PrefBlog

Good news! Litvak’s won his appeal!

In a ruling that will shape how the U.S. Justice Department and Securities and Exchange Commission pursue several similar cases already in the pipeline, a federal appeals court threw out Jesse Litvak’s March 2014 conviction for defrauding the U.S. Troubled Asset Relief Program and making false statements to the government. Prosecutors will retry charges of lying to buyers and sellers of mortgage-backed securities.

Tuesday’s decision forces the U.S. to bolster its case that traders who lie to customers are committing fraud. In it, the appeals court faulted the judge for excluding some defense evidence, saying the accused must be allowed to show that his actions were in keeping with how Wall Street does business.
…
A central issue in the Litvak case is whether it’s important for the buyer of a bond to know how much a trader paid for it. Prosecutors argued that Litvak’s lies about how much he paid constituted fraud. Litvak’s team compared their client to used-car salesman who isn’t expected to be honest about what he paid for a car: If a sophisticated bond-buyer agrees the price is fair, they argued, it doesn’t matter what the dealer originally paid.

Litvak’s case was last discussed on PrefBlog on August 13.

The Bank of Canada has acknowledged that its policy options have been widened:

Policy makers still have firepower to spur growth even with borrowing costs near zero, Bank of Canada Governor Stephen Poloz said, citing unconventional policies and fiscal stimulus.

While the central bank doesn’t expect another crisis that will force it to resort to such policies, a number of tools are still available, including charging banks for deposits, forward guidance and asset purchases, Poloz said. Fiscal stimulus could be even more effective than monetary policy in extreme circumstances, he said.

“I certainly hope we won’t ever have to use these tools,” Poloz said Tuesday during a speech in Toronto. “However, in an uncertain world, a central bank has to be prepared for all eventualities.”

While Poloz sought to highlight the hypothetical nature of his comments, the speech comes amid growing concern for Canada’s economy as fresh signs of weakness in China and growing concerns about a global oil glut damp the outlook for commodity-producing nations.

Swaps trading suggests investors are pricing in a 25 percent chance of another rate cut by May, following two reductions this year that brought the benchmark rate to 0.5 percent.

I’m not reading much into this. The central banks just want to make their toolbox transparent, so that during the next crisis there will be fewer surprises to worry about. During the Credit Crunch you could almost see the Fed moving down the list … ‘do this, tick the box, see if it’s enough ….’

Meanwhile the central planners are touting micro-management of the economy:

“There are significant pockets of vulnerability created by the growth in mortgage debt in recent years,” according to Craig Alexander, a C.D. Howe researcher and former chief economist at Toronto Dominion Bank, and Paul Jacobson, president of the Canadian Association for Business Economics. “The majority of Canadians have been responsible in their borrowing, but the sustained low interest rate environment has encouraged a significant minority to take on considerably more mortgage debt relative to after-tax income.”

New Finance Minister Bill Morneau, who was chairman of C.D. Howe before entering politics, has said housing is one of the first briefings he took from his officials. Canada has long faced international warnings about the need to head off a housing crash like those seen in the U.S., the U.K. and Spain, and former Finance Minister Jim Flaherty acted several times to tighten lending rules.

Putting in new restrictions is difficult because those past changes have already slowed credit growth, and because the risks now are in a few segments of the market that make using a “blunt tool” approach counter-productive, the authors said.

Policy makers could set tougher underwriting rules on criteria such as credit scores and debt-service ratios, or raise the interest rate that tests a borrower’s ability to pay up later, Alexander and Jacobson wrote.

One tool to target Vancouver and Toronto would be raising the down payment requirement on more expensive homes, the report said. That echoes a proposal the finance department has been making this year, according to people familiar with those talks.

OSFI’s Deputy Superintendent Mark Zelmer gave a speech to the C.D. Howe Institute, Toronto, Ontario, December 8, 2015 titled Asset Managers and Global Financial Stability:

Liquidity mismatches could potentially contribute to instability in important financial markets

The first topic I would like to address relates to liquidity mismatches. Combining less liquid investments with short-notice redemption features for fund units gives rise to a potential misalignment between the redeemability of investment fund units versus the actual liquidity of their underlying investments. This mismatch may result in fragile demand for those investments if investors think they are more liquid than they really are. When times are good, everyone benefits. But if prospects dim and investors suddenly decide to rush to the exit gates, it could prove very disruptive for the markets in question, particularly if a fund has to quickly liquidate large blocks of securities to meet the redemption requests.
…
While most funds are well positioned to cope with normal redemption flows, their ability to cope with an unexpectedly large surge in redemption requests merits further exploration. As we shine light down this corridor, however, we should resist the temptation to treat investment fund liquidity management practices as a macro-prudential tool for cushioning markets from the actions of end-investors. Taken to extremes, that would slow markets’ processing of new information, which could give rise to some easy arbitrage opportunities. I do not think we need to give more sophisticated and nimble market participants new ways to profit at the expense of everyone else.

Leverage comes in many forms
…
Investment funds of all types also make use of financial derivatives to hedge risks and as a cheap way to establish investment positions. The latter is often prevalent in situations where cash markets are less liquid and positions can be established at lower cost through derivatives markets. This can, however, result in the creation of leverage within a fund when the values of the derivatives’ exposures change over the life of the contracts.

As was shown by the failure of Long-term Capital Management in 1998, global financial stability concerns can emerge in situations where banks supply the financing for these investment funds or serve as the principal counterparties for investment fund derivatives transactions. Of course, much has changed since then. There have been advances in asset manager and bank risk management practices, plus a number of regulatory measures to contain the amount of leverage in the global financial system.

Transferring investment mandates may not be as easy as some people think

The third potential vulnerability I want to highlight focuses on the challenges of replacing asset managers. Now, let me stress at the outset that the asset management industry has plenty of experience in transferring investment mandates from one asset manager to another, with no disruptions to markets or other parts of the financial system. A lot of credit is due to the asset managers in question, their advisers, custodians and the firms that specialize in providing transition services. But, if you take a snapshot of the global asset management sector at any point in time, you will see a small group of asset managers that clearly stands out from the rest in terms of the amount of assets they have under management. This begs the question of how easy would it be to transfer their investment mandates to other asset managers on short notice, especially if the need arose in a period when markets are under stress.

Presumably, such an event is most likely to arise in a situation where a very large asset manager is experiencing operational difficulties or challenges that inhibit its ability to deliver services as per investor expectations. If the issues are serious enough and the disruptions sufficiently prolonged, it is conceivable that investors could lose confidence in the funds offered by the asset manager and seek to either move their funds or accounts to another manager, or even liquidate their investments and re-establish them with another manager. Similar issues could also arise from a reputational risk perspective.
…
Nevertheless, it does beg the issue of what steps could be taken to quickly transfer investment mandates from one manager to another in a smooth fashion, so as to minimise the need for any actual redemptions of fund units by end-investors that would then trigger transactions in financial markets. As I noted at the outset, the asset management industry argues that such processes operate fairly smoothly in practice, given the role that transition managers and custodians play in facilitating transfers of funds and investor accounts from one manager to another. The industry is also quick to cite the recent PIMCO experience as a good example to that effect. And, certainly, that has been the experience to date. But, one cannot help but wonder whether the PIMCO episode would have played out so smoothly had it happened say, in the autumn of 2008, when the global financial system as a whole was in the midst of trying to cope with a major crisis.

Huh. That last point could be laying the ground for expropriation of investment management contracts.

On another note, it appears that nowadays even your car will rat you out:

“Attention!” the automated call from the black Ford Escort’s vehicle emergency system had said after detecting a crash and calling emergency number 911.

“A crash has occurred in a Ford vehicle. Press 1 at any time for location information or press 0 to speak with vehicle occupants.”

A recording of the call obtained by local station WPBF features Bernstein, a 57-year-old from Port Lucie, Florida, telling the dispatcher (repeatedly) that there hadn’t been any accident and that no, she hadn’t been drinking.
…
Although Bernstein initially denied it, there had, in fact, been two accidents.

The first was a hit-and-run on Monday afternoon last week (30 November).

The victim, Anna Preston, said she was struck from behind by a black vehicle that took off.

As the New York Daily News reports, after her car ratted her out, police went by Bernstein’s house to have a chat with her.

There, they saw the black Ford with a wrecked front-end, with silver paint from Preston’s car still on it.

So I understand they’re making a movie based on the Canadian preferred share market:

It was an incredibly awful day for the Canadian preferred share market, with PerpetualDiscounts off 82bp, FixedResets losing an awesome 261bp and DeemedRetractibles down 97bp. The yield-to-worst on the HIMIPref™ FixedReset subindex is now 4.99% – a level not seen since late May, 2009. The Performance Highlights table is, of course, ridiculous, with bank issues being more prominent at the extreme bad end than usual. Volume was enormous – I’m not sure whether it is unprecedentedly enormous or not, but it’s certainly among the historic highs.

For those keeping score, TXPR is now down about 5.69% on the month to date and is now down to October 16 levels – about 2.53% above the low of October 14.

TXPL is down about 6.88% on the month to date and is also down to October 16 levels – about 2.81% above the October 14 low.

But take heart! There was a late day rally in TXPR:

… and in TXPL:

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.04 %	6.12 %	34,818	16.51	1	0.0000 %	1,540.9
FixedFloater	7.04 %	6.23 %	33,377	15.97	1	-2.5271 %	2,773.2
Floater	4.27 %	4.44 %	75,276	16.45	4	0.7276 %	1,774.7
OpRet	4.87 %	4.15 %	28,961	0.71	1	-0.0794 %	2,734.3
SplitShare	4.84 %	5.52 %	85,404	2.87	6	-0.6620 %	3,191.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.6620 %	2,489.8
Perpetual-Premium	5.86 %	5.91 %	94,764	13.90	7	-0.8445 %	2,472.2
Perpetual-Discount	5.77 %	5.88 %	99,912	14.05	33	-0.8221 %	2,478.0
FixedReset	5.42 %	4.99 %	244,070	14.51	78	-2.6133 %	1,900.0
Deemed-Retractible	5.30 %	5.43 %	130,510	5.33	33	-0.9703 %	2,527.2
FloatingReset	2.79 %	4.21 %	62,913	5.69	11	-1.3815 %	2,110.5

Performance Highlights
Issue	Index	Change	Notes
RY.PR.M	FixedReset	-6.91 %	Reasonable enough, as the issue traded 66,593 shares in a range of 18.01-19.55 before closing at 18.20-60, 2×9. Most of the trades in the last half hour were closer to the closing ask, but there was some activity at 18.25 at 3:32pm. The VWAP was 18.74. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.90 %
HSE.PR.C	FixedReset	-6.84 %	Reasonable, as the issue traded 39,786 shares in a range of 17.40-18.70 before closing at 17.42-74, 5×1. Most trades in the last two minutes were below 17.50. VWAP was 17.79. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 5.95 %
CM.PR.Q	FixedReset	-6.77 %	Quite reasonable, as the issue traded 60,797 shares in a range of 18.51-19.70 before closing at 18.60-23, 5×5. Twenty of the last twenty-five trades were below 18.70. VWAP was 18.98. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.98 %
RY.PR.J	FixedReset	-6.58 %	Quite reasonable, as the issue traded 71,991 shares in a range of 18.30-19.75 before closing at 18.45-60, 1×7. Twenty-three of the last twenty-five trades were at or below 18.50. VWAP was 18.78. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.95 %
HSE.PR.G	FixedReset	-6.25 %	Reasonable enough, as the issue traded 17,404 shares in a range of 19.36-91 before closing at 19.50-79, 7×10. Twenty-two of the last twenty-five trades were at or above 19.70. VWAP was 19.66. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.73 %
TD.PF.D	FixedReset	-6.04 %	Reasonable enough, as the issue traded 58,173 shares in a range of 18.73-20.18 before closing at 18.98-20, 6×100. Eighteen of the last twenty-five trades were below 19.00. VWAP was 19.27. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.98 Evaluated at bid price : 18.98 Bid-YTW : 4.88 %
BMO.PR.S	FixedReset	-5.55 %	Quite reasonable, as the issue traded 251,922 shares in a range of 17.40-18.72 before closing at 17.71-83, 4×12. Twenty-one of the last twenty-five trades were at or below 17.80. VWAP was 17.93. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.79 %
BMO.PR.T	FixedReset	-5.31 %	Reasonable, as the issue traded 32,668 shares in a range of 16.92-18.05 before closing at 17.11-39, 1×2. Twenty-one of the last twenty-five trades were at or below 17.20. VWAP was 17.48. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.84 %
BMO.PR.W	FixedReset	-4.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 4.83 %
CM.PR.O	FixedReset	-4.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 4.88 %
PVS.PR.D	SplitShare	-4.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 7.08 %
TD.PF.B	FixedReset	-4.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.80 %
TD.PF.C	FixedReset	-4.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.81 %
BAM.PF.F	FixedReset	-4.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 5.32 %
RY.PR.I	FixedReset	-4.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 4.66 %
HSE.PR.E	FixedReset	-4.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.81 %
SLF.PR.I	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 7.70 %
RY.PR.Z	FixedReset	-4.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.73 %
MFC.PR.J	FixedReset	-4.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.69 Bid-YTW : 7.53 %
BAM.PF.B	FixedReset	-3.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.40 %
TD.PF.E	FixedReset	-3.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.76 %
CM.PR.P	FixedReset	-3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.96 %
BMO.PR.Y	FixedReset	-3.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.69 %
BMO.PR.M	FixedReset	-3.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.15 Bid-YTW : 4.35 %
BAM.PF.A	FixedReset	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 5.41 %
MFC.PR.G	FixedReset	-3.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.40 Bid-YTW : 7.27 %
BAM.PF.G	FixedReset	-3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 5.32 %
RY.PR.H	FixedReset	-3.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 4.75 %
TD.PF.A	FixedReset	-3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 4.77 %
IAG.PR.G	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.73 Bid-YTW : 7.00 %
TD.PR.S	FixedReset	-3.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 4.07 %
BAM.PF.E	FixedReset	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 5.26 %
BAM.PR.Z	FixedReset	-2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.33 %
NA.PR.S	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 5.00 %
MFC.PR.C	Deemed-Retractible	-2.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.68 Bid-YTW : 7.82 %
BMO.PR.Z	Perpetual-Discount	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 22.77 Evaluated at bid price : 23.15 Bid-YTW : 5.43 %
MFC.PR.I	FixedReset	-2.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 7.13 %
NA.PR.W	FixedReset	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.99 %
FTS.PR.F	Perpetual-Discount	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.40 Evaluated at bid price : 21.67 Bid-YTW : 5.68 %
BAM.PF.H	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.13 Evaluated at bid price : 24.91 Bid-YTW : 5.05 %
BIP.PR.A	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.81 %
BNS.PR.C	FloatingReset	-2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.24 Bid-YTW : 4.35 %
BAM.PR.G	FixedFloater	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 25.00 Evaluated at bid price : 13.50 Bid-YTW : 6.23 %
RY.PR.P	Perpetual-Discount	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.86 Evaluated at bid price : 24.20 Bid-YTW : 5.51 %
BMO.PR.R	FloatingReset	-2.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 4.21 %
CU.PR.C	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.14 Evaluated at bid price : 17.14 Bid-YTW : 4.91 %
CU.PR.I	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.13 Evaluated at bid price : 24.90 Bid-YTW : 4.49 %
NA.PR.Q	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 4.22 %
BNS.PR.R	FixedReset	-2.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.02 %
PWF.PR.H	Perpetual-Premium	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 24.10 Evaluated at bid price : 24.36 Bid-YTW : 5.98 %
FTS.PR.H	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 4.52 %
RY.PR.O	Perpetual-Discount	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.82 Evaluated at bid price : 22.15 Bid-YTW : 5.56 %
TRP.PR.G	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 5.28 %
SLF.PR.H	FixedReset	-1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.11 Bid-YTW : 8.90 %
RY.PR.W	Perpetual-Discount	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 5.63 %
BNS.PR.P	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 3.92 %
FTS.PR.G	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.04 %
RY.PR.N	Perpetual-Discount	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.97 Evaluated at bid price : 22.26 Bid-YTW : 5.54 %
POW.PR.G	Perpetual-Premium	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.49 Evaluated at bid price : 23.95 Bid-YTW : 5.93 %
PWF.PR.P	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 13.65 Evaluated at bid price : 13.65 Bid-YTW : 4.62 %
GWO.PR.G	Deemed-Retractible	-1.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 6.80 %
GWO.PR.I	Deemed-Retractible	-1.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 7.43 %
IAG.PR.A	Deemed-Retractible	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 7.40 %
GWO.PR.R	Deemed-Retractible	-1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.81 Bid-YTW : 7.34 %
BNS.PR.B	FloatingReset	-1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 4.27 %
MFC.PR.B	Deemed-Retractible	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.39 Bid-YTW : 7.49 %
PWF.PR.T	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.81 Evaluated at bid price : 22.09 Bid-YTW : 3.88 %
BNS.PR.Z	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.91 Bid-YTW : 6.48 %
BNS.PR.N	Deemed-Retractible	-1.52 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 4.92 %
PWF.PR.S	Perpetual-Discount	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.88 %
ENB.PR.A	Perpetual-Discount	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.14 Evaluated at bid price : 23.40 Bid-YTW : 5.91 %
SLF.PR.D	Deemed-Retractible	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.42 Bid-YTW : 7.93 %
BNS.PR.Q	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 4.16 %
TRP.PR.F	FloatingReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 13.26 Evaluated at bid price : 13.26 Bid-YTW : 4.42 %
TRP.PR.H	FloatingReset	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 9.86 Evaluated at bid price : 9.86 Bid-YTW : 4.33 %
IFC.PR.C	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.07 Bid-YTW : 8.92 %
BMO.PR.Q	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.27 %
GWO.PR.H	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 7.27 %
BNS.PR.D	FloatingReset	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.17 %
BNS.PR.A	FloatingReset	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.69 Bid-YTW : 4.17 %
TD.PR.T	FloatingReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 4.08 %
PWF.PR.E	Perpetual-Discount	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.13 Evaluated at bid price : 23.39 Bid-YTW : 5.95 %
BNS.PR.M	Deemed-Retractible	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 4.85 %
ELF.PR.G	Perpetual-Discount	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.98 %
MFC.PR.N	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.31 Bid-YTW : 7.65 %
SLF.PR.C	Deemed-Retractible	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 7.90 %
BNS.PR.L	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.71 Bid-YTW : 4.83 %
BAM.PR.T	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 15.12 Evaluated at bid price : 15.12 Bid-YTW : 5.58 %
TD.PR.Z	FloatingReset	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.21 Bid-YTW : 4.16 %
SLF.PR.E	Deemed-Retractible	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.66 Bid-YTW : 7.81 %
GWO.PR.P	Deemed-Retractible	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.29 Bid-YTW : 6.39 %
CU.PR.F	Perpetual-Discount	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 5.71 %
FTS.PR.J	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 5.66 %
TD.PF.F	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 22.10 Evaluated at bid price : 22.44 Bid-YTW : 5.51 %
BAM.PF.D	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 6.31 %
GWO.PR.L	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.43 Bid-YTW : 5.97 %
MFC.PR.H	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.47 %
PWF.PR.L	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.78 Evaluated at bid price : 22.02 Bid-YTW : 5.86 %
TD.PR.Y	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.02 Bid-YTW : 3.86 %
BAM.PR.M	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 6.30 %
MFC.PR.K	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.44 Bid-YTW : 8.12 %
BAM.PR.B	Floater	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 4.44 %
BAM.PR.C	Floater	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 10.68 Evaluated at bid price : 10.68 Bid-YTW : 4.49 %
SLF.PR.J	FloatingReset	1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.10 Bid-YTW : 9.84 %
ELF.PR.H	Perpetual-Discount	4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 22.66 Evaluated at bid price : 23.00 Bid-YTW : 6.07 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.O	FixedReset	287,269	Desjardins crossed 248,400 at 17.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 4.88 %
BMO.PR.S	FixedReset	251,922	RBC crossed 203,800 at 17.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.79 %
BAM.PF.H	FixedReset	166,439	TD bought 40,500 from National at 24.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.13 Evaluated at bid price : 24.91 Bid-YTW : 5.05 %
RY.PR.L	FixedReset	150,200	TD sold 39,500 to CIBC at 25.00, and another 40,000 to RBC at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 4.10 %
BIP.PR.B	FixedReset	113,268	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 22.92 Evaluated at bid price : 24.35 Bid-YTW : 5.61 %
BNS.PR.M	Deemed-Retractible	80,383	CIBC bought 50,000 from TD at 25.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 4.85 %
There were 94 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.A	FixedReset	Quote: 15.51 – 17.50 Spot Rate : 1.9900 Average : 1.1428 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 4.70 %
ELF.PR.G	Perpetual-Discount	Quote: 20.20 – 20.84 Spot Rate : 0.6400 Average : 0.3954 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.98 %
RY.PR.I	FixedReset	Quote: 23.12 – 23.78 Spot Rate : 0.6600 Average : 0.4338 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 4.66 %
PWF.PR.H	Perpetual-Premium	Quote: 24.36 – 24.99 Spot Rate : 0.6300 Average : 0.4160 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 24.10 Evaluated at bid price : 24.36 Bid-YTW : 5.98 %
FTS.PR.F	Perpetual-Discount	Quote: 21.67 – 22.29 Spot Rate : 0.6200 Average : 0.4179 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.40 Evaluated at bid price : 21.67 Bid-YTW : 5.68 %
TD.PR.S	FixedReset	Quote: 23.51 – 24.03 Spot Rate : 0.5200 Average : 0.3354 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 4.07 %

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