PrefBlog

How ’bout that ruble, eh?

After the single worst day in Russia’s nine-month-old financial crisis, the fallout is spreading across global markets.

Pacific Investment Management Co. (PEBIX) is facing mounting losses on its Russian bond holdings; almost every bullish ruble option contract registered in the U.S. has been made worthless; and foreign-exchange brokers in New York and London told clients they’re no longer taking ruble trades. Sergey Shvetsov, a first deputy central bank governor, expressed astonishment at the scope of the collapse during a business conference in Moscow.

“We couldn’t imagine what’s happening in our worst nightmare even a year ago,” Shvetsov, who oversees financial markets at the central bank, said yesterday. He said the bank’s surprise interest-rate increase in the middle of the night, a 6.5 percentage-point move that failed to stem the run on the ruble yesterday, was a choice between a “very bad” option and and a “very, very bad” option.

The ruble sank beyond 80 per dollar, a record low, as panic swept across Moscow’s financial markets before it rebounded after Economy Minister Alexei Ulyukayev denied speculation the government would impose restrictions to stop Russians from converting cash into dollars. The currency ended the day at 67.9 per dollar, down 5.4 percent on the day, while bonds and stocks also tumbled, sending the RTS equity gauge down the most since 2008.

Russians have long experience of state-run media:

Russians like Vladimir Rudenkov from Voronezh, a city about 500 kilometers (311 miles) from Moscow, were ignoring the government-media assurances and taking action. Rudenkov transfered a portion of his savings into dollars this morning and said he regretted that he didn’t transfer it all.

“The situation is catastrophic,” said Rudenkov, a 35-year-old manager. “I don’t believe that the ruble collapse is happening only due to the falling oil prices. The government is the one to blame as it didn’t defend the national currency.”

The BoC has published a paper by George J. Jiang, Ingrid Lo and Giorgio Valente titled High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market:

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency. Our results show that HF activities have a negative effect on liquidity around economic announcements: they widen spreads during the pre-announcement period and lower depth on the order book during the post-announcement period. The negative impact on liquidity mainly derives from HF trades. Nonetheless, HF trades improve price efficiency during both the preannouncement and post-announcement periods.

Intact Financial Corporation, proud issuer of IFC.PR.A and IFC.PR.C, has been confirmed at Pfd-2(low) by DBRS:

DBRS Limited (DBRS) has today confirmed Intact Financial Corporation’s (Intact or the Company) Issuer Rating at A (low), Senior Unsecured Debt at A (low) and Non-Cumulative Preferred Shares at Pfd-2 (low). The trends are Stable.

The Company’s operating subsidiaries are among the strongest performers in the Canadian property and casualty insurance industry, achieving underwriting profits and obtaining above-industry return on capital results. The Company’s overall underwriting performance hinges on tightening benefits, reducing exposures, scale and analysis, which allows it to identify and price risks by mining its extensive database. Scale also enhances the ability of the Company to keep claims costs lower than those of its peer group and to more efficiently service its multi-channel distribution networks. Recent efforts to increase pricing in firmer commercial markets, to tighten benefits and to reduce earthquake exposures should improve the Company’s performance after three years of elevated catastrophic claims. An efficient capital structure keeps the Company’s overall financial leverage within bounds, and it has seen improving financial leverage ratios since 2011. There is a possibility of acquisition activity increasing the financial leverage if financed with debt.

DBRS calculates Intact’s annualized return on equity for the first nine months of 2014 to be 16.2%, a positive result benefiting from lower catastrophic claims so far this year compared with 2013 and generally improved underwriting results with higher premiums and reduced benefit obligations. The important Ontario auto insurance market, which comprises the largest segment of Intact’s business, is challenging with the provincial government’s desire to lower auto insurance premiums. To achieve the desired premium reductions, the industry is asking for a reduction in benefit costs and greater ability to discourage fraud.

It was (yet another) poor day for the Canadian preferred share market, with PerpetualDiscounts down 9bp, FixedResets losing 22bp and DeemedRetractibles off 8bp. There is (yet another) lengthy list of Performance Highlights, dominated (yet again) by losing FixedResets with (yet more) heavy representation from the credit-dubious Enbridge. Volume was above average, enlivened by the two new issues, CM.PR.P and TD.PF.C.

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:

So according to this, TRP.PR.A, bid at 19.45, is $1.84 cheap, but it has already reset (at +192). TRP.PR.D, bid at 25.00 and resetting at +238bp on 2019-4-30 is $0.66 rich and TRP.PR.E, bid at 25.04 and resetting at +235bp on 2019-10-30, is $0.90 rich. The TRP issues seem to be rationalizing, but there continues to be pressure on TRP.PR.A.

Now, this is really interesting. TRP.PR.A will pay 3.266%, which is to say $0.8165, until its next reset date 2019-12-31. TRP.PR.E will continue to pay its initial dividend of $1.0625 until it resets 2019-10-30 at +235. See that? Two month’s difference in reset. I think we can disregard forecasts of changes in GOC-5 yield that get that precise. That is to say, over the next five years, TRP.PR.E will pay a total of about $1.25 more than TRP.PR.A. Then it will reset at 46bp more, which is to say $0.115 p.a., forever.

And yet the difference in price is $5.59! That seems to me to be a lot to pay for a short term payment of $1.25, leaving $4.34, to earn $0.115, or 2.65%. But some people, it would seem, find this quite reasonable. It will be noted as well that TRP.PR.A is exposed to possible capital gains if the Market Reset Spread narrows; so it could gain up to $5.55 in price while TRP.PR.E got nothing.

It looks like MFC.PR.F, resetting at 141bp on 2016-06-19 is in another world and distorting results again.

There continues to be extraordinary cheapness in the lowest-spread issue, BAM.PR.X, resetting at +180bp on 2017-6-30, is bid at 20.01 and appears to be $0.96 cheap, while BAM.PR.R, resetting at +230bp 2016-6-30 is bid at 24.90 and appears to be $1.39 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 18.30, looks $1.05 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp, and bid at 24.30, looks $0.77 expensive and resets 2019-3-1

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.1438 %	2,505.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.1438 %	3,966.9
Floater	3.03 %	3.12 %	60,256	19.44	4	-0.1438 %	2,663.7
OpRet	4.41 %	-3.71 %	27,354	0.08	2	-0.0196 %	2,748.8
SplitShare	4.31 %	4.02 %	43,390	3.71	5	-0.0294 %	3,172.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0196 %	2,513.5
Perpetual-Premium	5.44 %	1.18 %	74,181	0.09	20	-0.0020 %	2,473.8
Perpetual-Discount	5.22 %	5.14 %	111,245	15.18	15	-0.0864 %	2,634.1
FixedReset	4.28 %	3.60 %	233,669	16.45	77	-0.2249 %	2,511.5
Deemed-Retractible	5.00 %	1.37 %	98,170	0.29	40	-0.0837 %	2,598.5
FloatingReset	2.56 %	2.10 %	64,191	3.51	5	-0.0868 %	2,531.4

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.T	FixedReset	-4.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 23.11 Evaluated at bid price : 24.64 Bid-YTW : 3.77 %
IFC.PR.A	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.61 Bid-YTW : 4.61 %
ENB.PR.B	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 22.21 Evaluated at bid price : 22.56 Bid-YTW : 4.16 %
BNS.PR.P	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.62 Bid-YTW : 2.71 %
MFC.PR.F	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.01 %
GWO.PR.N	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.01 Bid-YTW : 5.29 %
ENB.PR.N	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 22.23 Evaluated at bid price : 22.80 Bid-YTW : 4.34 %
BAM.PF.F	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 23.26 Evaluated at bid price : 25.25 Bid-YTW : 4.08 %
ENB.PR.F	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 22.20 Evaluated at bid price : 22.70 Bid-YTW : 4.24 %
TRP.PR.A	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.17 %
BAM.PF.A	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 3.60 %
HSE.PR.A	FixedReset	2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.01 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.C	FixedReset	749,016	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 23.11 Evaluated at bid price : 24.87 Bid-YTW : 3.51 %
CM.PR.P	FixedReset	692,550	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 23.07 Evaluated at bid price : 24.75 Bid-YTW : 3.53 %
FTS.PR.M	FixedReset	269,800	Desjardins crossed blocks of 197,100 and 60,000 at 25.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 23.25 Evaluated at bid price : 25.25 Bid-YTW : 3.71 %
TRP.PR.E	FixedReset	116,806	RBC crossed 114,600 at 25.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 23.18 Evaluated at bid price : 25.04 Bid-YTW : 3.70 %
CM.PR.E	Perpetual-Premium	66,242	Called for redemption January 31. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : -0.24 %
ENB.PR.A	Perpetual-Premium	56,250	RBC crossed 42,700 at 25.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 24.68 Evaluated at bid price : 24.99 Bid-YTW : 5.54 %
There were 40 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.T	FixedReset	Quote: 24.64 – 25.44 Spot Rate : 0.8000 Average : 0.5662 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 23.11 Evaluated at bid price : 24.64 Bid-YTW : 3.77 %
ENB.PR.A	Perpetual-Premium	Quote: 24.99 – 25.63 Spot Rate : 0.6400 Average : 0.4751 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 24.68 Evaluated at bid price : 24.99 Bid-YTW : 5.54 %
NEW.PR.D	SplitShare	Quote: 32.12 – 33.12 Spot Rate : 1.0000 Average : 0.8457 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-26 Maturity Price : 32.07 Evaluated at bid price : 32.12 Bid-YTW : 3.71 %
SLF.PR.A	Deemed-Retractible	Quote: 23.91 – 24.35 Spot Rate : 0.4400 Average : 0.2925 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 5.32 %
PWF.PR.A	Floater	Quote: 19.25 – 20.00 Spot Rate : 0.7500 Average : 0.6105 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 2.74 %
FTS.PR.K	FixedReset	Quote: 24.30 – 24.95 Spot Rate : 0.6500 Average : 0.5176 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-16 Maturity Price : 22.96 Evaluated at bid price : 24.30 Bid-YTW : 3.51 %

STRIPS are taking off!

An obscure corner of the $12.4 trillion market for U.S. government debt is providing one of the clearest signs yet that bond investors are writing off the threat of inflation for years, if not decades, to come.

Demand for Strips, created when Wall Street banks separate the interest payments from the principal of U.S. debt and sell each at a discount, has boosted the amount outstanding to an average $211 billion this year, the most since 1999, data from the Treasury Department show. The securities, the most vulnerable to inflation of all U.S. government bonds, posted the biggest returns this year by rallying almost 50 percent.

This is particularly impressive given that the yield curve is relatively flat; the STRIPS term curve will always (by inexorable mathematics) be steeper than the bond term curve, on an accelerating basis as the bond curve gets steeper … some of these investors might find themselves bankrupt and bewildered if the curve steepens; which, theoretically, it should do as the market starts pricing in policy rate hikes (cf. 1994).

There is much wailing over drops in the CAD:

The Canadian dollar slumped below the 86-cent mark today as oil prices slipped again.

And don’t expect it to get much better, though there may be some higher points along the way.

The loonie, as Canada’s dollar coin is known, closed at 85.79 cents U.S. today, down more than half a cent.

This came as oil prices, which had stabilized, tumbled yet again, continuing the weeks of turmoil.

But it ain’t got nuthin’ on the ruble:

The ruble tumbled the most since 1998, sliding past 60 for the first time, as traders tested Russia’s willingness to defend the currency amid an oil slump that’s pushing the economy toward recession.

The ruble weakened 9.1 percent to 64.0005 per dollar at 7:57 p.m. in Moscow, the steepest slide on a closing basis since the year Russia defaulted on local-currency debt. The 10-year government bond yield rose 23 basis points to 13.23 percent. Three-month implied volatility for the ruble climbed to a six-year high as the rout triggered the Bank of Russia to sell foreign exchange, according to BCS Financial Group and MDM Bank.

Traders are pressing the central bank to buy more rubles to limit a selloff that has wiped out 22 percent of the currency’s value this month. Oil’s slide toward $60 a barrel in London and sanctions over the conflict in Ukraine are undermining confidence in Russian assets as evidence mounts that the economy is entering a recession. Industrial output fell the most in more than a year in November, data showed today.

Assiduous Reader JP, who continues to send me interesting stuff when youse guys can’t be bothered, sends me a picture, and tells me to note the high and low:

Faced with this, Russia’s central bank had little choice but to acknowledge Russia’s third world status:

The central bank increased the key rate to 17 percent from 10.5 percent effective today, it said in a statement on its website. Policy makers gathered for an unscheduled meeting after a one-point increase on Dec. 11.

“This decision is aimed at limiting substantially increased ruble depreciation risks and inflation risks,” the bank said in the statement.

Russia’s central bank raised interest rates for the sixth time in 2014 after more than $80 billion spent from its reserves failed to stop a 49 percent selloff of the ruble, the world’s worst-performing currency this year. President Vladimir Putin, whose incursion into Ukraine’s Crimea peninsula in March prompted the U.S. and its allies to strike back with sanctions, this month called for “harsh” measures to deter currency speculators.
…
The ruble yesterday tumbled past 60 for the first time on record, losing 9.7 percent to 64.4455 a dollar. That extended its plunge this year to 49 percent, which overtook the Ukrainian hryvnia’s drop. Brent, the grade of oil traders look at for pricing Russia’s main export blend, slipped 79 cents, or 1.3 percent, to end the session at $61.06 a barrel on the London-based ICE Futures Europe exchange.

Basically, nobody knows what’s going on:

Canadian stocks fell, extending losses after the worst week in three years, as declines among materials and energy shares offset gains in consumer stocks.

Materials companies lost 3.3 percent as gold and silver fell on speculation the Federal Reserve is moving closer to raising U.S. interest rates amid an improving economy. Energy shares lost 0.9 percent as oil fell to the lowest level in more than five years. Talisman Energy Inc. rallied 18 percent as people familiar with the matter said Canada Pension Plan Investment Board is weighing a bid for the oil-and-gas explorer.

The Standard & Poor’s/TSX Composite Index (SPTSX) lost 25.91 points, or 0.2 percent, to 13,705.14 at 4 p.m. in Toronto, after rising as much as 0.9 percent and then falling 0.7 percent. The equity gauge dropped 5.1 percent last week, its worst weekly decline since September 2011. Trading in S&P/TSX stocks was 31 percent below the 30-day average at closing time.

Canadian equities have pared their gain for the year to 0.6 percent, after rallying as much as 15 percent to a record in September. Oil, bank and raw-material shares, which collectively account for two-thirds of the S&P/TSX, are the worst performers among 10 groups this year, led by a 20 percent slump in energy, according to data compiled by Bloomberg.

Rumours regarding Repsol / Talisman are getting very specific:

Spain’s Repsol SA has submitted an $8.3-billion (U.S.) takeover bid for Talisman Energy Inc. amid falling oil prices and questions about Talisman’s long-term prospects, a source familiar with the situation said on Monday.

Under the offer, Repsol would pay $8 (U.S.) per share of Calgary-base‎d Talisman, the source said.

It was a deceptively mixed day for the Canadian preferred share market, with PerpetualDiscounts up 13bp, FixedResets gaining 4bp and DeemedRetractibles off 1bp, but the modest averages masked a lot of turmoil. There’s yet another very lengthy list of performance highlights, dominated by losing low-spread FixedResets. We may even have entered a period of self-feeding tax-loss selling (many of the losers are also volume highlights), but we won’t know until the season ends! Volume was above average.

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:

So according to this, TRP.PR.A, bid at 19.20, is $2.13 cheap (!), but it has already reset (at +192). TRP.PR.D, bid at 25.15 and resetting at +238bp on 2019-4-30 is $0.81 rich and TRP.PR.E, bid at 25.20 and resetting at +235bp on 2019-10-30, is $1.00 rich. The TRP issues seem to be steadily rationalizing, but there continues to be pressure on TRP.PR.A.

Now, this is really interesting. TRP.PR.A will pay 3.266%, which is to say $0.8165, until its next reset date 2019-12-31. TRP.PR.E will continue to pay its initial dividend of $1.0625 until it resets 2019-10-30 at +235. See that? Two month’s difference in reset. I think we can disregard forecasts of changes in GOC-5 yield that get that precise. That is to say, over the next five years, TRP.PR.E will pay a total of about $1.25 more than TRP.PR.A. Then it will reset at 46bp more, which is to say $0.115 p.a., forever.

And yet the difference in price is … is … SIX DOLLARS! That seems to me to be a lot to pay for a short term payment of $1.25, leaving $4.75, to earn $0.115, or 2.42%. But some people, it would seem, find this quite reasonable.

MFC has a very good fit to theory, but the Implied Volatility is very high.

There continues to be extraordinary cheapness in the lowest-spread issue, BAM.PR.X, resetting at +180bp on 2017-6-30, is bid at 20.12 and appears to be $0.89 cheap, while BAM.PR.R, resetting at +230bp 2016-6-30 is bid at 25.00 and appears to be $1.49 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 18.40, looks $1.01 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp, and bid at 24.20, looks $0.66 expensive and resets 2019-3-1

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.3030 %	2,509.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.3030 %	3,972.6
Floater	3.02 %	3.11 %	59,635	19.45	4	0.3030 %	2,667.5
OpRet	4.41 %	-3.87 %	27,159	0.08	2	-0.0979 %	2,749.3
SplitShare	4.31 %	4.11 %	45,189	3.71	5	-0.0531 %	3,173.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0979 %	2,514.0
Perpetual-Premium	5.44 %	-0.36 %	73,710	0.08	20	-0.0509 %	2,473.9
Perpetual-Discount	5.22 %	5.14 %	109,492	15.21	15	0.1326 %	2,636.3
FixedReset	4.28 %	3.64 %	225,234	16.44	75	0.0382 %	2,517.2
Deemed-Retractible	5.00 %	1.81 %	97,526	0.20	40	-0.0080 %	2,600.7
FloatingReset	2.56 %	2.10 %	64,904	3.52	5	0.0079 %	2,533.6

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.A	FixedReset	-3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.22 %
FTS.PR.H	FixedReset	-2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 3.81 %
ENB.PR.T	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 21.82 Evaluated at bid price : 22.23 Bid-YTW : 4.34 %
HSE.PR.A	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 19.04 Evaluated at bid price : 19.04 Bid-YTW : 4.11 %
ENB.PR.A	Perpetual-Premium	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 24.56 Evaluated at bid price : 24.81 Bid-YTW : 5.58 %
FTS.PR.K	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 22.92 Evaluated at bid price : 24.20 Bid-YTW : 3.53 %
ENB.PR.H	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 20.48 Evaluated at bid price : 20.48 Bid-YTW : 4.36 %
ENB.PF.G	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 22.55 Evaluated at bid price : 23.59 Bid-YTW : 4.32 %
BMO.PR.Q	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.74 Bid-YTW : 3.67 %
GWO.PR.G	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 5.39 %
PWF.PR.S	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 23.58 Evaluated at bid price : 23.95 Bid-YTW : 5.06 %
PWF.PR.T	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 23.45 Evaluated at bid price : 25.70 Bid-YTW : 3.56 %
BNS.PR.P	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 2.24 %
BNS.PR.Y	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 3.00 %
MFC.PR.J	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.16 %
TRP.PR.D	FixedReset	2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 23.26 Evaluated at bid price : 25.15 Bid-YTW : 3.64 %

Volume Highlights
Issue	Index	Shares Traded	Notes
FTS.PR.H	FixedReset	214,150	Desjardins crossed 188,300 at 18.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 3.81 %
TRP.PR.A	FixedReset	120,518	Will reset at 3.266%. Desjardins crossed 20,800 at 19.33. RBC crossed blocks of 28,200 and 24,200 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.22 %
ENB.PR.Y	FixedReset	79,491	Scotia bought 10,700 from National at 21.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 21.59 Evaluated at bid price : 21.92 Bid-YTW : 4.30 %
CM.PR.E	Perpetual-Premium	36,275	Called for redemption 2015-1-31. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-14 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : -0.42 %
TRP.PR.C	FixedReset	33,937	RBC crossed 13,200 at 18.96. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 3.97 %
BNS.PR.Q	FixedReset	29,083	RBC crossed 25,000 at 25.77. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-25 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : 2.95 %
There were 36 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CGI.PR.D	SplitShare	Quote: 25.05 – 26.14 Spot Rate : 1.0900 Average : 0.6202 YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.74 %
PWF.PR.A	Floater	Quote: 19.25 – 20.00 Spot Rate : 0.7500 Average : 0.4576 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 2.74 %
ENB.PF.G	FixedReset	Quote: 23.59 – 24.15 Spot Rate : 0.5600 Average : 0.3519 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 22.55 Evaluated at bid price : 23.59 Bid-YTW : 4.32 %
ENB.PR.A	Perpetual-Premium	Quote: 24.81 – 25.30 Spot Rate : 0.4900 Average : 0.2943 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 24.56 Evaluated at bid price : 24.81 Bid-YTW : 5.58 %
BAM.PF.A	FixedReset	Quote: 25.33 – 25.75 Spot Rate : 0.4200 Average : 0.2618 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-15 Maturity Price : 23.38 Evaluated at bid price : 25.33 Bid-YTW : 4.09 %
MFC.PR.B	Deemed-Retractible	Quote: 23.62 – 24.07 Spot Rate : 0.4500 Average : 0.3005 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.62 Bid-YTW : 5.39 %

Well, that was a week and a half!

U.S. stocks sank, with the Dow Jones Industrial Average capping its biggest weekly drop in three years, as oil continued to slide and Chinese industrial data raised concern over a global economic slowdown.

Materials stocks declined the most in the Standard & Poor’s 500 Index, losing 2.9 percent as a group, while energy shares dropped 2.2 percent. International Business Machines Corp., DuPont Co. and Exxon Mobil Corp. sank at least 2.9 percent to lead declines in all 30 Dow stocks.

The S&P 500 lost 1.6 percent to 2,002.33 at 4 p.m. in New York, extending losses in the final hour to cap a weekly drop of 3.5 percent. The Dow sank 315.51 points, or 1.8 percent, to 17,280.83. The Dow slid 3.8 percent for the week, its biggest decline since November 2011.

Canada did worse:

Canadian stocks tumbled with equities around the world, capping the worst week in three years, as the continuing selloff in oil fueled concerns over a global economic slowdown.

Energy stocks dropped with oil prices as RMP Energy Inc. and Pacific Rubiales Energy Corp. slid at least 7.9 percent. Consumer-discretionary stocks sank as Amaya Inc. plunged 18 percent. Talisman Energy Inc. soared 17 percent on speculation of a deal with Repsol SA.

The Standard & Poor’s/TSX Composite Index (SPTSX) fell 173.22 points, or 1.3 percent, to 13,731.9 at 4 p.m. in Toronto. The equity gauge dropped 5.1 percent over five days, its worst weekly decline since September 2011. Trading in S&P/TSX stocks was 12 percent above the 30-day average at this time of day.

But it’s an ill wind…:

Inflation is moribund and bond buyers love it.

As crude oil leads a collapse in commodity prices, a German gauge of the outlook for inflation over the next five years has fallen below zero. With no increases in consumer prices in sight, bondholders’ interest and repayments are worth more, inflaming demand for fixed income. The longest maturities are setting the pace from Europe to the U.S.

The rush for bonds pushed yields in Germany and six other euro-area nations to record lows today, while in the U.S, 30-year yields closed at the lowest level since 2012, according to data compiled by Bloomberg. Adding to the momentum is the prospect that central-bank measures to rekindle inflation would involve efforts to keep down borrowing costs, including so-called quantitative easing from the European Central Bank

… and Treasuries…:

Treasuries rallied, with 10-year yields reaching the lowest in eight weeks, as a plunge in crude oil raised concern global inflation is slipping further below central-bank targets before the Federal Reserve meets next week.

The notes posted the biggest weekly decline in yield since June 2012 as crude oil futures fell below $58 a barrel in New York. Fed policy makers will review whether to retain the vow to hold interest rates at virtually zero for a “considerable time.” The biggest U.S. jobs gains in November since January 2012 fueled speculation last week of quicker interest-rate increases, while reports showing slowing factory output in China’s and financial turmoil in Greece represent additional economic headwinds for the U.S.
…
Treasury 10-year note yields fell eight basis points, or 0.08 percentage point, to 2.08 percent at 5 p.m. in New York, according to Bloomberg Bond Trader prices, after reaching the lowest level since Oct. 16. The 2.25 percent security rose 23/32 or $7.19 per $1,000 face amount, to 101 15/32. The yield has fallen 22 basis points this week, the most since June 2012.

So it seems as if the CSE is introducing market-makers:

Following the successful completion of a pilot project with two symbols, the CSE is now accepting applications for Market Makers for all CSE-listed securities. As outlined in the November 14 notice the CSE is modifying its market making programme to improve execution quality and service for retail investors. Market Makers will have the following responsibilities in their assigned stocks:

• •Maintain a bid/ask spread goal
• •Provide a Guaranteed Minimum Fill for eligible orders
• •Provide automatic odd lot execution, so that all incoming market or better limit odd lot orders will be auto traded at the bid/ask if they cannot be filled by booked odd lot orders;
• •Ensure a reasonable bid/ask in the context of current market conditions
• •Undergo periodic performance reviews

If the Toronto Stock Exchange is any guide, then:

• The bid/ask spread goal will neither be publicized nor enforced
• The size of the Guaranteed Minimum Fill will be top secret information, available only to those who pay for it
• Automatic odd lot execution will be fine. Yay!
• A reasonable bid/ask spread will be good fodder for jokes
• performance reviews will not be public and nobody will ever lose their assignment

DBRS downgraded Timmy’s:

DBRS Limited (DBRS) has today downgraded the Issuer Rating of Tim Hortons Inc. (THI or the Company) to BB (low) and its Senior Unsecured Debt to B, with a recovery rating of RR6; the trends are Stable. This action follows the Company’s announcement that it has received regulatory approval for and its shareholders have voted in favour of the proposed transaction to create a new global quick-service restaurant leader that would own both THI and Burger King Worldwide, Inc. (Burger King) under a new parent company, Restaurant Brands International (RBI). DBRS has removed the ratings from Under Review with Negative Implications.
…
Financial Risk Profile
In terms of financial profile, RBI is expected to have balance sheet debt of over $9 billion and preferred shares of $3 billion. Combined with pro forma earnings, DBRS estimates the combined entity will have lease-adjusted debt-to-EBITDAR excluding the preferred shares of approximately 6.23 times (x) and fixed-charge coverage of 1.96x, including the preferred dividend, credit metrics considered at the lower-end of the B range of ratings. That said, the combined entity should nevertheless generate meaningful levels of free cash flow (based on solid operating cash flow and low maintenance capex) beginning in 2016 and could deleverage significantly through a combination of debt repayment and earnings growth.

But, wonder of wonders, the Canadian preferred share market had a very good day, with PerpetualDiscounts up 8bp, FixedResets rocketing up 62bp and DeemedRetractibles gaining 3bp. Not surprisingly, given the averages, the lengthy Performance Highlights table is dominated by FixedReset winners. Volume was high.

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

Remember that all rich /cheap assessments are:

• based on Implied Volatility Theory only
• are relative only to other FixedResets from the same issuer
• assume constant GOC-5 yield
• assume constant Implied Volatility
• assume constant spread

Here’s TRP:

So according to this, TRP.PR.A, bid at 19.90, is $1.29 cheap, but it has already reset. TRP.PR.B, bid at 17.20, resetting 2015-6-30 is about 0.21 rich and TRP.PR.C, bid at 18.65, resetting 2016-1-30 is fairly priced. The TRP issues seem to be steadily rationalizing, but there continues to be pressure on TRP.PR.A.

It looks like we’re back in the situation in which eight of the nine issues are well-behaved in accordance with theory, but extraordinary pressure on the lowest-spread issue, MFC.PR.F, is distorting the whole calculation. According to the distorted fit, MFC.PR.F, resetting at +141 on 2016-6-19 is about $0.62 cheap, while MFC.PR.L, resetting at +216 on 2019-6-19, is about $0.61 rich.

BAM is a little difficult to figure out:

As with MFC, it looks as if extraordinary cheapness in the lowest-spread issue, BAM.PR.X, resetting at +180bp on 2017-6-30, may be throwing off the Implied Volatility calculation; be that as it may, BAM.PR.X is bid at 20.10 and appears to be $0.99 cheap, while BAM.PR.R, resetting at +230bp 2016-6-30 is bid at 25.02 and appears to be $1.43 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 18.90, looks $0.81 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp, and bid at 24.62, looks $0.82 expensive and resets 2019-3-1

And now it’s time for PrefLetter!

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.8015 %	2,501.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.8015 %	3,960.6
Floater	3.03 %	3.13 %	61,910	19.42	4	-0.8015 %	2,659.4
OpRet	4.41 %	-5.72 %	28,284	0.08	2	-0.1369 %	2,752.0
SplitShare	4.30 %	4.07 %	44,928	3.72	5	-0.1096 %	3,175.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1369 %	2,516.4
Perpetual-Premium	5.44 %	1.31 %	74,566	0.08	20	0.0137 %	2,475.1
Perpetual-Discount	5.23 %	5.15 %	111,129	15.21	15	0.0750 %	2,632.9
FixedReset	4.28 %	3.64 %	224,047	16.51	75	0.6184 %	2,516.2
Deemed-Retractible	5.00 %	1.32 %	97,795	0.21	40	0.0279 %	2,600.9
FloatingReset	2.56 %	2.12 %	64,801	3.53	5	-0.3147 %	2,533.4

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.A	FixedReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.07 %
TRP.PR.C	FixedReset	-2.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 3.98 %
BAM.PR.C	Floater	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 3.14 %
BAM.PR.B	Floater	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 3.15 %
FTS.PR.H	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 3.70 %
CU.PR.C	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 23.56 Evaluated at bid price : 25.25 Bid-YTW : 3.60 %
BNS.PR.R	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.25 %
IFC.PR.C	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 2.26 %
MFC.PR.C	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 5.62 %
BAM.PR.R	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 23.72 Evaluated at bid price : 25.02 Bid-YTW : 3.64 %
BNS.PR.Q	FixedReset	1.26 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-25 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 2.97 %
FTS.PR.K	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 23.09 Evaluated at bid price : 24.62 Bid-YTW : 3.44 %
ENB.PR.T	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 22.12 Evaluated at bid price : 22.69 Bid-YTW : 4.23 %
BAM.PF.F	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.53 Bid-YTW : 3.98 %
NA.PR.S	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 23.35 Evaluated at bid price : 25.45 Bid-YTW : 3.60 %
TRP.PR.E	FixedReset	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 23.24 Evaluated at bid price : 25.20 Bid-YTW : 3.67 %
IFC.PR.A	FixedReset	1.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.39 %
MFC.PR.L	FixedReset	1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 3.66 %
BMO.PR.M	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 3.15 %
MFC.PR.F	FixedReset	1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 4.92 %
BAM.PF.A	FixedReset	1.96 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 3.87 %
BNS.PR.P	FixedReset	2.15 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 2.60 %
BAM.PF.B	FixedReset	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 23.18 Evaluated at bid price : 24.88 Bid-YTW : 3.90 %
GWO.PR.N	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.16 Bid-YTW : 5.19 %
MFC.PR.H	FixedReset	2.93 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 2.72 %
PWF.PR.T	FixedReset	5.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 23.37 Evaluated at bid price : 25.44 Bid-YTW : 3.61 %

Volume Highlights
Issue	Index	Shares Traded	Notes
IAG.PR.E	Deemed-Retractible	148,462	Nesbitt crossed 148,400 at 25.98. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 26.00 Evaluated at bid price : 25.97 Bid-YTW : 4.43 %
ENB.PR.Y	FixedReset	122,022	RBC crossed 97,800 at 21.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 21.58 Evaluated at bid price : 21.91 Bid-YTW : 4.30 %
FTS.PR.M	FixedReset	106,445	Scotia crossed blocks of 53,200 and 40,000, both at 25.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 23.23 Evaluated at bid price : 25.20 Bid-YTW : 3.71 %
MFC.PR.N	FixedReset	71,890	Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 3.74 %
TRP.PR.A	FixedReset	53,405	Will reset at 3.266%. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.07 %
CM.PR.E	Perpetual-Premium	48,584	Called for redemption 2015-1-31. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-11 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : -0.97 %
There were 45 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
NEW.PR.D	SplitShare	Quote: 32.47 – 33.35 Spot Rate : 0.8800 Average : 0.6946 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-26 Maturity Price : 32.07 Evaluated at bid price : 32.47 Bid-YTW : 3.52 %
PWF.PR.P	FixedReset	Quote: 20.60 – 21.18 Spot Rate : 0.5800 Average : 0.4300 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 3.67 %
TRP.PR.D	FixedReset	Quote: 24.59 – 25.16 Spot Rate : 0.5700 Average : 0.4215 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 23.06 Evaluated at bid price : 24.59 Bid-YTW : 3.75 %
TRP.PR.C	FixedReset	Quote: 18.65 – 19.10 Spot Rate : 0.4500 Average : 0.3112 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 3.98 %
IGM.PR.B	Perpetual-Premium	Quote: 26.05 – 26.50 Spot Rate : 0.4500 Average : 0.3421 YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 4.96 %
TRP.PR.B	FixedReset	Quote: 17.20 – 17.49 Spot Rate : 0.2900 Average : 0.1856 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-12 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 3.81 %