PrefBlog

The junk market is getting nervous:

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

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

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

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

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

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

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

So now they’ve announced a debt tender offer:

Talisman Energy Inc. (the “Offeror”) announced today that it has commenced a tender offer (the “Offer”) to purchase for cash up to $750 million aggregate principal amount (the “Maximum Tender Amount”) of the 5.85% Senior Notes due 2037 (CUSIP No. 87425E AJ2), 5.50% Senior Notes due 2042 (CUSIP No. 87425E AN3), 6.25% Senior Notes due 2038 (CUSIP No. 87425E AK9), 7.25% Debentures due 2027 (CUSIP No. 87425E AE3) and 5.75% Senior Notes due 2035 (CUSIP No. 87425E AH6) issued by the Offeror (collectively, the “Securities”). The amounts of each series of Securities that are purchased will be determined in accordance with the acceptance priority levels specified in the table below and on the cover page of the offer to purchase dated November 24, 2015 (the “Offer to Purchase”) in the column entitled “Acceptance Priority Level” (the “Acceptance Priority Level”), subject to the proration arrangements applicable to the Offer.

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

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.26 %	5.12 %	32,966	17.67	1	0.0000 %	1,819.2
FixedFloater	6.15 %	5.39 %	27,798	17.03	1	2.2502 %	3,173.8
Floater	4.25 %	4.30 %	82,547	16.76	3	3.3137 %	1,858.4
OpRet	4.87 %	3.99 %	32,736	0.75	1	0.0000 %	2,733.2
SplitShare	4.77 %	5.61 %	134,654	4.34	5	0.0886 %	3,214.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0886 %	2,508.3
Perpetual-Premium	5.79 %	2.32 %	88,238	0.08	6	0.1584 %	2,509.5
Perpetual-Discount	5.57 %	5.61 %	87,723	14.48	33	0.0173 %	2,571.1
FixedReset	4.97 %	4.60 %	224,043	15.13	76	-0.6304 %	2,063.7
Deemed-Retractible	5.17 %	5.26 %	118,086	5.38	33	0.1920 %	2,580.1
FloatingReset	2.60 %	3.78 %	60,065	5.75	10	0.2509 %	2,185.1

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

In the referenced policy reset speech:

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

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

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

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

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

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

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

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

And the market is increasingly expectant of a Fed hike:

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

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

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

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

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

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

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

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

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

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

Here’s TRP:

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

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

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

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

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.65%, with no outliers. There is one junk outlier below -1.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.26 %	5.12 %	33,032	17.67	1	0.5657 %	1,819.2
FixedFloater	6.29 %	5.53 %	27,768	16.87	1	-2.8296 %	3,103.9
Floater	4.39 %	4.42 %	80,827	16.50	3	-4.6649 %	1,798.8
OpRet	4.87 %	3.98 %	33,984	0.76	1	-0.1191 %	2,733.2
SplitShare	4.77 %	5.74 %	135,069	2.90	5	-0.2870 %	3,211.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2870 %	2,506.1
Perpetual-Premium	5.80 %	2.14 %	88,098	0.08	6	0.1190 %	2,505.5
Perpetual-Discount	5.57 %	5.65 %	87,569	14.42	33	-0.5001 %	2,570.7
FixedReset	4.94 %	4.58 %	224,342	15.19	76	-0.5355 %	2,076.8
Deemed-Retractible	5.18 %	5.27 %	117,703	5.38	33	-0.2428 %	2,575.1
FloatingReset	2.61 %	3.82 %	60,134	5.75	10	-0.8219 %	2,179.7

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

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

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

There were no surprises with Canadian inflation:

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

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

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

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

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

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

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

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

The original paper also notes:

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

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

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

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

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

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

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

But I will note (from the Annual Report:

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

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

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

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

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

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.85 to be $0.77 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.47 cheap at its bid price of 13.25.

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

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

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

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.45%, with one outlier above 0.50%. There is one junk outlier below -1.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.29 %	5.15 %	33,506	17.64	1	-0.5625 %	1,808.9
FixedFloater	6.11 %	5.35 %	26,169	17.09	1	0.3226 %	3,194.3
Floater	4.19 %	4.22 %	78,841	16.91	3	1.3465 %	1,886.8
OpRet	4.86 %	3.78 %	35,386	0.76	1	-0.0794 %	2,736.5
SplitShare	4.76 %	5.60 %	136,547	2.91	5	0.1643 %	3,221.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1643 %	2,513.3
Perpetual-Premium	5.81 %	1.55 %	88,883	0.08	6	-0.1254 %	2,502.6
Perpetual-Discount	5.54 %	5.62 %	87,738	14.46	33	-0.3257 %	2,583.6
FixedReset	4.91 %	4.60 %	220,423	15.36	76	-0.6918 %	2,088.0
Deemed-Retractible	5.16 %	5.25 %	116,104	5.39	33	-0.0977 %	2,581.4
FloatingReset	2.57 %	3.78 %	60,567	5.76	10	-0.0203 %	2,197.7

Performance Highlights
Issue	Index	Change	Notes
TD.PF.D	FixedReset	-5.62 %	Just standard nonsense from nonsense-central. The issue traded 4669 shares in a range of 21.90-20 today before closing at 21.00-22.10 (!). I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.44 %
HSE.PR.A	FixedReset	-4.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 13.67 Evaluated at bid price : 13.67 Bid-YTW : 5.02 %
IFC.PR.C	FixedReset	-2.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.88 Bid-YTW : 6.81 %
HSE.PR.C	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.23 Evaluated at bid price : 20.23 Bid-YTW : 5.24 %
CM.PR.Q	FixedReset	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.50 Evaluated at bid price : 21.80 Bid-YTW : 4.25 %
BAM.PF.F	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 4.77 %
RY.PR.J	FixedReset	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 4.32 %
BAM.PR.T	FixedReset	-2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.88 %
TRP.PR.B	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 12.28 Evaluated at bid price : 12.28 Bid-YTW : 4.55 %
BAM.PR.N	Perpetual-Discount	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 5.89 %
RY.PR.Z	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.28 %
BAM.PF.B	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.86 %
RY.PR.M	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.27 %
BMO.PR.Y	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.55 Evaluated at bid price : 21.87 Bid-YTW : 4.21 %
IFC.PR.A	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.87 Bid-YTW : 8.40 %
RY.PR.O	Perpetual-Discount	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 22.71 Evaluated at bid price : 23.06 Bid-YTW : 5.32 %
FTS.PR.G	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 4.34 %
BAM.PF.A	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.89 %
BAM.PR.M	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.86 %
NA.PR.S	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.51 %
HSE.PR.G	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 22.03 Evaluated at bid price : 22.55 Bid-YTW : 5.03 %
RY.PR.H	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.33 %
POW.PR.D	Perpetual-Discount	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 22.39 Evaluated at bid price : 22.65 Bid-YTW : 5.58 %
CU.PR.C	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.35 %
TD.PR.S	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 3.54 %
MFC.PR.J	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.63 Bid-YTW : 5.55 %
W.PR.J	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 23.74 Evaluated at bid price : 24.05 Bid-YTW : 5.89 %
BAM.PR.R	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 16.59 Evaluated at bid price : 16.59 Bid-YTW : 5.07 %
MFC.PR.G	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 5.21 %
NA.PR.W	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 4.40 %
SLF.PR.H	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.30 Bid-YTW : 7.36 %
VNR.PR.A	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.75 %
SLF.PR.I	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.11 Bid-YTW : 5.46 %
BAM.PF.C	Perpetual-Discount	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 5.93 %
CU.PR.F	Perpetual-Discount	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.42 %
BMO.PR.M	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 3.39 %
BNS.PR.D	FloatingReset	1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.02 Bid-YTW : 5.18 %
MFC.PR.F	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.25 Bid-YTW : 8.67 %
PWF.PR.T	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 21.88 Evaluated at bid price : 22.20 Bid-YTW : 3.89 %
BAM.PR.B	Floater	2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-20 Maturity Price : 11.32 Evaluated at bid price : 11.32 Bid-YTW : 4.22 %

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Second, the OSC has ordered enhanced disclosure from Sprott:

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

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

The OSC order has been published on the OSC site.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Here’s TRP:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Nouriel Roubini’s piece makes the point:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The market made a funny noise this afternoon:

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

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

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

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

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

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

Here’s TRP:

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

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.19 %	5.02 %	33,409	17.81	1	0.8040 %	1,853.3
FixedFloater	6.13 %	5.37 %	27,664	17.07	1	0.9115 %	3,184.1
Floater	4.02 %	4.05 %	71,275	17.28	3	-2.0267 %	1,965.9
OpRet	4.87 %	3.91 %	33,654	0.77	1	0.0000 %	2,733.2
SplitShare	4.77 %	5.79 %	139,572	2.92	5	0.1554 %	3,209.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1554 %	2,504.2
Perpetual-Premium	5.77 %	-3.17 %	74,058	0.08	6	-0.0983 %	2,520.1
Perpetual-Discount	5.51 %	5.56 %	85,985	14.52	33	-0.1288 %	2,597.0
FixedReset	4.84 %	4.57 %	223,125	15.43	76	-0.9315 %	2,112.2
Deemed-Retractible	5.15 %	5.15 %	114,601	5.40	33	-0.3563 %	2,583.5
FloatingReset	2.57 %	3.73 %	55,485	5.77	10	-0.1826 %	2,195.6

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

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.A	FixedReset	109,290	Nesbitt crossed 100,000 at 16.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 15.83 Evaluated at bid price : 15.83 Bid-YTW : 4.74 %
TRP.PR.C	FixedReset	93,645	Nesbitt crossed blocks of 18,800 and 59,900, both at 14.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 13.63 Evaluated at bid price : 13.63 Bid-YTW : 4.59 %
SLF.PR.I	FixedReset	86,530	TD crossed 18,500 at 22.39 and another 18,500 at 22.40, followed by two blocks of 18,600 each, both at 22.40. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 5.34 %
TRP.PR.F	FloatingReset	75,000	RBC crossed 68,000 at 15.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 4.08 %
RY.PR.H	FixedReset	57,874	Scotia crossed 40,000 at 19.87. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 4.23 %
BNS.PR.M	Deemed-Retractible	57,160	TD crossed 50,000 at 25.15. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-07-27 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.25 %
There were 56 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.F	FloatingReset	Quote: 14.44 – 15.30 Spot Rate : 0.8600 Average : 0.5393 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 4.08 %
IAG.PR.G	FixedReset	Quote: 22.83 – 23.50 Spot Rate : 0.6700 Average : 0.4298 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 5.19 %
PWF.PR.P	FixedReset	Quote: 14.54 – 15.18 Spot Rate : 0.6400 Average : 0.4217 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 14.54 Evaluated at bid price : 14.54 Bid-YTW : 4.41 %
MFC.PR.J	FixedReset	Quote: 22.05 – 22.65 Spot Rate : 0.6000 Average : 0.3945 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 5.44 %
CU.PR.D	Perpetual-Discount	Quote: 22.22 – 22.73 Spot Rate : 0.5100 Average : 0.3289 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-18 Maturity Price : 21.86 Evaluated at bid price : 22.22 Bid-YTW : 5.52 %
GWO.PR.N	FixedReset	Quote: 13.65 – 14.23 Spot Rate : 0.5800 Average : 0.4034 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.65 Bid-YTW : 10.07 %

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.22 %	5.06 %	33,535	17.75	1	1.0625 %	1,838.5
FixedFloater	6.18 %	5.43 %	28,737	17.00	1	-0.6468 %	3,155.3
Floater	3.94 %	3.97 %	69,577	17.43	3	-1.3151 %	2,006.6
OpRet	4.87 %	3.89 %	33,956	0.77	1	0.0000 %	2,733.2
SplitShare	4.74 %	5.85 %	138,843	4.36	5	0.1988 %	3,204.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1988 %	2,500.3
Perpetual-Premium	5.76 %	-5.56 %	73,938	0.08	6	0.5538 %	2,522.6
Perpetual-Discount	5.51 %	5.55 %	87,389	14.53	33	0.4781 %	2,600.3
FixedReset	4.80 %	4.41 %	222,953	15.54	76	0.4364 %	2,132.0
Deemed-Retractible	5.13 %	4.75 %	115,536	5.40	33	0.4163 %	2,592.7
FloatingReset	2.57 %	3.67 %	54,986	5.77	10	0.4687 %	2,199.6

Performance Highlights
Issue	Index	Change	Notes
CU.PR.C	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 4.22 %
VNR.PR.A	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.36 Evaluated at bid price : 21.67 Bid-YTW : 4.42 %
BAM.PR.K	Floater	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 11.95 Evaluated at bid price : 11.95 Bid-YTW : 3.99 %
BAM.PR.B	Floater	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 12.06 Evaluated at bid price : 12.06 Bid-YTW : 3.96 %
BAM.PF.G	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.45 Evaluated at bid price : 21.72 Bid-YTW : 4.60 %
BIP.PR.A	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.43 %
NA.PR.S	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.37 %
NA.PR.W	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.27 %
BAM.PR.N	Perpetual-Discount	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 5.71 %
GWO.PR.I	Deemed-Retractible	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.64 Bid-YTW : 6.59 %
BAM.PR.E	Ratchet	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 25.00 Evaluated at bid price : 16.17 Bid-YTW : 5.06 %
GWO.PR.Q	Deemed-Retractible	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.69 Bid-YTW : 6.04 %
BAM.PR.X	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 15.63 Evaluated at bid price : 15.63 Bid-YTW : 4.72 %
BNS.PR.B	FloatingReset	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.78 Bid-YTW : 3.67 %
FTS.PR.J	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.36 Evaluated at bid price : 21.65 Bid-YTW : 5.49 %
FTS.PR.K	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 4.00 %
POW.PR.B	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 23.61 Evaluated at bid price : 23.88 Bid-YTW : 5.66 %
GWO.PR.P	Deemed-Retractible	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 5.79 %
BAM.PR.Z	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 4.83 %
BAM.PR.R	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.03 %
BMO.PR.R	FloatingReset	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 3.52 %
PVS.PR.B	SplitShare	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 5.59 %
GWO.PR.G	Deemed-Retractible	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.99 %
POW.PR.G	Perpetual-Discount	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 24.48 Evaluated at bid price : 24.94 Bid-YTW : 5.66 %
TRP.PR.F	FloatingReset	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.81 Evaluated at bid price : 14.81 Bid-YTW : 3.97 %
GWO.PR.M	Deemed-Retractible	1.38 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 5.05 %
FTS.PR.F	Perpetual-Discount	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 22.10 Evaluated at bid price : 22.32 Bid-YTW : 5.50 %
POW.PR.D	Perpetual-Discount	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 22.61 Evaluated at bid price : 22.86 Bid-YTW : 5.52 %
TRP.PR.E	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.49 %
FTS.PR.G	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 4.19 %
MFC.PR.J	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 5.11 %
HSE.PR.A	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 4.70 %
TRP.PR.C	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 4.42 %
IAG.PR.G	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.63 Bid-YTW : 4.72 %
SLF.PR.G	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.03 Bid-YTW : 8.79 %
FTS.PR.H	FixedReset	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.23 Evaluated at bid price : 14.23 Bid-YTW : 4.26 %
TRP.PR.G	FixedReset	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 4.66 %
HSE.PR.E	FixedReset	2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 22.26 Evaluated at bid price : 22.90 Bid-YTW : 4.95 %
MFC.PR.G	FixedReset	2.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 4.98 %
IFC.PR.C	FixedReset	2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.48 Bid-YTW : 6.39 %
SLF.PR.J	FloatingReset	2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.90 Bid-YTW : 9.09 %
BAM.PR.T	FixedReset	2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 4.66 %
IFC.PR.A	FixedReset	3.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.35 Bid-YTW : 8.01 %
GWO.PR.N	FixedReset	3.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.10 Bid-YTW : 9.63 %
MFC.PR.F	FixedReset	3.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 9.11 %
PWF.PR.P	FixedReset	3.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 4.22 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PR.R	FixedReset	199,850	Scotia crossed blocks of 155,000 and 22,400, both at 16.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.03 %
RY.PR.I	FixedReset	79,701	RBC crossed blocks of 45,500 and 25,000, both at 24.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 3.66 %
BMO.PR.T	FixedReset	76,306	Nesbitt crossed 15,000 at 20.06 and 50,000 at 19.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.93 Evaluated at bid price : 19.93 Bid-YTW : 4.18 %
IFC.PR.A	FixedReset	70,380	Desjardins crossed 60,000 at 17.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.35 Bid-YTW : 8.01 %
CM.PR.O	FixedReset	60,325	RBC crossed 50,000 at 20.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 4.25 %
PWF.PR.P	FixedReset	37,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 4.22 %
There were 37 other index-included issues trading in excess of 10,000 shares.

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