perpetual-Premium	5.93 %	5.82 %	85,246	2.71	6	-0.1684 %	2,490.2
Perpetual-Discount	5.84 %	5.93 %	93,623	14.03	34	-0.4432 %	2,469.4
FixedReset	5.65 %	5.08 %	238,260	14.57	81	-1.3328 %	1,826.0
Deemed-Retractible	5.36 %	5.59 %	121,511	5.27	34	-0.2872 %	2,509.0
FloatingReset	2.92 %	4.91 %	63,358	5.59	13	0.3148 %	2,021.7

Performance Highlights
Issue	Index	Change	Notes
VNR.PR.A	FixedReset	-7.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 5.52 %
HSE.PR.E	FixedReset	-5.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.38 Evaluated at bid price : 16.38 Bid-YTW : 6.63 %
MFC.PR.F	FixedReset	-5.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.80 Bid-YTW : 10.81 %
CU.PR.C	FixedReset	-4.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.27 Evaluated at bid price : 16.27 Bid-YTW : 4.87 %
BAM.PR.E	Ratchet	-4.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 25.00 Evaluated at bid price : 13.25 Bid-YTW : 6.23 %
FTS.PR.G	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 4.67 %
FTS.PR.K	FixedReset	-3.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.74 Evaluated at bid price : 16.74 Bid-YTW : 4.42 %
MFC.PR.H	FixedReset	-3.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.74 Bid-YTW : 7.18 %
NA.PR.S	FixedReset	-3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 4.84 %
TRP.PR.G	FixedReset	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.31 %
IFC.PR.C	FixedReset	-2.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.72 Bid-YTW : 8.83 %
BAM.PR.T	FixedReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 5.52 %
CM.PR.P	FixedReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.81 %
NA.PR.W	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.38 Evaluated at bid price : 16.38 Bid-YTW : 4.76 %
CM.PR.O	FixedReset	-2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 4.70 %
TRP.PR.D	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 15.41 Evaluated at bid price : 15.41 Bid-YTW : 5.22 %
BAM.PF.A	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 5.24 %
BMO.PR.W	FixedReset	-2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.63 Evaluated at bid price : 16.63 Bid-YTW : 4.68 %
TRP.PR.C	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 10.05 Evaluated at bid price : 10.05 Bid-YTW : 5.48 %
HSE.PR.C	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 6.21 %
BAM.PR.X	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 12.69 Evaluated at bid price : 12.69 Bid-YTW : 5.21 %
BMO.PR.S	FixedReset	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.65 %
TD.PF.E	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.70 %
TRP.PR.F	FloatingReset	-2.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 11.91 Evaluated at bid price : 11.91 Bid-YTW : 4.97 %
IFC.PR.A	FixedReset	-2.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.32 Bid-YTW : 10.29 %
CU.PR.I	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 22.95 Evaluated at bid price : 24.40 Bid-YTW : 4.58 %
BAM.PF.D	Perpetual-Discount	-2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 19.64 Evaluated at bid price : 19.64 Bid-YTW : 6.30 %
HSE.PR.G	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.68 Evaluated at bid price : 16.68 Bid-YTW : 6.50 %
BAM.PF.F	FixedReset	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 5.08 %
TRP.PR.B	FixedReset	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 9.77 Evaluated at bid price : 9.77 Bid-YTW : 5.12 %
SLF.PR.G	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.70 Bid-YTW : 9.90 %
RY.PR.H	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.03 Evaluated at bid price : 17.03 Bid-YTW : 4.63 %
BAM.PF.C	Perpetual-Discount	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 19.44 Evaluated at bid price : 19.44 Bid-YTW : 6.30 %
ELF.PR.H	Perpetual-Discount	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 22.36 Evaluated at bid price : 22.66 Bid-YTW : 6.09 %
BAM.PR.N	Perpetual-Discount	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 6.28 %
SLF.PR.I	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.31 Bid-YTW : 8.47 %
TD.PF.B	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 4.55 %
NA.PR.Q	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.33 Bid-YTW : 4.54 %
SLF.PR.D	Deemed-Retractible	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 8.20 %
BIP.PR.A	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 5.94 %
MFC.PR.M	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.95 Bid-YTW : 7.96 %
RY.PR.J	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.85 %
IAG.PR.A	Deemed-Retractible	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.06 Bid-YTW : 7.75 %
RY.PR.M	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.80 %
BAM.PR.Z	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.40 %
MFC.PR.N	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.09 %
RY.PR.Z	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.55 %
SLF.PR.C	Deemed-Retractible	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.35 Bid-YTW : 8.09 %
FTS.PR.M	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.63 %
BAM.PR.M	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 6.28 %
IAG.PR.G	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.60 Bid-YTW : 7.68 %
TRP.PR.A	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 5.13 %
MFC.PR.I	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 7.52 %
BAM.PF.B	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 5.20 %
MFC.PR.J	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.46 Bid-YTW : 7.59 %
MFC.PR.K	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.08 Bid-YTW : 8.32 %
CU.PR.D	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 5.99 %
W.PR.H	Perpetual-Discount	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 22.27 Evaluated at bid price : 22.54 Bid-YTW : 6.13 %
SLF.PR.E	Deemed-Retractible	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.43 Bid-YTW : 8.09 %
PWF.PR.T	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 3.96 %
TRP.PR.E	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.11 Evaluated at bid price : 16.11 Bid-YTW : 5.08 %
TD.PF.D	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 4.77 %
BAM.PF.G	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 5.20 %
BAM.PR.R	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 5.49 %
BMO.PR.Y	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.68 %
MFC.PR.B	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.97 Bid-YTW : 7.90 %
TD.PF.A	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 4.53 %
CM.PR.Q	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 4.75 %
BAM.PF.E	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.83 Evaluated at bid price : 16.83 Bid-YTW : 5.22 %
TD.PR.Y	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.02 Bid-YTW : 4.42 %
RY.PR.K	FloatingReset	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 4.96 %
POW.PR.C	Perpetual-Premium	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 24.30 Evaluated at bid price : 24.61 Bid-YTW : 5.92 %
BAM.PF.H	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 23.20 Evaluated at bid price : 25.10 Bid-YTW : 4.91 %
BNS.PR.Q	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 4.63 %
PWF.PR.P	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 4.71 %
MFC.PR.G	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.55 Bid-YTW : 7.74 %
BAM.PR.K	Floater	2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 10.15 Evaluated at bid price : 10.15 Bid-YTW : 4.69 %
BNS.PR.R	FixedReset	2.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.57 Bid-YTW : 4.28 %
CCS.PR.C	Deemed-Retractible	2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.28 Bid-YTW : 7.35 %
BNS.PR.D	FloatingReset	3.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.08 Bid-YTW : 7.08 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	288,467	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 23.28 Evaluated at bid price : 25.46 Bid-YTW : 5.11 %
BNS.PR.E	FixedReset	158,036	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 23.29 Evaluated at bid price : 25.47 Bid-YTW : 5.10 %
NA.PR.S	FixedReset	108,125	TD crossed 98,800 at 16.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 4.84 %
TD.PR.T	FloatingReset	65,152	Scotia crossed 63,200 at 21.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.58 Bid-YTW : 4.56 %
RY.PR.I	FixedReset	43,400	Nesbitt crossed 35,000 at 23.21. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 4.57 %
BNS.PR.L	Deemed-Retractible	39,064	RBC crossed 35,300 at 24.48. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.48 Bid-YTW : 4.88 %
There were 20 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: 11.95 – 13.75 Spot Rate : 1.8000 Average : 1.4048 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.95 Bid-YTW : 11.01 %
VNR.PR.A	FixedReset	Quote: 16.17 – 17.11 Spot Rate : 0.9400 Average : 0.7033 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 5.52 %
FTS.PR.M	FixedReset	Quote: 18.25 – 18.87 Spot Rate : 0.6200 Average : 0.4595 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.63 %
FTS.PR.H	FixedReset	Quote: 13.50 – 13.99 Spot Rate : 0.4900 Average : 0.3545 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 4.11 %
HSE.PR.G	FixedReset	Quote: 16.68 – 17.29 Spot Rate : 0.6100 Average : 0.4813 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-13 Maturity Price : 16.68 Evaluated at bid price : 16.68 Bid-YTW : 6.50 %
GWO.PR.L	Deemed-Retractible	Quote: 23.90 – 24.36 Spot Rate : 0.4600 Average : 0.3511 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 6.37 %