PrefBlog

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

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

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

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

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

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

Nouriel Roubini’s piece makes the point:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The market made a funny noise this afternoon:

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

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

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

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

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

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

Here’s TRP:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

There’s are some interesting ventures assigning credit scores to marginal borrowers:

They have no bank account, no credit score, no financial identity. So a quarter of humanity hasn’t been able to borrow money. Until now.

Several dozen startups say they have developed ways to bring those 2 billion people into the international financial system, monitoring cell phone use and other personal habits to predict creditworthiness. For example, people who don’t let their phone batteries run low tend to do the same for their debt balance. Borrowers who get more calls than they make are better risks, and applicants who state their loan purpose in a few words are better borrowers than those who end up writing an essay.
…
A key to creditworthiness is personal daily routine. People who charge the same amount of airtime on the same day every week are better credit risks than those who purchase a large amount, then let their accounts sit empty, according to Van Der Tuin of First Access. When phones stay in the same place every day, that is often a sign that the owner is at work.

Moreover, in emerging market countries mobile phones are increasingly serving as ledgers of money movement. So monitoring phone records becomes a simple substitute for examining a bank account. At the same time, traditional credit risk assessments, according to the startups, have ignored the added importance of social capital. Beyond serving as de facto bank statements, mobile and online footprints indicate how well borrowers are treated by their community.

It was a positive day for the Canadian preferred share market, with PerpetualDiscounts up 8bp, FixedResets winning 36bp and DeemedRetractibles gaining 4bp. The Performance Highlights table, while still much longer than was the norm a year ago, is unusually short when judged by 2015 standards. Volume was 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 19.31 to be $0.87 rich, while TRP.PR.G, resetting 2020-11-30 at +154, is $0.53 cheap at its bid price of 20.47.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 21.20 to be 0.64 rich, while MFC.PR.F resetting at +141bp on 2016-6-19, is bid at 14.50 to be 0.68 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.52 to be $1.59 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.00 and appears to be $1.01 rich.

FTS.PR.K, with a spread of +205bp, and bid at 19.55, looks $0.82 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 13.96 and is $1.01 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.61%, with no outliers. There are three junk outliers above 0.00% and one below -2.00%.

The light blue point is an estimate for the potential BCE.PR.R / BCE.PF.Q pair, the latter of which is not trading. Its price has been set to the average defined by the other BCE Ratchet Rate preferreds.

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	4.27 %	5.12 %	33,004	17.68	1	0.0000 %	1,819.2
FixedFloater	6.14 %	5.39 %	28,258	17.05	1	2.0462 %	3,175.8
Floater	3.88 %	3.92 %	69,743	17.55	3	-0.3549 %	2,033.4
OpRet	4.87 %	3.88 %	35,356	0.77	1	0.5383 %	2,733.2
SplitShare	4.75 %	5.85 %	140,232	4.36	5	-0.2533 %	3,198.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2533 %	2,495.4
Perpetual-Premium	5.79 %	0.76 %	72,285	0.08	6	0.4304 %	2,508.7
Perpetual-Discount	5.53 %	5.60 %	84,242	14.45	33	0.0783 %	2,588.0
FixedReset	4.82 %	4.32 %	221,875	15.44	76	0.3610 %	2,122.8
Deemed-Retractible	5.15 %	5.15 %	112,263	5.40	33	0.0395 %	2,582.0
FloatingReset	2.58 %	3.79 %	54,565	5.77	10	0.3836 %	2,189.4

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.J	Perpetual-Discount	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.57 %
FTS.PR.F	Perpetual-Discount	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.58 %
CU.PR.C	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 4.12 %
CM.PR.Q	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 22.00 Evaluated at bid price : 22.51 Bid-YTW : 4.10 %
PVS.PR.D	SplitShare	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 5.89 %
BAM.PF.E	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 20.22 Evaluated at bid price : 20.22 Bid-YTW : 4.66 %
BAM.PR.M	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 20.84 Evaluated at bid price : 20.84 Bid-YTW : 5.79 %
HSE.PR.C	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.00 %
GWO.PR.N	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.65 Bid-YTW : 10.06 %
ELF.PR.H	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 24.02 Evaluated at bid price : 24.52 Bid-YTW : 5.65 %
MFC.PR.N	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.20 Bid-YTW : 5.79 %
MFC.PR.H	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 4.73 %
VNR.PR.A	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.68 Evaluated at bid price : 22.12 Bid-YTW : 4.32 %
SLF.PR.J	FloatingReset	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.60 Bid-YTW : 9.37 %
PWF.PR.R	Perpetual-Discount	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 24.19 Evaluated at bid price : 24.69 Bid-YTW : 5.60 %
MFC.PR.K	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.87 Bid-YTW : 6.50 %
SLF.PR.H	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.27 Bid-YTW : 6.65 %
IAG.PR.G	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.19 Bid-YTW : 4.97 %
RY.PR.J	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.93 Evaluated at bid price : 22.39 Bid-YTW : 4.07 %
TRP.PR.E	FixedReset	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.56 %
BAM.PR.G	FixedFloater	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 25.00 Evaluated at bid price : 15.46 Bid-YTW : 5.39 %
TRP.PR.D	FixedReset	2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 4.64 %
NA.PR.W	FixedReset	2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 4.22 %
TRP.PR.B	FixedReset	2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 4.26 %
HSE.PR.A	FixedReset	2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 14.46 Evaluated at bid price : 14.46 Bid-YTW : 4.78 %
ELF.PR.G	Perpetual-Discount	3.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 5.64 %

Volume Highlights
Issue	Index	Shares Traded	Notes
SLF.PR.J	FloatingReset	107,990	Nesbitt crossed 95,000 at 13.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.60 Bid-YTW : 9.37 %
RY.PR.P	Perpetual-Discount	86,500	Haywood bought 65,000 from RBC at 24.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 24.34 Evaluated at bid price : 24.72 Bid-YTW : 5.37 %
BNS.PR.P	FixedReset	50,500	RBC crossed 49,200 at 24.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.57 Bid-YTW : 3.49 %
TRP.PR.D	FixedReset	30,394	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 4.64 %
TD.PF.F	Perpetual-Discount	29,600	RBC crossed 25,000 at 23.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 23.36 Evaluated at bid price : 23.67 Bid-YTW : 5.20 %
BNS.PR.Z	FixedReset	25,045	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.54 Bid-YTW : 5.90 %
There were 26 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.E	FixedReset	Quote: 20.22 – 21.00 Spot Rate : 0.7800 Average : 0.4902 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 20.22 Evaluated at bid price : 20.22 Bid-YTW : 4.66 %
BAM.PR.Z	FixedReset	Quote: 20.85 – 21.58 Spot Rate : 0.7300 Average : 0.5360 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 4.89 %
HSE.PR.E	FixedReset	Quote: 22.45 – 22.80 Spot Rate : 0.3500 Average : 0.2401 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 21.98 Evaluated at bid price : 22.45 Bid-YTW : 5.06 %
FTS.PR.H	FixedReset	Quote: 13.96 – 14.50 Spot Rate : 0.5400 Average : 0.4328 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 13.96 Evaluated at bid price : 13.96 Bid-YTW : 4.34 %
TD.PF.E	FixedReset	Quote: 23.20 – 23.60 Spot Rate : 0.4000 Average : 0.2976 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 22.39 Evaluated at bid price : 23.20 Bid-YTW : 4.05 %
BAM.PR.E	Ratchet	Quote: 16.00 – 16.50 Spot Rate : 0.5000 Average : 0.4044 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-16 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 5.12 %

Assiduous Reader IR brought to my attention recently a fascinating article titled Six Strange Things That Have Been Happening in Financial Markets:

Interesting things have certainly been happening in the underpinnings of global markets—things that either run counter to long-standing financial logic, or represent an unusual dislocation in the “normal” state of market affairs, or were once rare occurrences but have been happening with increasing frequency.
…
1. Negative swap spreads
…
2. Fractured repo rates
…
3. Corporate bond inventories below zero

Click for Big

Analysts at Goldman Sachs made waves this week when they highlighted the fact that inventories of some corporate bonds held by big dealer-banks had gone negative for the first time since the Federal Reserve began collecting such data. That means big banks are now net short corporate bonds with a maturity greater than 12 months equivalent to $1.4 billion, bucking the longer-term trend of net positive positions.

The record-breaking event revived a flurry of concerns about so-called liquidity, or ease of trading, in the $8.1 trillion corporate bond market. Similar to the repo market, a confluence of new rules is said to have made it more difficult for banks to hold corporate bonds on their balance sheets. At the same time, years of low interest rates have encouraged investors to herd into corporate bonds and hold onto them tightly.
…
Synthetic credit is trading tighter than cash credit

Click for Big

…
Above is the so-called basis between the CDX IG, an index that includes CDS tied to U.S. investment-grade companies, and the underlying cash bonds. The basis has been persistently wide and negative in recent years, as spreads on the CDX index trade at tighter levels than cash.

“In exchange for the substantial liquidity of derivative indices, investors are often giving up spread right now, as most indices trade at a negative basis versus the comparable cash market,” Barclays’ Bradley Rogoff wrote in research published today. “The negative basis right now is near the largest we have witnessed at a time when there was not a funding crisis.”

Investors may be ogling such synthetic tools not just because of their purported liquidity benefits but also because of funding benefits, a similar dynamic to the one currently pushing swap spreads into negative territory.
…
Market moves that aren’t supposed to happen keep happening
…
The number of assets registering large moves—four or more standard deviations away from their normal trading range—has been increasing. Such moves would normally be expected to happen once every 62 years.

While Martin blamed much of the confusion on unexpected decisions by central banks—such as the Swiss National Bank’s surprise decision to scrap its long-standing currency cap—there have been sharp market moves with seemingly little reasons behind them. Perhaps the best-known example is Oct. 15, 2014, when the yield on the 10-year U.S. Treasury briefly plunged 33 basis points—a seven standard-deviation move that should happen once every 1.6 billion years, based on a normal distribution of probabilities.
…
Volatility is itself more volatile

Negative swap spreads were discussed on November 5.

The CDS Basis was discussed in the post BIS Releases March 2009 Quarterly Review, where the wide spread was considered to suggest “that arbitrage activities that would usually tend to compress the price differential continued to be constrained by elevated capital and financing costs for leveraged investors.” I consider this to have the potential for severely adverse effects on the economy due to “debt decoupling”, discussed in the post Credit Default Swaps: Links to Primers, notably a paper by Hu and Black titled Debt, Equity, and Hybrid Decoupling: Governance and Systemic Risk Implications:

There are also several sources of qualitative evidence. One is the recent tendency for credit default swap contracts to require the protection buyer, if it is also a creditor, to act in the interests of other creditors. This suggests concern that the protection buyer might not otherwise do so. How this obligation can be enforced, however, without disclosure of either votes or hedges, is anyone’s guess. We have also heard from bankruptcy judges that they sometimes see odd behavior in their courtrooms, which empty crediting might explain. For example, one judge described a case in which a junior creditor complained that the firm’s value was too high, even though a lower value would hurt the class of debt the creditor ostensibly held.

Also hinted at yesterday was the latest twist in the Silver Bullion Trust / Sprott battle:

Sprott has amended the Offer by attempting to unilaterally expand the scope of the powers of attorney granted to it by those Unitholders that tender to the Offer. The amendments purport to give Sprott the authority to replace the independent Trustees of SBT, insert their own conflicted Trustees and force completion of their inadequate Offer, despite their continued failure to attract sufficient Unitholder support for doing so by legitimate means.

SBT believes that Sprott’s attempt to unilaterally amend the powers of attorney is invalid and that any actions that Sprott would purport to take pursuant to them would be invalid. SBT also believes that Sprott’s actions are contrary to the take-over bid and proxy solicitation rules and the public interest. SBT has commenced an application before the Ontario Securities Commission to contest the amendments and other aspects of the Offer and has sought an order from the Ontario Securities Commission cease trading the Offer.

SBT is of the view that the use of the powers of attorney by Sprott to replace its independent Trustees when the conditions to the Offer have not been met is not a purpose for which the powers of attorney were solicited, and a clear violation of law. Sprott’s plan to change the terms of the powers of attorney granted by certain SBT Unitholders – without consulting Unitholders or complying with securities laws – is nothing more than an illegitimate tactic to ignore the will of Unitholders and replace SBT’s independent Trustees with insiders of Sprott, all of whom are clearly and obviously conflicted. Further, Sprott had previously represented to Unitholders and the Ontario Superior Court of Justice that it would use the powers of attorney granted in connection with the Offer for the purpose of carrying out the mechanics required to complete the Offer, only if they achieved the minimum acceptance of 66⅔% of SBT Units.

This is great entertainment – but I’m glad I’m not the one paying the lawyers!

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts off 2bp, FixedResets losing 56bp and DeemedRetractibles down 5bp. BAM issues were notable in the bad part of the Performance Highlights table. Volume was average. What a week it has been – but at least we’re not alone.

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:

There is a major increase in implied volatility today. It’s almost as if the issues with the lowest spreads have a ‘floor price’ – which is not to say that they don’t go down, but they seem to outperform on lousy days.

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.94 to be $0.68 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.24 cheap at its bid price of 13.90.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.98 to be 0.55 rich, while MFC.PR.F resetting at +141bp on 2016-6-19, is bid at 14.45 to be 0.69 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.41 to be $1.70 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.11 and appears to be $1.12 rich.

FTS.PR.K, with a spread of +205bp, and bid at 19.70, looks $0.78 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 14.20 and is $0.93 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.57%, with one outlier above 0.00%. There are two junk outliers above 0.00% and one below -2.00%.

The light blue point is an estimate for the potential BCE.PR.R / BCE.PF.Q pair, the latter of which is not trading. Its price has been set to the average defined by the other BCE Ratchet Rate preferreds.

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	4.27 %	5.12 %	31,167	17.69	1	0.0000 %	1,819.2
FixedFloater	6.27 %	5.51 %	28,644	16.91	1	-3.5646 %	3,112.2
Floater	3.87 %	3.89 %	69,597	17.62	3	0.1915 %	2,040.6
OpRet	4.84 %	4.54 %	33,557	0.77	1	0.0000 %	2,718.6
SplitShare	4.74 %	5.71 %	140,624	4.37	5	-0.2039 %	3,206.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2039 %	2,501.7
Perpetual-Premium	5.82 %	4.37 %	72,269	0.08	6	-0.0199 %	2,497.9
Perpetual-Discount	5.53 %	5.61 %	84,446	14.46	33	-0.0158 %	2,585.9
FixedReset	4.83 %	4.40 %	223,365	15.46	76	-0.5566 %	2,115.1
Deemed-Retractible	5.18 %	5.19 %	110,584	5.41	34	-0.0530 %	2,581.0
FloatingReset	2.59 %	3.86 %	53,963	5.78	10	-0.3009 %	2,181.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.T	FixedReset	-4.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 17.74 Evaluated at bid price : 17.74 Bid-YTW : 4.81 %
BAM.PR.X	FixedReset	-3.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 15.54 Evaluated at bid price : 15.54 Bid-YTW : 4.75 %
BAM.PR.G	FixedFloater	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 25.00 Evaluated at bid price : 15.15 Bid-YTW : 5.51 %
ELF.PR.G	Perpetual-Discount	-3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 5.84 %
BAM.PR.Z	FixedReset	-2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 4.91 %
BIP.PR.A	FixedReset	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.31 %
TRP.PR.E	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 18.94 Evaluated at bid price : 18.94 Bid-YTW : 4.65 %
MFC.PR.K	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.59 Bid-YTW : 6.68 %
TRP.PR.D	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 4.75 %
SLF.PR.J	FloatingReset	-2.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.45 Bid-YTW : 9.50 %
HSE.PR.E	FixedReset	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.97 Evaluated at bid price : 22.45 Bid-YTW : 5.06 %
RY.PR.Z	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.17 %
FTS.PR.K	FixedReset	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.09 %
MFC.PR.F	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.45 Bid-YTW : 9.60 %
CU.PR.C	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.91 Evaluated at bid price : 20.91 Bid-YTW : 4.06 %
RY.PR.H	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 4.21 %
MFC.PR.H	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.89 Bid-YTW : 4.87 %
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 : 19.50 Bid-YTW : 5.62 %
MFC.PR.I	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 5.08 %
CM.PR.Q	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 22.18 Evaluated at bid price : 22.80 Bid-YTW : 4.04 %
MFC.PR.G	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.82 Bid-YTW : 5.23 %
BAM.PF.B	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 4.61 %
NA.PR.W	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.32 %
FTS.PR.H	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 4.33 %
BAM.PF.F	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.32 Evaluated at bid price : 21.61 Bid-YTW : 4.61 %
RY.PR.M	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 4.16 %
TD.PF.C	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.24 %
RY.PR.N	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 23.00 Evaluated at bid price : 23.40 Bid-YTW : 5.23 %
TD.PF.A	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 4.22 %
SLF.PR.H	FixedReset	1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.99 Bid-YTW : 6.84 %
FTS.PR.J	Perpetual-Discount	4.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.75 Evaluated at bid price : 22.08 Bid-YTW : 5.47 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.B	Deemed-Retractible	127,633	Nesbitt crossed 64,800 at 24.95. Desjardins crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 4.76 %
MFC.PR.I	FixedReset	104,994	Desjardins crossed blocks of 43,300 and 25,000, both at 23.47. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 5.08 %
NA.PR.S	FixedReset	55,987	TD crossed 25,000 at 20.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.36 %
BMO.PR.S	FixedReset	48,972	Scotia crossed 30,000 at 20.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.26 %
RY.PR.Z	FixedReset	47,041	Scotia crossed 28,600 at 20.23. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.17 %
BAM.PF.H	FixedReset	30,706	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.40 %
There were 34 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ELF.PR.G	Perpetual-Discount	Quote: 20.57 – 21.47 Spot Rate : 0.9000 Average : 0.5444 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 5.84 %
MFC.PR.K	FixedReset	Quote: 19.59 – 20.13 Spot Rate : 0.5400 Average : 0.3679 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.59 Bid-YTW : 6.68 %
BAM.PR.T	FixedReset	Quote: 17.74 – 18.30 Spot Rate : 0.5600 Average : 0.3910 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 17.74 Evaluated at bid price : 17.74 Bid-YTW : 4.81 %
GWO.PR.S	Deemed-Retractible	Quote: 24.21 – 24.75 Spot Rate : 0.5400 Average : 0.3960 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 5.83 %
TRP.PR.F	FloatingReset	Quote: 14.52 – 15.00 Spot Rate : 0.4800 Average : 0.3492 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 14.52 Evaluated at bid price : 14.52 Bid-YTW : 4.05 %
RY.PR.M	FixedReset	Quote: 21.52 – 21.90 Spot Rate : 0.3800 Average : 0.2650 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-13 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 4.16 %

There were a few things I wanted to discuss in today’s post, notably Six Strange Things That Have Been Happening in Financial Markets and a new twist in the Sprott Silver Battle, but frankly – it’s late and I’m tired. So today, folks, all you’re getting is the barest of bare bones.

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	4.27 %	5.12 %	31,504	17.68	1	0.0000 %	1,819.2
FixedFloater	6.05 %	5.29 %	28,536	17.17	1	0.1913 %	3,227.2
Floater	3.88 %	3.92 %	68,686	17.55	3	2.1229 %	2,036.7
OpRet	4.84 %	4.52 %	32,765	0.78	1	0.0395 %	2,718.6
SplitShare	4.73 %	5.60 %	145,738	4.37	5	0.1121 %	3,212.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1121 %	2,506.8
Perpetual-Premium	5.82 %	3.40 %	88,415	0.08	6	-0.0728 %	2,498.4
Perpetual-Discount	5.53 %	5.64 %	83,047	14.45	33	-0.2943 %	2,586.3
FixedReset	4.81 %	4.51 %	225,507	15.51	76	-1.0322 %	2,127.0
Deemed-Retractible	5.18 %	5.20 %	108,826	5.41	34	-0.1084 %	2,582.3
FloatingReset	2.57 %	3.89 %	54,555	5.78	10	-0.1782 %	2,187.6

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.G	FixedReset	-5.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 4.85 %
FTS.PR.J	Perpetual-Discount	-4.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.77 %
HSE.PR.A	FixedReset	-3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 5.06 %
TRP.PR.D	FixedReset	-3.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 4.76 %
TRP.PR.E	FixedReset	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 4.64 %
NA.PR.S	FixedReset	-3.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.50 %
HSE.PR.C	FixedReset	-3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.04 %
MFC.PR.F	FixedReset	-2.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.70 Bid-YTW : 9.50 %
TRP.PR.A	FixedReset	-2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 4.80 %
MFC.PR.L	FixedReset	-2.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.07 Bid-YTW : 6.50 %
MFC.PR.K	FixedReset	-2.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.03 Bid-YTW : 6.45 %
IFC.PR.A	FixedReset	-2.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.55 Bid-YTW : 8.74 %
TRP.PR.H	FloatingReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 11.53 Evaluated at bid price : 11.53 Bid-YTW : 3.68 %
SLF.PR.H	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.19 %
FTS.PR.H	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 14.36 Evaluated at bid price : 14.36 Bid-YTW : 4.41 %
NA.PR.W	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 4.38 %
TD.PF.D	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 22.00 Evaluated at bid price : 22.51 Bid-YTW : 4.18 %
BAM.PF.E	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 4.67 %
MFC.PR.N	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 6.00 %
BAM.PR.Z	FixedReset	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 4.87 %
SLF.PR.G	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.85 %
TRP.PR.F	FloatingReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 4.00 %
CM.PR.P	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.59 Evaluated at bid price : 19.59 Bid-YTW : 4.36 %
BIP.PR.A	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.73 Evaluated at bid price : 22.11 Bid-YTW : 5.22 %
MFC.PR.J	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.21 Bid-YTW : 5.41 %
BMO.PR.W	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.64 Evaluated at bid price : 19.64 Bid-YTW : 4.31 %
MFC.PR.B	Deemed-Retractible	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.52 Bid-YTW : 6.85 %
MFC.PR.H	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.79 %
TD.PF.B	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 4.27 %
TD.PR.Y	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.81 Bid-YTW : 4.05 %
TD.PR.Z	FloatingReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 3.89 %
BMO.PR.T	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 4.30 %
TD.PF.C	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.30 %
MFC.PR.G	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.09 Bid-YTW : 5.16 %
PWF.PR.T	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 22.02 Evaluated at bid price : 22.39 Bid-YTW : 3.95 %
BAM.PF.H	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.40 %
RY.PR.Z	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.24 Evaluated at bid price : 20.24 Bid-YTW : 4.20 %
TRP.PR.C	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 4.69 %
IFC.PR.C	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.12 Bid-YTW : 6.73 %
RY.PR.H	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 4.26 %
BAM.PF.G	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 4.62 %
CU.PR.H	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 23.48 Evaluated at bid price : 23.80 Bid-YTW : 5.52 %
BNS.PR.P	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.27 Bid-YTW : 3.76 %
W.PR.J	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 24.07 Evaluated at bid price : 24.33 Bid-YTW : 5.81 %
TD.PF.A	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 4.27 %
GWO.PR.R	Deemed-Retractible	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.07 Bid-YTW : 6.64 %
RY.PR.J	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.76 Evaluated at bid price : 22.15 Bid-YTW : 4.20 %
BAM.PR.C	Floater	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 12.05 Evaluated at bid price : 12.05 Bid-YTW : 3.96 %
BAM.PR.T	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.73 %
TD.PR.T	FloatingReset	1.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 3.46 %
BAM.PR.X	FixedReset	2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 16.18 Evaluated at bid price : 16.18 Bid-YTW : 4.70 %
BAM.PR.K	Floater	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 12.16 Evaluated at bid price : 12.16 Bid-YTW : 3.92 %
BAM.PR.B	Floater	2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 12.35 Evaluated at bid price : 12.35 Bid-YTW : 3.86 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PF.H	FixedReset	82,443	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.40 %
CU.PR.I	FixedReset	70,396	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.90 %
RY.PR.H	FixedReset	65,246	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 4.26 %
TD.PF.B	FixedReset	52,666	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 4.27 %
TD.PF.C	FixedReset	33,606	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.30 %
BMO.PR.W	FixedReset	33,404	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.64 Evaluated at bid price : 19.64 Bid-YTW : 4.31 %
There were 45 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.J	Perpetual-Discount	Quote: 21.03 – 22.23 Spot Rate : 1.2000 Average : 0.7292 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.77 %
ELF.PR.H	Perpetual-Discount	Quote: 24.25 – 25.00 Spot Rate : 0.7500 Average : 0.5031 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 23.77 Evaluated at bid price : 24.25 Bid-YTW : 5.71 %
TRP.PR.A	FixedReset	Quote: 16.01 – 16.70 Spot Rate : 0.6900 Average : 0.5199 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 4.80 %
MFC.PR.B	Deemed-Retractible	Quote: 21.52 – 21.99 Spot Rate : 0.4700 Average : 0.3328 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.52 Bid-YTW : 6.85 %
RY.PR.N	Perpetual-Discount	Quote: 23.65 – 24.00 Spot Rate : 0.3500 Average : 0.2182 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 23.35 Evaluated at bid price : 23.65 Bid-YTW : 5.18 %
BAM.PR.R	FixedReset	Quote: 16.44 – 16.92 Spot Rate : 0.4800 Average : 0.3534 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 16.44 Evaluated at bid price : 16.44 Bid-YTW : 5.26 %