PrefBlog

Here’s to the new feds, just like the old feds:

If you closed your eyes, you could almost imagine Stephen Harper is still prime minister.

Progressive voters who hoped Justin Trudeau would abruptly shift the federal government to the left once he became Prime Minister must be in despair as the new regime announces one conservative-friendly policy after another – further proof that when it comes to the really big decisions, the imperative of protecting jobs and the economy trumps human rights, the environment and other concerns in these difficult days.

For the umpteenth time, the Liberals campaigned from the left and now are governing from the centre-right. Only those born yesterday will be surprised by this.
…
The Liberals have taken a few token progressive steps: appointing women to half the posts in cabinet, restoring the long-form census, cancelling an ugly and intrusive monument to the victims of communism – that sort of on-the-margins thing. But on the big stuff, everyone is a Conservative, especially the Liberals.

It is my theory that on big, highly visible policy issues, you are actually more likely to get the right thing done if you have a government that – in theory – opposes the policy. For instance, consider the nineties when Chretien and Martin hacked away the deficit and got federal finances on an even keel. They did the right thing; many of their supporters criticized them harshly for this, but I suggest that a Conservative government at that time would not have been anywhere near so decisive.

If the Conservatives had done it, it would have reinforced every stereotype in the book; they would have cemented a reputation as the heartless party of Big Business only and would still be feeling that pain … in much the same way as the Ontario Progressive Conservatives are still losing votes because of Mike Harris’ ‘Common Sense Revolution’.

But when the Liberals do it … people first think that what the government is doing is awful … then they remember that it goes against party stereotypes to some degree … and then they decide that the situation must be really serious and the actions really necessary if the party is going against the grain. The Liberals have more political room to impose austerity; the Conservatives have more political room to run deficits totalling $127-billion.

And in the last campaign, the NDP couldn’t promise deficit-financed infrastructure spending; that would have reinforced their stereotype. The Liberals could.

So anyway, it was a cruddy day for equities:

The Standard & Poor’s 500 Index capped its worst-ever four-day start to a year, while gold rallied with the yen as turmoil in China spread around the world and billionaire George Soros warned that a larger crisis may be brewing.

The U.S. equities benchmark ended the first four days of 2016 lower by 4.9 percent, while the Dow Jones Industrial Average has erased more than 900 points so far this year. A measure of global shares wrapped up a four-day slide of 5.2 percent, its worst start in records back to 1998. Selling in global equities began in China after the central bank weakened the yuan an eighth day. Crude settled at a 12-year low, and copper dipped below $2 for the first time since 2009. The yen reached a four-month high.
…
The Standard & Poor’s 500 Index slid 2.4 percent at 4:15 p.m in New York. The index is down 4.9 percent this year, its worst start in data going back to 1928. The MSCI All-Country World Index fell for a fourth day, bringing its slide this year to 5.2 percent.

And pundits are dividing blame between Chinese retail investors …:

The globe-spanning stampede is vast and complicated, as hedge-fund managers, currency specialists and oil traders from Bangkok to Frankfurt weigh everything from rising U.S. interest rates to overflowing crude-oil storage tanks and a rising belief that China’s economic slowdown is more severe than once thought, and getting worse.

But at the head of the stampede is a cavalcade of largely unsophisticated Chinese investors who live in a country that has made gambling illegal but turned its stock markets into the world’s largest casino. This is not a small group, numbering nearly three times the population of Canada, but they are among the most active retail traders on Earth – and they’re playing roulette at a table where everyone is whispering that it’s time to bet on red.

… and ham-fisted Chinese regulators:

After watching a stock-market collapse wipe out $5 trillion of wealth in less than three months last year, Chinese authorities hatched a plan to stem the pain: circuit breakers that would be triggered by daily declines of 5 percent.

The new system went into effect Jan. 4. It lasted all of four days. After two harrowing sessions — on Monday and Thursday — that tripped the breaker repeatedly and convulsed global markets, officials suspended the rule, saying it was only exacerbating declines. While that acknowledgment addresses critics’ concerns, the flip-flop at the same time only adds to the sentiment among global investors that authorities are improvising — and improvising poorly — as they try to stabilize markets and shore up the economy.
…
On the currency front, policy makers have pledged to keep the yuan stable, drawing down a record $108 billion from foreign reserves last month to prop it up. At the same time, the People’s Bank of China set its reference rate at unexpectedly weak levels this week, raising speculation that it’s more tolerant of depreciation to spur exports.

“The more alarming thing is that they weakened the currency after saying they wouldn’t,” said Patrick Chovanec, New York-based chief strategist at Silvercrest Asset Management Group. “So that raises all these issues of mixed signals, confusion. It is very unclear what the policy is, whether they know what the policy is, whether they know how to implement the policy.”
…
Chinese regulators moved to control the damage earlier Thursday, imposing a new limit on the amount of stock that major corporate shareholders can sell. That followed intervention by government funds to prop up shares on Tuesday, according to people familiar with the matter.

The Chinese circuit-breakers have attracted high-level criticism:

“They’re just on the wrong track,” said Nicholas Brady, 85, the former U.S. Treasury secretary who ran a committee that recommended the curbs on equity trading after the 1987 crash. “They need a set of circuit breakers that appropriately reflects their market.”

Brady spoke Thursday after Chinese regulators suspended their newly introduced program that ends stock trading for the entire day after a 7 percent plunge. The halt was set off twice in its first week of operation, bolstering speculation China set its threshold too low.
…
“I don’t think this is an exact science,” said Sang Lee, an analyst at financial-markets researcher Aite Group. With circuit breakers, “If you set these too low, instead of easing volatility it may increase volatility.”

That echoes the view of Brady, who was chairman of Wall Street powerhouse Dillon Read & Co. when President Ronald Reagan asked him to figure out what happened during the 1987 crash and propose solutions.

Meanwhile, Adam Haigh on Bloomberg reminds us there’s still lots of arbitrary rules to restrict Chinese markets:

A 10 percent daily limit on single stock moves and a rule preventing investors from buying and selling the same shares in a day remain in force. Volume in what was once the world’s most active index futures market is minimal after authorities curtailed trading amid a summer rout, making it more difficult to implement hedging strategies. Officials unveiled curbs Thursday on share sales by major stockholders just a day before an existing ban was due to expire. And the activity of foreign investors is limited by quotas, given either to asset managers or to users of the Hong Kong-Shanghai exchange link.
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There’s also the prospect that regulators and executives will dust off last year’s playbook as they seek to stem losses. At the height of the summer rout, about half of China’s listed companies were halted, while officials investigated trading strategies, made it harder for investors to borrow money to buy equities and vowed to “purify” the market.

Meanwhile, Poloz has a new script from his new masters:

Bank of Canada governor Stephen Poloz is encouraging the Liberal government to act on promised infrastructure spending, acknowledging there are limits to what monetary policy can do to boost Canada’s sluggish economy.

Officials with Canada’s central bank are currently working with the Finance Department on economic models aimed at measuring the likely impact of promised government spending on infrastructure, as well as tax cuts that took effect this year.
…
Speaking to reporters in Ottawa, Mr. Poloz said the cheaper dollar alone is not enough to counter the shock from the commodities price slump. And he said the economy would benefit from some government fiscal policy.

“Infrastructure is an ingredient to economic growth. It’s sort of the enabler of economic growth,” he said.

Speaking of the Canadian dollar, I ran across the publication A History of the Canadian Dollar by James Powell and published by the Bank of Canada today. It’s ten years old now … it might need a new chapter! I’m too young to remember the hey-day of:

… so I’ll have to find solace in boring the whippersnappers with tales of:

There’s a chance that PrefBlog won’t have John Nagel to kick around any more:

John Nagel, a fixture in the preferred share market for more than three decades, has retired from his post at Desjardins Securities.

But it’s not clear at this stage, whether Nagel who spent the past 13 plus years at Desjardins, has retired from the investment industry.

In a note to clients, Nagel – who first traded preferred shares while at Gardiner Watson in the mid-1980s – noted the firm had achieved a “great deal” since he arrived in June 2002. For instance the firm “established and earned a significant improvement in its syndication positions,” as well as hiring and training assistants and analysts “many of whom have continued on successfully in the financial services field.” In addition, Nagel’s team, that produced market commentary and market, improved the firm’s preferred trading and sales activities.
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With Nagel’s retirement, the preferred share department will report to Mark Lucey, a managing director and head of equities and capital markets. Previously it reported to fixed income. Julian Pope, David Paul and Alex Somjen will now man the firm’s pref share group.

Meanwhile, in the Canadian preferred share market:

It was an appalling day for the Canadian preferred share market, with PerpetualDiscounts down 101bp, FixedResets losing 136bp and DeemedRetractibles off 63bp. The Performance Highlights table is about as long as one might expect. Volume was well below 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	4.85 %	5.88 %	27,752	16.80	1	-1.7544 %	1,605.2
FixedFloater	6.82 %	6.05 %	32,894	16.14	1	0.0000 %	2,859.5
Floater	4.29 %	4.53 %	81,017	16.40	4	-2.4801 %	1,780.7
OpRet	0.00 %	0.00 %	0	0.00	0	-0.3178 %	2,735.5
SplitShare	4.83 %	5.76 %	74,846	1.82	6	-0.3178 %	3,201.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3178 %	2,497.6
Perpetual-Premium	5.87 %	3.79 %	84,250	0.09	6	-0.5644 %	2,515.6
Perpetual-Discount	5.71 %	5.75 %	94,652	14.31	34	-1.0117 %	2,528.5
FixedReset	5.29 %	4.64 %	243,586	14.80	81	-1.3646 %	1,951.6
Deemed-Retractible	5.26 %	5.23 %	121,283	5.28	34	-0.6262 %	2,559.5
FloatingReset	2.89 %	4.49 %	62,948	5.62	13	-0.5922 %	2,085.1

Performance Highlights
Issue	Index	Change	Notes
VNR.PR.A	FixedReset	-7.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 5.13 %
PWF.PR.T	FixedReset	-5.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 3.87 %
HSE.PR.A	FixedReset	-4.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 11.31 Evaluated at bid price : 11.31 Bid-YTW : 5.44 %
SLF.PR.H	FixedReset	-4.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 8.53 %
CCS.PR.C	Deemed-Retractible	-4.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.02 Bid-YTW : 6.84 %
BAM.PR.T	FixedReset	-3.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 16.21 Evaluated at bid price : 16.21 Bid-YTW : 4.83 %
BAM.PF.E	FixedReset	-3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.74 %
BAM.PR.B	Floater	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.53 %
BMO.PR.Q	FixedReset	-3.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.64 %
MFC.PR.F	FixedReset	-3.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.78 Bid-YTW : 9.87 %
SLF.PR.J	FloatingReset	-3.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.15 Bid-YTW : 9.96 %
BAM.PR.X	FixedReset	-3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 14.32 Evaluated at bid price : 14.32 Bid-YTW : 4.69 %
NA.PR.W	FixedReset	-3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.54 %
FTS.PR.K	FixedReset	-3.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 4.21 %
BMO.PR.Y	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 4.50 %
BAM.PR.C	Floater	-2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 10.43 Evaluated at bid price : 10.43 Bid-YTW : 4.56 %
RY.PR.M	FixedReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 4.48 %
BAM.PR.K	Floater	-2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.53 %
BAM.PF.B	FixedReset	-2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 4.71 %
MFC.PR.L	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.12 Bid-YTW : 7.65 %
W.PR.J	Perpetual-Discount	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 22.88 Evaluated at bid price : 23.15 Bid-YTW : 6.07 %
CM.PR.Q	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.56 %
MFC.PR.K	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.82 Bid-YTW : 7.77 %
BNS.PR.Z	FixedReset	-2.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.02 Bid-YTW : 7.00 %
FTS.PR.H	FixedReset	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 13.81 Evaluated at bid price : 13.81 Bid-YTW : 4.09 %
RY.PR.J	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.55 %
POW.PR.D	Perpetual-Discount	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.66 Evaluated at bid price : 21.91 Bid-YTW : 5.72 %
POW.PR.G	Perpetual-Discount	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 23.53 Evaluated at bid price : 24.00 Bid-YTW : 5.84 %
BAM.PF.G	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 4.67 %
MFC.PR.I	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 6.46 %
MFC.PR.H	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.14 %
NA.PR.S	FixedReset	-1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.57 %
BAM.PF.A	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.71 %
TRP.PR.D	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.64 %
BAM.PR.R	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.00 %
PWF.PR.R	Perpetual-Discount	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 23.17 Evaluated at bid price : 23.60 Bid-YTW : 5.82 %
MFC.PR.G	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 6.68 %
TRP.PR.F	FloatingReset	-1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 4.54 %
SLF.PR.G	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.36 Bid-YTW : 9.29 %
GWO.PR.N	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.31 Bid-YTW : 10.16 %
MFC.PR.J	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 6.91 %
BAM.PR.E	Ratchet	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 5.88 %
MFC.PR.C	Deemed-Retractible	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 7.50 %
PWF.PR.K	Perpetual-Discount	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.49 Evaluated at bid price : 21.49 Bid-YTW : 5.77 %
PWF.PR.H	Perpetual-Premium	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 24.22 Evaluated at bid price : 24.51 Bid-YTW : 5.87 %
W.PR.H	Perpetual-Discount	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.00 %
BNS.PR.N	Deemed-Retractible	-1.53 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 4.66 %
MFC.PR.B	Deemed-Retractible	-1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 7.33 %
BAM.PF.F	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.67 %
SLF.PR.I	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.01 Bid-YTW : 7.22 %
TD.PF.E	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 4.42 %
BMO.PR.Z	Perpetual-Discount	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 22.84 Evaluated at bid price : 23.23 Bid-YTW : 5.44 %
PWF.PR.P	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 4.36 %
CM.PR.O	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.37 %
TD.PF.D	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.52 %
CU.PR.G	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.63 %
FTS.PR.G	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.06 Evaluated at bid price : 17.06 Bid-YTW : 4.43 %
ELF.PR.F	Perpetual-Discount	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 22.44 Evaluated at bid price : 22.70 Bid-YTW : 5.85 %
TD.PR.Y	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 3.92 %
TRP.PR.H	FloatingReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 9.71 Evaluated at bid price : 9.71 Bid-YTW : 4.53 %
SLF.PR.E	Deemed-Retractible	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.26 Bid-YTW : 7.47 %
MFC.PR.N	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.06 Bid-YTW : 7.08 %
FTS.PR.M	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.46 %
IFC.PR.A	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.35 Bid-YTW : 9.35 %
MFC.PR.M	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.43 Bid-YTW : 6.88 %
ELF.PR.G	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.68 %
CU.PR.F	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.63 %
CM.PR.P	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 4.38 %
BNS.PR.C	FloatingReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 4.52 %
RY.PR.H	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 4.39 %
RY.PR.I	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.44 Bid-YTW : 4.39 %
BAM.PR.Z	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.61 Evaluated at bid price : 19.61 Bid-YTW : 4.87 %
CU.PR.D	Perpetual-Discount	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.45 Evaluated at bid price : 21.77 Bid-YTW : 5.69 %
GWO.PR.S	Deemed-Retractible	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.12 Bid-YTW : 5.81 %
CU.PR.H	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 23.15 Evaluated at bid price : 23.45 Bid-YTW : 5.66 %
POW.PR.A	Perpetual-Discount	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 23.96 Evaluated at bid price : 24.21 Bid-YTW : 5.80 %
PWF.PR.A	Floater	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 12.61 Evaluated at bid price : 12.61 Bid-YTW : 3.78 %
FTS.PR.J	Perpetual-Discount	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.45 Evaluated at bid price : 21.78 Bid-YTW : 5.51 %
HSE.PR.C	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 5.63 %
BNS.PR.D	FloatingReset	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.24 Bid-YTW : 6.95 %
HSE.PR.G	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.84 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	162,764	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.64 Bid-YTW : 5.05 %
TRP.PR.H	FloatingReset	110,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 9.71 Evaluated at bid price : 9.71 Bid-YTW : 4.53 %
TRP.PR.F	FloatingReset	106,435	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 4.54 %
MFC.PR.F	FixedReset	105,420	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.78 Bid-YTW : 9.87 %
BNS.PR.E	FixedReset	102,593	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : 4.97 %
SLF.PR.I	FixedReset	74,345	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.01 Bid-YTW : 7.22 %
There were 21 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
VNR.PR.A	FixedReset	Quote: 17.62 – 18.91 Spot Rate : 1.2900 Average : 0.8588 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 5.13 %
CCS.PR.C	Deemed-Retractible	Quote: 22.02 – 22.75 Spot Rate : 0.7300 Average : 0.4943 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.02 Bid-YTW : 6.84 %
POW.PR.G	Perpetual-Discount	Quote: 24.00 – 24.50 Spot Rate : 0.5000 Average : 0.3265 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 23.53 Evaluated at bid price : 24.00 Bid-YTW : 5.84 %
PWF.PR.T	FixedReset	Quote: 21.02 – 22.00 Spot Rate : 0.9800 Average : 0.8083 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 3.87 %
CU.PR.G	Perpetual-Discount	Quote: 20.25 – 20.70 Spot Rate : 0.4500 Average : 0.2944 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.63 %
RY.PR.O	Perpetual-Discount	Quote: 22.60 – 22.97 Spot Rate : 0.3700 Average : 0.2234 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 22.31 Evaluated at bid price : 22.60 Bid-YTW : 5.48 %

Well, it was a pretty lousy day for equities:

Global equities capped their worst start to a year since 2000, with the Dow Jones Industrial Average sliding more than 250 points, as China unexpectedly weakening its currency fueled fresh concern over the strength of the world economy. Bonds gained.

The MSCI All-Country World Index ended the first three days of 2016 down by 3.3 percent, as U.S. stocks fell to a three-month low and emerging-market shares dropped to their cheapest level since 2009. Brent crude plunged to its lowest point since 2004, while U.S. oil spiked below $34 a barrel as supplies at a hub rose to a record. The dollar pared gains after minutes of the Federal Reserve’s last meeting were released. Treasuries jumped, with yields on 10-year notes dropping seven basis points to 2.17 percent.
…
China’s growing tolerance for a weaker yuan signaled the government is struggling in its efforts to shore up economic growth and rekindled concern last seen in August, when U.S. stocks entered their first correction in four years amid anxiety the slowdown in China would hamper global growth. U.S. crude’s plunge toward $34 a barrel heightened disinflation fears as investors assess the ability of central banks to meet policy goals. The World Bank cut its global growth forecasts for this year and next as markets closed.

… and this had an effect on the loonie …

But on Wednesday, Canada’s benchmark heavy crude price was hit hard again, falling below $20 (U.S.) a barrel for the first time since record-keeping for that grade began seven years ago. It fell in concert with global crude prices such as the international benchmark Brent, which sank to its lowest since 2004.

That helped pull the loonie down half a cent to less than 71 cents. The Canadian currency has been hit by the oil shock, poor prospects for domestic economic growth and the different paths on interest rates being taken by the U.S. Federal Reserve Board and the Bank of Canada.

The Canadian dollar, which sank 16 per cent last year, has now reached depths last seen in August, 2003, and further weakening is possible. That spells more worries for importers as well as travellers heading to the United States.

Meanwhile, the S&P/TSX composite index skidded 193 points to 12,726.80 in its third straight session of losses, pulled lower by energy shares such as Encana Corp. and Paramount Resources Ltd.

… and given the state of overnight markets:

The worst start for Chinese markets in two decades showed no signs of letting up after the central bank cut its yuan reference rate by the most since August, sparking a selloff in stocks that forced the $6.6 trillion market to shut early.

China’s CSI 300 Index plunged 7.2 percent before bourses were halted by circuit breakers in the first half hour of trading, while the onshore yuan weakened 0.6 percent versus the dollar to a five-year low. The People’s Bank of China cut its reference rate on Thursday for an eighth straight day, fueling concern that tepid economic growth is prompting authorities to guide the currency lower.

… it looks like tomorrow might be worse:

U.S. index futures sank after China’s weaker yuan fix spurred a rout in the nation’s equities that triggered a market-wide halt for the second time this week.

Contracts on the Standard & Poor’s 500 Index slid 1.7 percent to 1,953 as of 2:40 p.m. in Hong Kong. Those on the Dow Jones Industrial Average lost 1.6 percent after the gauge capped its worst three-day start to a year since 2008. Chinese stock exchanges closed less than half an hour after they opened as the CSI 300 Index plunged more than 7 percent, setting off a circuit-breaker mechanism.

Meanwhile Fischer is indicating a steady policy of Fed hikes:

Federal Reserve Vice Chairman Stanley Fischer said policy makers’ forecasts predicting four interest-rate increases in 2016 were “in the ballpark,” though China’s slowing economy and other sources of uncertainty make it difficult to predict the path of policy.

“The reason we meet eight times a year is because things happen, and as they happen you want to adjust your policy,” Fischer said in an interview Wednesday on CNBC.

Fischer’s remarks come three weeks after the Fed raised interest rates for the first time in almost a decade. Policy makers said at the time they would continue to monitor real and expected progress on inflation, which remains below their 2 percent target, as they contemplate when to raise again.

And a modest rise in Canadian mortgage rates has the chatteratti going wild!

There’s just one reason for the strength of Canada’s housing market – low, stable mortgage rates.

Rates are still low, but the stable part is in question after Royal Bank of Canada announced a small but still significant round of mortgage rate increases that will take effect Friday. Other banks will likely adjust rates as well, after a brief period of letting RBC draw fire as the first to move.

RBC will increase borrowing costs on special offers for fixed-rate mortgages with terms of two to five years by 0.1 of a percentage point.
…
Lenders are facing higher costs for financing mortgages as a result of new mortgage market rules introduced last year by federal regulators. As well, unsettled financial market conditions are forcing lenders to pay higher rates on the money they raise to lend out as mortgages.

Has anybody seen a lift in GIC rates lately?

TransCanada Corporation, proud issuer of TRP.PR.A, TRP.PR.B, TRP.PR.C, TRP.PR.D, TRP.PR.E, TRP.PR.F, TRP.PR.G and TRP.PR.H, has announced a NAFTA claim regarding the Keystone XL refusal:

TransCanada Corporation (TSX:TRP) (NYSE:TRP) (TransCanada) announced today it has filed a Notice of Intent to initiate a claim under Chapter 11 of the North American Free Trade Agreement (NAFTA) in response to the U.S. Administration’s decision to deny a Presidential Permit for the Keystone XL Pipeline on the basis that the denial was arbitrary and unjustified.

TransCanada also has filed a lawsuit in the U.S. Federal Court in Houston, Texas, asserting that the President’s decision to deny construction of Keystone XL exceeded his power under the U.S. Constitution.

Further, as a result of the permit denial, TransCanada is reviewing the approximate $4.3 billion (US$3.1 billion) carrying value invested in the project and related assets and expects that an estimated $2.5 to $2.9 billion after-tax write-down will be recorded in the company’s fourth quarter results.

DBRS says ‘no big deal’:

DBRS Limited (DBRS) notes that TransCanada Corporation (TCC, or the Company) announced today that it has filed a Notice of Intent to initiate a claim under Chapter 11 of the North American Free Trade Agreement (NAFTA) in response to the U.S. Administration’s decision to deny a Presidential border crossing permit for the Keystone XL pipeline project (KXL) on the basis that the denial was arbitrary and unjustified. Through the NAFTA claim, TCC will be seeking to recover more than USD 15 billion in costs and damages suffered by the Company as a result of the U.S. Administration’s breach of its NAFTA obligations. Concurrently, TCC has filed a lawsuit in the U.S. Federal Court in Houston, Texas, asserting that the President’s decision to deny construction of KXL exceeded his power under the U.S. Constitution.
…
Overall, DBRS views the impact of TCC’s legal actions to be credit neutral. DBRS had previously commented (Press release dated November 6, 2015) that it viewed the denial of the KXL permit as having no impact on the credit ratings of TCC, and its wholly owned subsidiaries (TransCanada PipeLines Limited and Nova Gas Transmission Limited). Today’s announcement does not impact the Company’s business risk profile as the current ratings reflect environmental, regulatory and political risks with respect to several of the Company’s development projects, including KXL. Furthermore, TCC expects the support for this energy infrastructure project from shippers, underpinned by long-term contracts, to continue through the remedial process. DBRS has modeled the impact of the $2.9 billion writedown (maximum of the range) together with TCC’s recent approximately $300 million share buyback (December 2015), and the USD 654 million acquisition of Ironwood Power Plant (October 2015; 100% debt financed, expected to close Q1 2016) on the Company’s credit metrics on a pro forma basis, and has concluded that the writedown does not have an impact on the Company’s financial risk profile as key credit metrics are expected to remain reasonable for the current rating of A (low), with a Stable trend.

It was another awful day for the Canadian preferred share market, with PerpetualDiscounts off 17bp, FixedResets losing 58bp and DeemedRetractibles down 26bp. The Performance Highlights table is again very lengthy. Volume was well below 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:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.50 to be $1.04 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.46 cheap at its bid price of 11.45.

Most expensive is MFC.PR.M, resetting at +236bp on 2019-12-19, bid at 19.68 to be 0.61 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 20.48 to be 0.62 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.65 to be $1.51 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 19.45 and appears to be $0.93 rich.

FTS.PR.K, with a spread of +205bp, and bid at 18.38, looks $0.85 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.30 and is $0.66 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.00%, with one outlier below -2.00%. There is one junk outlier below -2.00% and three above 0.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.76 %	5.77 %	28,945	16.94	1	1.7857 %	1,633.9
FixedFloater	6.82 %	6.05 %	33,401	16.14	1	0.0000 %	2,859.5
Floater	4.19 %	4.37 %	82,161	16.71	4	0.6687 %	1,826.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,744.2
SplitShare	4.81 %	5.61 %	77,849	2.79	6	0.0000 %	3,211.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,505.5
Perpetual-Premium	5.83 %	-0.81 %	90,248	0.09	6	0.1618 %	2,529.8
Perpetual-Discount	5.65 %	5.67 %	97,982	14.40	34	-0.1724 %	2,554.3
FixedReset	5.22 %	4.54 %	246,690	15.61	81	-0.5771 %	1,978.6
Deemed-Retractible	5.23 %	5.05 %	123,119	5.29	34	-0.2673 %	2,575.7
FloatingReset	2.87 %	4.37 %	63,812	5.62	13	-0.0815 %	2,097.5

Performance Highlights
Issue	Index	Change	Notes
BNS.PR.D	FloatingReset	-5.16 %	The closing bid of 18.02 is actually pretty reasonable – the issue traded 6,232 shares today in a range of 18.10-95 before closing at 18.02-29, 1×1. The execution prices nosedived from 18.67 at 3:21pm to 18.10 at 3:53pm on twelve trades out of CIBC totalling 2500 shares. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.02 Bid-YTW : 7.17 %
IFC.PR.C	FixedReset	-4.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.17 Bid-YTW : 7.72 %
CU.PR.C	FixedReset	-3.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 4.49 %
HSE.PR.A	FixedReset	-3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 5.19 %
TRP.PR.C	FixedReset	-3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 11.45 Evaluated at bid price : 11.45 Bid-YTW : 4.93 %
TRP.PR.B	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 11.10 Evaluated at bid price : 11.10 Bid-YTW : 4.60 %
TRP.PR.D	FixedReset	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 4.54 %
SLF.PR.I	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 7.01 %
IAG.PR.G	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 6.54 %
FTS.PR.F	Perpetual-Discount	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 22.34 Evaluated at bid price : 22.61 Bid-YTW : 5.48 %
TRP.PR.H	FloatingReset	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 9.84 Evaluated at bid price : 9.84 Bid-YTW : 4.47 %
W.PR.K	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 22.86 Evaluated at bid price : 24.20 Bid-YTW : 5.41 %
BAM.PR.Z	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 4.81 %
NA.PR.Q	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.08 Bid-YTW : 3.98 %
GWO.PR.O	FloatingReset	-1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.35 Bid-YTW : 10.61 %
HSE.PR.C	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.69 %
FTS.PR.J	Perpetual-Discount	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 21.70 Evaluated at bid price : 22.00 Bid-YTW : 5.45 %
MFC.PR.I	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 6.16 %
MFC.PR.J	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.80 Bid-YTW : 6.66 %
BNS.PR.Y	FixedReset	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.38 Bid-YTW : 6.29 %
BAM.PR.R	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 4.90 %
MFC.PR.F	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.27 Bid-YTW : 9.40 %
BNS.PR.Z	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.54 %
BAM.PF.H	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 23.21 Evaluated at bid price : 25.15 Bid-YTW : 4.89 %
BAM.PF.B	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.58 %
FTS.PR.G	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.37 %
BAM.PR.X	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 4.53 %
RY.PR.K	FloatingReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 4.49 %
BIP.PR.A	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.65 %
PWF.PR.T	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 21.93 Evaluated at bid price : 22.25 Bid-YTW : 3.62 %
GWO.PR.N	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.55 Bid-YTW : 9.92 %
PWF.PR.A	Floater	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 12.74 Evaluated at bid price : 12.74 Bid-YTW : 3.75 %
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 : 19.31 Bid-YTW : 6.90 %
ELF.PR.G	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.61 %
CCS.PR.C	Deemed-Retractible	1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 6.25 %
BAM.PR.E	Ratchet	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 25.00 Evaluated at bid price : 14.25 Bid-YTW : 5.77 %
HSE.PR.E	FixedReset	1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 5.89 %
TRP.PR.F	FloatingReset	2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 4.45 %
BNS.PR.C	FloatingReset	2.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.28 Bid-YTW : 4.30 %
BAM.PR.K	Floater	2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 10.78 Evaluated at bid price : 10.78 Bid-YTW : 4.41 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.Q	FixedReset	102,737	TD crossed 50,000 at 20.29; RBC crossed 46,700 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 5.99 %
RY.PR.Q	FixedReset	99,011	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 5.07 %
CU.PR.C	FixedReset	48,687	Scotia crossed 40,700 at 18.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 4.49 %
BAM.PF.H	FixedReset	32,965	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 23.21 Evaluated at bid price : 25.15 Bid-YTW : 4.89 %
BNS.PR.E	FixedReset	32,874	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 5.07 %
MFC.PR.M	FixedReset	32,247	Scotia crossed 27,500 at 19.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.68 Bid-YTW : 6.70 %
There were 21 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.O	FloatingReset	This quote is particularly ridiculous in light of the fact that the issue traded 8,965 shares today. Thank you, Nonsense Central! 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. Quote: 12.35 – 20.25 Spot Rate : 7.9000 Average : 6.5170 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.35 Bid-YTW : 10.61 %
TD.PR.Y	FixedReset	Quote: 24.00 – 24.50 Spot Rate : 0.5000 Average : 0.3425 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 3.67 %
CM.PR.Q	FixedReset	Quote: 19.85 – 20.25 Spot Rate : 0.4000 Average : 0.2534 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.45 %
BMO.PR.Z	Perpetual-Discount	Quote: 23.58 – 23.99 Spot Rate : 0.4100 Average : 0.2893 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 23.27 Evaluated at bid price : 23.58 Bid-YTW : 5.36 %
SLF.PR.J	FloatingReset	Quote: 13.60 – 13.98 Spot Rate : 0.3800 Average : 0.2751 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.60 Bid-YTW : 9.51 %
TRP.PR.H	FloatingReset	Quote: 9.84 – 10.25 Spot Rate : 0.4100 Average : 0.3063 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-06 Maturity Price : 9.84 Evaluated at bid price : 9.84 Bid-YTW : 4.47 %

Nothing happened today, although at time of writing Asian markets are getting hit again:

Asian stocks slumped along with U.S. index futures after China weakened the yuan, underscoring concern the world’s second-largest economy is struggling. The won fell with shares in Seoul after North Korea conducted its fourth nuclear test.

Japanese equities dropped and contracts on the Standard & Poor’s 500 Indexslid 0.9 percent as of 2:22 p.m. in Tokyo. Kim Jong Un’s regime detonated a hydrogen device at an underground test site in the far northeast, the official Korean Central News Agency said. The yen advanced to a more than two-month high amid demand for safer assets, as Australian government bonds extended their climb and Treasuries advanced for a fifth session. Gold held gains, while zinc led industrial metals lower in London and Shanghai on concerns demand is ebbing in China.
…
The Bloomberg-JPMorgan Asia Dollar Index fell to the lowest level since April 2009 as China’s central bank weakened the yuan’s reference rate for the seventh day in a row, heightening the risk of a currency war. The gap between the yuan rate inside China and that for the currency traded offshore expanded, underscoring speculation the government faces pressure to devalue its currency to aid the economy. China’s CSI 300 Index rose 0.4 percent, gaining for a second session after Monday’s 7 percent rout.

The Globe’s Rob Carrick touts preferred shares:

Avoid preferred shares then? Not necessarily. In fact, now may be the time to start buying. In a recent note to clients, the independent analyst Harry Levant of IncomeResearch.ca argues that the preferred market may have bottomed late in 2015. His suggestion for locking in a solid yield and possibly profiting from a rebound in prices is to buy an exchange-traded fund called the iShares Preferred Share Index ETF (CPD-T).
…
Mr. Levant notes that CPD wasn’t a great choice last year because its portfolio weights rate resets more heavily than the fixed-rate preferred shares that held up comparatively well. With rate resets looking like they may have hit bottom, CPD becomes more attractive.

The distribution yield for CPD in early January was 4.95 per cent. That’s 4.5 per cent on an after-fee basis, which is roughly double the yield on a 30-year Government of Canada bond. Safe, preferred shares are most assuredly not. But they do have rebound potential now, and a pretty fine yield as well.

I’ll note that the distribution yield of 4.95% (or 4.5% after fees) quoted in the article will be as difficult to really understand as anything else with preferred shares these days. On a cash basis, it will overestimate sustainable yield, because there are still a LOT of dividend cuts yet to come although [given a constant GOC-5 yield] we have just about finished with the 40%+ cuts. On the other hand, the calculation of Distribution Yield will not take any account of the special case of insurance company NVCC non-compliant issues – that is, the probability assigned to an extension of the NVCC rules is zero. So prospective buyers should ensure they understand how the quoted yield may change in the future given various interest-rate and regulatory scenarios.

It looked like it was going to be another horrific day for Canadian preferred shares, but a late afternoon rally upgraded the status to merely appalling.

Here’s TXPR:

So preferred share investors partied in the streets!

It was an appalling day for the Canadian preferred share market, with PerpetualDiscounts gaining 7bp, FixedResets down 207bp and DeemedRetractibles off 10bp. As might be expected, the Performance Highlights table is an almost solid wall of FixedReset losers, but there were a few winners bouncing back from yesterday. Volume picked up to just a little below 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:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.65 to be $1.00 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.36 cheap at its bid price of 11.81.

A big jump in Implied Volatility today, as is usually the case when there is a dramatically poor day. Given this, and the high levels of Implied Volatility generally, I suspect that this means there is something else going on. Low-Spread FixedResets have a higher degree of leverage to future changes in the GOC-5 yield; I think that this is what is being paid for.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 18.70 to be 0.35 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 20.66 to be 0.58 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.86 to be $1.40 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 19.50 and appears to be $0.85 rich.

FTS.PR.K, with a spread of +205bp, and bid at 18.24, looks $0.65 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.50 and is $0.51 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.06%, with one outlier above 0.00%, and two below -2.00%. There is one junk outlier below -2.00% and two above 0.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.85 %	5.88 %	28,780	16.81	1	-1.5471 %	1,605.2
FixedFloater	6.82 %	6.05 %	34,824	16.14	1	0.0000 %	2,859.5
Floater	4.21 %	4.35 %	79,991	16.74	4	-0.4439 %	1,813.8
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0795 %	2,744.2
SplitShare	4.81 %	5.75 %	78,083	1.82	6	-0.0795 %	3,211.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0795 %	2,505.5
Perpetual-Premium	5.79 %	-1.96 %	90,870	0.08	6	0.0659 %	2,525.8
Perpetual-Discount	5.62 %	5.67 %	98,669	14.37	34	0.0706 %	2,558.7
FixedReset	5.18 %	4.51 %	252,463	14.84	81	-2.0716 %	1,990.1
Deemed-Retractible	5.21 %	5.11 %	123,037	5.30	34	-0.0986 %	2,582.6
FloatingReset	2.87 %	4.47 %	66,091	5.61	13	-1.4372 %	2,099.2

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.K	FixedReset	-5.67 %	Reasonably real, as the issue traded 5,022 shares in a range of 18.36-22 before closing at 18.29-82, 1×2. VWAP was 18.62; the last trade of the day was at 2:45pm. We’ll give the market maker a pass on this, even though the closing spread is ridiculous. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.29 Bid-YTW : 7.40 %
MFC.PR.L	FixedReset	-4.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.21 %
IFC.PR.C	FixedReset	-4.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.05 Bid-YTW : 7.07 %
SLF.PR.H	FixedReset	-4.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.01 Bid-YTW : 8.03 %
CM.PR.P	FixedReset	-4.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 4.34 %
CM.PR.O	FixedReset	-4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.32 %
TD.PF.E	FixedReset	-4.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 4.38 %
HSE.PR.A	FixedReset	-4.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 12.23 Evaluated at bid price : 12.23 Bid-YTW : 5.02 %
MFC.PR.N	FixedReset	-4.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.09 Bid-YTW : 7.05 %
BAM.PF.F	FixedReset	-4.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 4.59 %
FTS.PR.M	FixedReset	-3.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.38 %
TD.PF.A	FixedReset	-3.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.31 %
TD.PF.B	FixedReset	-3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 4.33 %
PWF.PR.P	FixedReset	-3.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 4.25 %
MFC.PR.M	FixedReset	-3.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 6.82 %
TD.PF.D	FixedReset	-3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 4.51 %
TRP.PR.C	FixedReset	-3.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 11.81 Evaluated at bid price : 11.81 Bid-YTW : 4.78 %
MFC.PR.I	FixedReset	-3.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.27 Bid-YTW : 5.95 %
NA.PR.S	FixedReset	-3.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.46 %
BMO.PR.T	FixedReset	-3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.31 %
SLF.PR.I	FixedReset	-3.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.72 Bid-YTW : 6.71 %
MFC.PR.J	FixedReset	-3.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 6.45 %
IAG.PR.G	FixedReset	-3.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.68 Bid-YTW : 6.25 %
BMO.PR.W	FixedReset	-3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.29 %
BAM.PR.R	FixedReset	-3.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 15.86 Evaluated at bid price : 15.86 Bid-YTW : 4.84 %
TD.PF.C	FixedReset	-3.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.34 %
BAM.PR.Z	FixedReset	-3.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.19 Evaluated at bid price : 20.19 Bid-YTW : 4.72 %
BNS.PR.D	FloatingReset	-3.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.21 %
BMO.PR.S	FixedReset	-3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 4.31 %
BAM.PR.K	Floater	-2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 10.49 Evaluated at bid price : 10.49 Bid-YTW : 4.53 %
CU.PR.C	FixedReset	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.34 %
RY.PR.H	FixedReset	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.32 %
NA.PR.W	FixedReset	-2.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 4.41 %
RY.PR.Z	FixedReset	-2.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 4.28 %
MFC.PR.H	FixedReset	-2.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 5.75 %
FTS.PR.K	FixedReset	-2.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 4.11 %
BAM.PF.G	FixedReset	-2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 4.57 %
BNS.PR.C	FloatingReset	-2.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.71 Bid-YTW : 4.77 %
BAM.PR.T	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 4.60 %
BAM.PF.B	FixedReset	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 4.53 %
RY.PR.J	FixedReset	-2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 4.45 %
BAM.PF.A	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 4.58 %
RY.PR.M	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.36 %
BNS.PR.Z	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.75 Bid-YTW : 6.31 %
BMO.PR.R	FloatingReset	-2.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 4.23 %
BMO.PR.Y	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 4.37 %
TRP.PR.H	FloatingReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 10.03 Evaluated at bid price : 10.03 Bid-YTW : 4.39 %
BNS.PR.Y	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.67 Bid-YTW : 6.02 %
MFC.PR.G	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.66 Bid-YTW : 6.30 %
TD.PR.T	FloatingReset	-2.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 4.43 %
TD.PR.Z	FloatingReset	-2.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 4.47 %
NA.PR.Q	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 3.66 %
BNS.PR.B	FloatingReset	-1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.62 Bid-YTW : 4.66 %
IFC.PR.A	FixedReset	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.21 %
CM.PR.Q	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.45 %
BAM.PR.E	Ratchet	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 5.88 %
TRP.PR.F	FloatingReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 13.20 Evaluated at bid price : 13.20 Bid-YTW : 4.55 %
TD.PR.Y	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 3.80 %
BAM.PF.E	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.53 %
TRP.PR.B	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 4.48 %
RY.PR.I	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.72 Bid-YTW : 4.16 %
BNS.PR.Q	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.79 Bid-YTW : 3.86 %
TRP.PR.E	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.42 %
HSE.PR.E	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 6.01 %
FTS.PR.J	Perpetual-Discount	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 22.07 Evaluated at bid price : 22.36 Bid-YTW : 5.36 %
BNS.PR.E	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 23.29 Evaluated at bid price : 25.47 Bid-YTW : 5.13 %
BMO.PR.Z	Perpetual-Discount	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 23.29 Evaluated at bid price : 23.60 Bid-YTW : 5.35 %
TRP.PR.G	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 4.74 %
RY.PR.L	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.83 Bid-YTW : 4.09 %
FTS.PR.G	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.32 %
HSE.PR.G	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 5.96 %
CU.PR.I	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.33 Bid-YTW : 4.32 %
BSC.PR.C	SplitShare	-1.05 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-22 Maturity Price : 19.71 Evaluated at bid price : 19.74 Bid-YTW : 4.01 %
GWO.PR.S	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.59 Bid-YTW : 5.53 %
ENB.PR.A	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 22.72 Evaluated at bid price : 23.01 Bid-YTW : 6.05 %
CU.PR.G	Perpetual-Discount	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 5.55 %
ELF.PR.G	Perpetual-Discount	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.68 %
GWO.PR.O	FloatingReset	1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.56 Bid-YTW : 10.38 %
HSE.PR.C	FixedReset	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 5.59 %
VNR.PR.A	FixedReset	4.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.77 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	647,883	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.67 Bid-YTW : 5.02 %
BNS.PR.E	FixedReset	353,322	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 23.29 Evaluated at bid price : 25.47 Bid-YTW : 5.13 %
BIP.PR.A	FixedReset	52,230	Nesbitt crossed 50,000 at 19.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 5.59 %
TD.PF.C	FixedReset	26,660	Desjardins bought 14,000 from National at 18.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.34 %
RY.PR.Z	FixedReset	25,416	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 4.28 %
BNS.PR.R	FixedReset	24,926	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.27 Bid-YTW : 3.75 %
There were 28 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BNS.PR.Z	FixedReset	Quote: 19.75 – 20.39 Spot Rate : 0.6400 Average : 0.3788 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.75 Bid-YTW : 6.31 %
BMO.PR.R	FloatingReset	Quote: 22.20 – 22.83 Spot Rate : 0.6300 Average : 0.4149 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 4.23 %
BAM.PR.Z	FixedReset	Quote: 20.19 – 20.83 Spot Rate : 0.6400 Average : 0.4388 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.19 Evaluated at bid price : 20.19 Bid-YTW : 4.72 %
IFC.PR.C	FixedReset	Quote: 19.05 – 19.70 Spot Rate : 0.6500 Average : 0.4595 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.05 Bid-YTW : 7.07 %
PWF.PR.T	FixedReset	Quote: 22.75 – 23.96 Spot Rate : 1.2100 Average : 1.0259 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 22.27 Evaluated at bid price : 22.75 Bid-YTW : 3.59 %
SLF.PR.H	FixedReset	Quote: 17.01 – 17.85 Spot Rate : 0.8400 Average : 0.6588 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.01 Bid-YTW : 8.03 %

For many, the new year started with a hangover:

As losses snowballed in U.S. stocks around midday, the best thing U.S. bulls had to say about the worst start to a year since 2001 was that there are 248 more trading days to make it up.
…
Taking a break and breathing helped: the Dow added almost 150 points in the last 30 minutes to pare its loss to 276 points. Still, investors returning to work from holidays were greeted by the sixth-worst start to a year since 1927 for the Standard & Poor’s 500 Index, which plunged 1.5 percent to erase $289 billion in market value as weak Chinese manufacturing data unnerved equity markets.

The selloff started in China and persisted thanks to a flareup in tension between Saudi Arabia and Iran. A report in the U.S. showed manufacturing contracted at the fastest pace in more than six years added to concerns that growth is slowing.

The rout appears to have paused, due in part to decisive action from the Chinese securities regulator:

Asian stocks erased losses as a selloff in China abated after the regulator sought to reassure investors following Monday’s plunge. Oil and industrial metals rose.

The regional share gauge erased what would have been a second day of declines as Korean and Japanese equities rose. The Shanghai Composite Index wiped out an initial slump of more than 3 percent as China’s central bank injected cash into the banking system and the securities regulator pledged to keep improving its circuit-breaker system that saw stock trading halted amid Monday’s rout. West Texas Intermediate crude rose 0.6 percent.
…
A 7 percent slump in mainland China shares triggered a trading halt there on the first day of business in 2016. The rout, which spread throughout Asia, Europe and the U.S., was sparked by weak factory data in China and exacerbated by a slide in American manufacturing. China Securities Regulatory Commission said it’s studying measures to limit the pace of stock sales by major shareholders, while the central bank Monday conducted the biggest reverse-repurchase operations since September.

Good stuff! If the market’s going down due to selling pressure, make it illegal to sell! That will fix everything!

Meanwhile Federal Reserve Vice Chairman Stanley Fischer has given a boost to the central planners and micro-managers:

He told the American Economic Association on Sunday that the Fed is not as well-equipped with regulatory powers to rein in housing and other asset bubbles as some other central banks. And he questioned whether Congress had gone too far in limiting the Fed’s ability to intervene if a crisis erupted and threatened the financial system.

“We won’t know until it’s very late” whether the Fed has been constrained too much, Fischer said at the AEA’s annual meeting in San Francisco. That’s something “we have to worry about a great deal.”

Fischer’s comments suggest that the central bank may need to rely more on monetary policy to restrain financial excesses than it has in the past. In fact, he told the conference that it might be necessary for the Fed to increase interest rates if financial markets were overheating, though the first line of defense should be the use of regulatory measures to head off bubbles.

In arguing that the Fed has less leeway to restrain speculative excesses than other central banks, Fischer pointed in particular to the property market, the epicenter of the last financial crisis. Faced with run-away real estate prices, many other countries have tightened loan-to-value or debt-to-income ratios to curb borrowing.

“In the United States, responding to such problems with these tools would require inter-agency coordination” between the Fed and other government regulators, he said. That “could make their use cumbersome at critical moments.”

On Dec. 18 the Fed and other agencies issued a thinly veiled warning to banks in which it “reminded” them about “existing regulatory guidance on prudent risk management practices for commercial real estate lending.”

But when discussing Fischer we must remember that he’s basically sound:

Lesson T4: The lender of last resort, TBTF, and moral hazard.9 The role of the central bank as lender of last resort is a central theme in Walter Bagehot’s 1873 classic on central banking, Lombard Street. The case for the central bank to be the lender of last resort is clear in the case of a liquidity crisis–one that arises from a temporary shortage of liquidity, typically in a financial panic–but less so in the case of solvency crises.10

In principle the distinction between liquidity and solvency problems should guide the actions of the central bank and the government in a financial crisis. But in a crisis, the distinction between illiquidity and insolvency is rarely clear-cut–and whether a company goes bankrupt will depend on how the authorities respond to the crisis.

Further, one has to be clear about which aspects of government actions are critical in this regard. If a firm is bankrupt, it may well be optimal for the firm to continue to operate while being reorganized, as typically happens in bankruptcies. In such a case, in which the firm’s capital is negative, the ownership of the bankrupt firm should be changed–unless the owners succeed in mobilizing more capital, in which case the company was probably not bankrupt.

And this isn’t exactly drone news – which I am confident will be prominent on this blog in 2016, if not dominant – but close enough for Government Motors work:

General Motors Co. will invest $500 million in Lyft Inc., giving the ride-hailing startup a valuation of $5.5 billion and a major ally in the global battle against Uber Technologies Inc.

The investment, part of a $1 billion financing round for Lyft, is the biggest move by an automaker to date when it comes to grappling with the meteoric rise of the ride-hailing industry.

GM and Lyft said they will work together to develop a network of self-driving cars that riders can call up on-demand, a vision of the future shared by the likes of Uber Chief Executive Officer Travis Kalanick and Google-parent Alphabet Inc. More immediately, America’s largest automaker will offer Lyft drivers vehicles for short-term rent through various hubs in U.S. cities, the companies said in separate statements on Monday.

John Shmuel of the Financial Post recently touted the interest of institutional investors in the preferred market:

There are also signs that institutional players are taking notice of the market after the recent discounts. Retail investors are usually the biggest buyers of preferred shares, with institutional investors representing only 20 per cent of the buyers of an average issuance.

But that has changed with recent issues. In September, for example, Canadian Utilities Ltd. raised $250 million by offering a rate reset preferred share at a yield of 4.5 per cent, and 70 per cent of the buyers were institutional investors.

The issue also included a new minimum yield feature, offering investors a floor that will prevent the yield from going below what it was issued at.

More recently, Royal Bank of Canada came to market with one of the biggest preferred share issuances ever in Canada, offering investors a rate of 5.5 per cent, which will reset every five years at 4.53 per cent above the government five-year bond yield.

Institutional investors were again the biggest buyers in this issue, scooping up two-thirds of the shares.

Now, this is a little peculiar; something I would want to be asking questions about. As all Assiduous Readers know, new issues are generally deprecated on PrefBlog because they have a very high negative convexity. Sometimes – rarely – the concession makes them worth-while, but in general, the fact that long-term potential capital gains are tightly constrained and that potential capital losses are not make them poor investments. I will certainly agree that a market outlook of unchanging yields can make them more attractive, especially if there is a nice new-issue concession offered; and I will also agree that in an environment of rising yields there is a certain amount of loss-mitigation due to the erosion of the premium for the embedded call; but the article is touting the potential for capital gains, in which case deeply discounted issues are the way to go. It would be interesting to have an honest heart-to-heart with the players who scooped up these new issues … but an outsider will never get that!

Assiduous Reader SafetyinNumbers brings to my attention a Normal Course Issuer Bid for AZP.PR.A, AZP.PR.B and AZP.PR.C:

Atlantic Power Corporation (TSX: ATP) (NYSE: AT) (the “Company” or “Atlantic Power”) and Atlantic Power Preferred Equity Ltd (“APPEL”) announced today that Atlantic Power intends to make a normal course issuer bid (“NCIB”) for each of the following series of the Company’s convertible unsecured subordinated debentures and its common shares and that APPEL intends to make an NCIB for each of the following series of its preferred shares (collectively, the “Public Securities”):
…
Under its previous NCIB, Atlantic Power purchased Cdn$150,000 of its 6.25% debentures at an average price of Cdn$87.12; Cdn$4,661,000 of its 5.6% debentures at an average price of Cdn$91.71; US$13,000,000 of its 5.75% debentures at an average price of US$80.80; and Cdn$10,000,000 of its 6.0% debentures at an average price of Cdn$82.19.

It’s nice to see the company delivering, given its poor credit, but I suspect that prudence will dictate that the company only buys back the debentures.

In the week following Christmas, preferred share investors enjoyed fireworks. Now they get:

It was a horrible start to the year for the Canadian preferred share market, with PerpetualDiscounts off 41bp, FixedResets losing an incredible 297bp and DeemedRetractibles down 56bp. The Performance Highlights table is just silly, of course, with only one winner. Volume was very low – in fact, by my ‘breadth’ measure it wasn’t much more than we saw during the dead week of Christmas to New Year’s,

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 18.90 to be $1.03 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.09 cheap at its bid price of 12.26.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 19.67 to be 0.66 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 21.11 to be 0.92 0cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.38 to be $1.37 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 21.40 and appears to be $0.71 rich.

FTS.PR.K, with a spread of +205bp, and bid at 18.77, looks $0.83 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.70 and is $0.72 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.89%, with one outliers above 0.00%, and one below -2.00%. Note the scale of the y-axis has changed. There is one junk outlier above 0.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.77 %	5.79 %	29,266	16.92	1	-1.9310 %	1,630.4
FixedFloater	6.82 %	6.05 %	36,225	16.14	1	-0.2151 %	2,859.5
Floater	4.19 %	4.38 %	78,915	16.69	4	-0.3538 %	1,821.9
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1132 %	2,746.4
SplitShare	4.81 %	5.78 %	80,711	1.82	6	-0.1132 %	3,213.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1132 %	2,507.5
Perpetual-Premium	5.79 %	3.20 %	91,891	0.09	6	-0.4462 %	2,524.1
Perpetual-Discount	5.63 %	5.68 %	102,372	14.36	34	-0.4139 %	2,556.9
FixedReset	5.07 %	4.40 %	255,333	14.78	81	-2.9709 %	2,032.2
Deemed-Retractible	5.21 %	5.17 %	125,066	5.30	34	-0.5584 %	2,585.1
FloatingReset	2.82 %	4.27 %	65,184	5.62	13	-1.3557 %	2,129.8

Performance Highlights
Issue	Index	Change	Notes
VNR.PR.A	FixedReset	-7.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 4.99 %
MFC.PR.G	FixedReset	-6.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.11 Bid-YTW : 6.00 %
BMO.PR.Q	FixedReset	-6.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 5.97 %
MFC.PR.H	FixedReset	-6.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.59 Bid-YTW : 5.36 %
GWO.PR.O	FloatingReset	-5.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.32 Bid-YTW : 10.63 %
BAM.PR.X	FixedReset	-5.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 14.98 Evaluated at bid price : 14.98 Bid-YTW : 4.47 %
SLF.PR.H	FixedReset	-5.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.85 Bid-YTW : 7.37 %
CU.PR.C	FixedReset	-5.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.07 Evaluated at bid price : 19.07 Bid-YTW : 4.21 %
TRP.PR.B	FixedReset	-5.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 11.56 Evaluated at bid price : 11.56 Bid-YTW : 4.41 %
MFC.PR.J	FixedReset	-5.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 5.98 %
IFC.PR.A	FixedReset	-5.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.80 Bid-YTW : 8.94 %
MFC.PR.N	FixedReset	-5.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.90 Bid-YTW : 6.48 %
MFC.PR.K	FixedReset	-4.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.39 Bid-YTW : 6.60 %
SLF.PR.G	FixedReset	-4.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 9.01 %
HSE.PR.E	FixedReset	-4.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.44 Evaluated at bid price : 18.44 Bid-YTW : 5.93 %
MFC.PR.I	FixedReset	-4.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.03 Bid-YTW : 5.47 %
HSE.PR.C	FixedReset	-4.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 17.58 Evaluated at bid price : 17.58 Bid-YTW : 5.72 %
HSE.PR.G	FixedReset	-4.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.90 %
BIP.PR.A	FixedReset	-4.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 5.58 %
SLF.PR.I	FixedReset	-4.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 6.24 %
CM.PR.P	FixedReset	-4.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 4.13 %
MFC.PR.M	FixedReset	-4.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 6.29 %
NA.PR.W	FixedReset	-4.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.39 Evaluated at bid price : 18.39 Bid-YTW : 4.28 %
BAM.PR.Z	FixedReset	-4.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 4.57 %
IFC.PR.C	FixedReset	-4.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.41 %
FTS.PR.G	FixedReset	-3.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.26 %
RY.PR.K	FloatingReset	-3.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.61 Bid-YTW : 4.20 %
IAG.PR.G	FixedReset	-3.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 5.78 %
MFC.PR.L	FixedReset	-3.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.67 Bid-YTW : 6.51 %
PWF.PR.T	FixedReset	-3.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 22.36 Evaluated at bid price : 22.89 Bid-YTW : 3.56 %
BMO.PR.S	FixedReset	-3.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.47 Evaluated at bid price : 19.47 Bid-YTW : 4.17 %
CM.PR.O	FixedReset	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 4.13 %
TRP.PR.C	FixedReset	-3.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 12.26 Evaluated at bid price : 12.26 Bid-YTW : 4.61 %
BNS.PR.Z	FixedReset	-3.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 5.90 %
TRP.PR.G	FixedReset	-3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.68 %
BNS.PR.Y	FixedReset	-3.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 5.63 %
BMO.PR.T	FixedReset	-3.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.16 %
BMO.PR.Y	FixedReset	-3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 4.27 %
BAM.PF.G	FixedReset	-3.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 4.43 %
BAM.PF.E	FixedReset	-3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 4.47 %
RY.PR.H	FixedReset	-3.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.19 %
BAM.PF.F	FixedReset	-3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 4.40 %
BAM.PF.B	FixedReset	-2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.40 %
BAM.PR.T	FixedReset	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 4.47 %
RY.PR.Z	FixedReset	-2.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 4.15 %
TRP.PR.A	FixedReset	-2.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.34 %
FTS.PR.M	FixedReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 4.20 %
BMO.PR.W	FixedReset	-2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.98 Evaluated at bid price : 18.98 Bid-YTW : 4.14 %
HSE.PR.A	FixedReset	-2.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 4.82 %
BAM.PF.A	FixedReset	-2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 4.47 %
TD.PF.A	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.32 Evaluated at bid price : 19.32 Bid-YTW : 4.13 %
TD.PF.C	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 4.20 %
MFC.PR.F	FixedReset	-2.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 9.09 %
BAM.PR.R	FixedReset	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 16.38 Evaluated at bid price : 16.38 Bid-YTW : 4.68 %
TD.PF.B	FixedReset	-2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.16 %
GWO.PR.N	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.65 Bid-YTW : 9.82 %
TRP.PR.D	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.40 %
CIU.PR.C	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 12.40 Evaluated at bid price : 12.40 Bid-YTW : 4.28 %
CM.PR.Q	FixedReset	-2.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.37 %
SLF.PR.A	Deemed-Retractible	-2.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.41 Bid-YTW : 6.96 %
BMO.PR.M	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 3.64 %
MFC.PR.C	Deemed-Retractible	-2.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.62 Bid-YTW : 7.24 %
TD.PF.D	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 4.34 %
SLF.PR.J	FloatingReset	-2.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.72 Bid-YTW : 9.39 %
FTS.PR.I	FloatingReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 3.87 %
MFC.PR.B	Deemed-Retractible	-1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.13 Bid-YTW : 7.06 %
BAM.PR.E	Ratchet	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 25.00 Evaluated at bid price : 14.22 Bid-YTW : 5.79 %
BNS.PR.A	FloatingReset	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.41 Bid-YTW : 4.37 %
RY.PR.I	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.04 Bid-YTW : 3.91 %
CU.PR.G	Perpetual-Discount	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 5.63 %
FTS.PR.K	FixedReset	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 3.98 %
TRP.PR.F	FloatingReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 4.49 %
BMO.PR.R	FloatingReset	-1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 3.83 %
RY.PR.J	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.34 Evaluated at bid price : 20.34 Bid-YTW : 4.33 %
CU.PR.F	Perpetual-Discount	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.60 %
BAM.PF.C	Perpetual-Discount	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 6.09 %
SLF.PR.C	Deemed-Retractible	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.36 Bid-YTW : 7.33 %
BNS.PR.P	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.47 Bid-YTW : 3.35 %
CU.PR.E	Perpetual-Discount	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 21.64 Evaluated at bid price : 21.91 Bid-YTW : 5.65 %
POW.PR.D	Perpetual-Discount	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 21.98 Evaluated at bid price : 22.21 Bid-YTW : 5.64 %
TD.PF.E	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 21.53 Evaluated at bid price : 21.84 Bid-YTW : 4.17 %
FTS.PR.H	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 14.16 Evaluated at bid price : 14.16 Bid-YTW : 3.99 %
SLF.PR.B	Deemed-Retractible	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.89 %
SLF.PR.D	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 7.40 %
BAM.PF.H	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 4.45 %
CU.PR.D	Perpetual-Discount	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 21.66 Evaluated at bid price : 21.94 Bid-YTW : 5.64 %
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 : 3.49 %
CIU.PR.A	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.69 %
NA.PR.S	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.31 %
IGM.PR.B	Perpetual-Premium	-1.07 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 5.74 %
RY.PR.M	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.26 %
ENB.PR.A	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 22.98 Evaluated at bid price : 23.25 Bid-YTW : 5.98 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	190,141	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 5.02 %
NA.PR.S	FixedReset	137,370	TD crossed 130,000 at 19.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.31 %
GWO.PR.N	FixedReset	56,825	Scotia crossed 45,000 at 13.90. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.65 Bid-YTW : 9.82 %
FTS.PR.M	FixedReset	52,750	Desjardins crossed 50,000 at 20.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 4.20 %
BIP.PR.B	FixedReset	34,721	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 22.78 Evaluated at bid price : 24.00 Bid-YTW : 5.73 %
CM.PR.O	FixedReset	32,000	RBC crossed 25,000 at 19.62. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 4.13 %
There were 11 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
VNR.PR.A	FixedReset	Quote: 18.47 – 20.00 Spot Rate : 1.5300 Average : 0.8870 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 4.99 %
BMO.PR.Q	FixedReset	Quote: 20.21 – 21.27 Spot Rate : 1.0600 Average : 0.6874 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 5.97 %
SLF.PR.I	FixedReset	Quote: 20.41 – 21.20 Spot Rate : 0.7900 Average : 0.5261 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 6.24 %
MFC.PR.J	FixedReset	Quote: 20.80 – 21.50 Spot Rate : 0.7000 Average : 0.4445 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 5.98 %
SLF.PR.H	FixedReset	Quote: 17.85 – 18.56 Spot Rate : 0.7100 Average : 0.4601 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.85 Bid-YTW : 7.37 %
PWF.PR.T	FixedReset	Quote: 22.89 – 23.95 Spot Rate : 1.0600 Average : 0.8240 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-04 Maturity Price : 22.36 Evaluated at bid price : 22.89 Bid-YTW : 3.56 %