PrefBlog

The big news of the day was the diving of the loonie:

The currency fell as much as 0.6 percent to 69.90 U.S. cents Tuesday in Toronto,, the first time it touched that level since May 2003, as crude oil fell to a 12-year low of $29.93 per barrel in New York. The first time the Canadian dollar weakened below 70 U.S. cents was 1997, before the country’s oil industry took off and when its government was wrestling with a budget deficit.

It mostly traded below 70 U.S. cents between 1997 and 2003, a period when manufacturing made up a larger part of exports than oil. It’s all-time low was 61.76 U.S. cents in 2002.
…
Even though [Macquarie Group forecaster David] Doyle predicted Canada’s central bank will cut its benchmark rate to a record low 0.25 percent on Jan. 20, a weakened manufacturing sector and more competition from Mexico in the U.S. market, Canada’s largest trading partner, mean it will take longer for the country to see an economic benefit with oil prices still depressed.

Once the loonie, as the currency is called for the aquatic bird on the C$1 coin, reaches its record low, it will stay depressed through the end of 2018, Doyle said.

“Manufacturing and non-energy exports have far less ability to propel the economic outlook than they have in the past,” Doyle said. “Many of our oil and oil-related sectors have grown, and a lot of our manufacturing sectors have not grown and remained low.”

Meanwhile, it appears that insurance and SIFI regulation is having some of its intended effect:

MetLife joins General Electric Co.’s finance unit in seeking to simplify operations after being designated by a U.S. panel as a non-bank systemically important financial institution, a tag that can lead to stricter limits on the balance sheet. [MetLife CEO Steve] Kandarian has sought to reverse that designation in court.

The retail business, as part of a SIFI, faces “higher capital requirements that could put it at a significant competitive disadvantage,” Kandarian said in the statement. “Even though we are appealing our SIFI designation in court and do not believe any part of MetLife is systemic, this risk of increased capital requirements contributed to our decision to pursue the separation.”
…
The retail unit slated for separation is a provider of variable annuities, where results can be tied to fluctuations in stock markets and interest rates. The new company would also include life insurance entities. MetLife didn’t outline a timetable for the plan, saying the completion of a transaction could depend on market conditions, and also regulatory approvals.
…
MetLife is among four non-bank companies that were named SIFIs by the Financial Stability Oversight Council. That panel was created by the 2010 Dodd-Frank law and charged with monitoring potential threats to the financial system after the near collapse in 2008 of companies including insurer American International Group Inc., which required a U.S. bailout.

GE has been divesting finance operations and has said it will apply to drop its tag as a SIFI. Prudential Financial Inc., the second-largest U.S. life insurer, in 2013 opted against filing a lawsuit to overturn its SIFI status.

AIG, also a SIFI, has been facing pressure from activist investor Carl Icahn to break up into three separate businesses — one offering property-casualty coverage, another selling life insurance and a third backing mortgages. Icahn has said the risk tag is intended to be a tax on size and AIG’s businesses would be worth more to shareholders if they’re not part of a systemically important company.

So, up to a point, I approve of this. Huge financial empires can lead to trouble. My problem with the implementation, however, is that too much is left to opinion and there is too sharp a break between SIFI and non-SIFI status. I would prefer to see a surcharge on risk-weighted assets so that companies can find their optimal size, without the inevitable games-playing that is intrinsic to the current solution; for more discussion, see my post Capital Surcharges for Globally Important Investment Banks.

Assiduous Reader JP brings to my attention new rules on lease reporting:

The International Accounting Standards Board (IASB) published a new rule on Wednesday requiring leases of more than a year to be placed on balance sheets from January 2019.

“It’s a major change and will affect around half of all companies, especially airlines, shipping and retail. They will have significantly different financial statements,” IASB Chairman Hans Hoogervorst told Reuters.

Some defunct retailers have surprised investors by disclosing that off-balance sheet leases were almost 66 times the value of on-balance sheet debt, the IASB said.
…
Hoogervorst’s predecessor, David Tweedie, kicked off the reform two decades ago and annoyed leasing companies by saying he wanted to fly the Atlantic in a plane that was on the airline’s balance sheet.

“It will change balance sheets massively,” Tweedie told Reuters. “You can’t be paying rent for an aeroplane you have to stick in the Arizona desert and pretend it’s not a liability.”

I have often thought that the main value of ‘green’ legislation is that it forces a certain amount of thinking about why we do things the way we do. Humans are intrinsically lazy, and will seek to apply cookie-cutter solutions that have worked out reasonably well in the past instead of redesigning everything from scratch. Most of the time, that’s the proper thing to do, of course; but every now and then a fresh look makes the light-bulb spring to life:

The clinical white beam of LEDs and frustrating time-delay of ‘green’ lighting has left many hankering after the instant, bright warm glow of traditional filament bulbs.

But now scientists in the US believe they have come up with a solution which could see a reprieve for incandescent bulbs.

Researchers at MIT have shown that by surrounding the filament with a special crystal structure in the glass they can bounce back the energy which is usually lost in heat, while still allowing the light through.

They refer to the technique as ‘recycling light’ because the energy which would usually escape into the air is redirected back to the filament where it can create new light.
…
Usually traditional light bulbs are only about five per cent efficient, with 95 per cent of the energy being lost to the atmosphere. In comparison LED or florescent bulbs manage around 14 per cent efficiency. But the scientists believe that the new bulb could reach efficiency levels of 40 per cent.

And it shows colours far more naturally than modern energy-efficient bulbs. Traditional incandescent bulbs have a ‘colour rendering index’ rating of 100, because they match the hue of objects seen in natural daylight. However even ‘warm’ finish LED or florescent bulbs can only manage an index rating of 80 and most are far less.

“This experimental device is a proof-of-concept, at the low end of performance that could be ultimately achieved by this approach,” said principal research scientist Ivan Celanovic.

Meanwhile, Lockhart points out that the financial system does not perfectly reflect the real economy:

Federal Reserve Bank of Atlanta President Dennis Lockhart said he favors continued tightening of monetary policy this year, and a global selloff in stock markets is unlikely to affect the U.S. economy.

“When such volatility develops, I think it’s helpful to look at the real economy of the United States as opposed to the financial economy and ask if something is fundamentally wrong,” Lockhart said in a speech Monday in Atlanta. “Are there serious imbalances that make the broad economy vulnerable to foreign shocks? I don’t see that kind of connection in current circumstances. ”

Lockhart told reporters after his speech the persistence of turmoil such as what occurred starting in August might change that view.

“If the volatility continues for several weeks, I may have to revise my view that I don’t now see a connection between financial markets abroad and the real economy,” Lockhart said. “It is a matter of how long it lasts.”

Failed politicians and backscratchers are getting very excited about the creation of a brand new regulated business:

Liberal MP Bill Blair wants to make it clear the growth and sale of legal marijuana in Canada will not be a free-for-all.

In an interview, the chief architect of the country’s new marijuana regime frequently used such words as “control” and “strict regulation” as he discussed the federal government’s options.
…
“There is a need for some control,” he said. “Our intent is to legalize, regulate and restrict. There needs to be reasonable restrictions on making sure that we keep it away from kids, because I think that is very much in the public interest. We also have to ensure that the social and the health harms are properly managed and mitigated, and that can be done through regulation.”

Illegal pot dispensaries are appearing in greater numbers across the country. In addition, some advocates of legalization say that the Trudeau government’s promise to make pot legal means police should immediately stop charging people for possessing marijuana.

On the other hand, some people in the marijuana industry say only licensed and regulated operators should be able to grow and sell the drug. In particular, a number of investors in the medical marijuana business, which was heavily regulated by the Conservative government, want similar rules and restrictions for recreational pot.

Yes, it is only through restriction of competition that hopelessly incompetent ex-politicians like George ‘e-Health’ Smitherman will be able to make a living:

A former high-ranking colleague and friend of MP Bill Blair, the Liberal government’s point man on marijuana legalization, will lobby the ex-Toronto police chief in hopes of ensuring a tightly controlled system in which only licensed firms are allowed to grow the lucrative drug.

Kim Derry, a deputy chief of the Toronto Police Service under Mr. Blair, is a promoter of marijuana facility THC Meds Ontario Inc., along with George Smitherman, a former Ontario Liberal deputy premier. Mr. Blair, put in charge of the marijuana file last week, will play a key role in determining who gets to grow the product once it is legalized.

While some growers want loosely regulated production across the country, the operators of companies such as THC Meds say production licences should be limited to professional operations.

In an interview, Mr. Derry said the government should aim to “get rid of the goons” who are currently in the marijuana business, calling for tight regulations on who can grow and sell the product.

There is a reasonably good book excerpt about annuities in the Globe:

One of the signs will be when the gap between the yields on long-term government bonds and inflation is relatively high–that is to say, when the real yield on long-term bonds is high.

You might wonder what long-term bonds have to do with annuities. The interest rate that determines the cost of annuities is never advertised by the insurer but it happens to be closely tied to the yield on long-term government bonds, which is readily available. The gap between long-term bond yields and inflation is currently rather small, even though inflation is low which means that now might not be the best time to buy an annuity. Note that the nominal yield on bonds is not important, just the real yield. Hence, you are better off buying an annuity when long-term bond yields are 4 per cent and inflation is 2 per cent than when long-term bond yields and inflation are both 5 per cent.

It’s nice to see some rational discussion of annuity pricing in the popular press, but I must say I find great fault with the author’s arguments on market timing. Dammit, it can’t be done! And it is unbelievably reckless to indulge in timing when making a significant, irreversible decision to annuitize, even if it’s with only a portion of the nest egg.

As I have discussed in PrefLetter (and in one free article, for you cheapskates) annuities are lousy investments, but they are great insurance. Any retiree who is encroaching on his capital to fund his living expenses should very carefully consider buying an annuity of sufficient size that he becomes cash-flow neutral, i.e., that all normal living expenses are covered by the annuity payments and the income from the remaining investment portfolio. That way, you’ve got the encroachment on capital done all at once and have considerably less worry about what happens when there’s no more capital to be encroached upon.

At time of writing there is some hope that markets might not go down tomorrow:

Asian stocks rallied from a three-year low, tracking a rebound in the U.S. amid speculation a selloff that erased more than $5 trillion from global equity values this year had gone too far. Oil rose for the first time this year and the offshore yuan strengthened for a fifth day.

The MSCI Asia-Pacific Index climbed the most in four weeks as benchmark share indexes rallied across the region. U.S. index futures gained after the Standard & Poor’s 500 Index advanced for a second day. Treasuries took back some of the last session’s gains, which were spurred by crude’s decline to below $30 for the first time in 12 years. The more positive sentiment diminished the appeal of haven currencies, with the yen retreating as Australia’s dollar appreciated.

On the other hand the Royal Bank of Scotland issued some cheery advice:

Investors face a “cataclysmic year” where stock markets could fall by up to 20% and oil could slump to $16 a barrel, economists at the Royal Bank of Scotland have warned.

In a note to its clients the bank said: “Sell everything except high quality bonds. This is about return of capital, not return on capital. In a crowded hall, exit doors are small.” It said the current situation was reminiscent of 2008, when the collapse of the Lehman Brothers investment bank led to the global financial crisis. This time China could be the crisis point.
…
RBS is not the only negative voice at the moment. Analysts at JP Morgan have advised clients to sell stocks on any bounce.

Morgan Stanley has said oil could fall to $20 a barrel, while Standard Chartered has predicted an even bigger slide, to as low as $10. Standard said: “Given that no fundamental relationship is currently driving the oil market towards any equilibrium, prices are being moved almost entirely by financial flows caused by fluctuations in other asset prices, including the US dollar and equity markets.

“We think prices could fall as low as $10 a barrel before most of the money managers in the market conceded that matters had gone too far.”

But in the meantime, Canadian preferred share investors are looking at their account balances:

It was an incredibly horrible day for the Canadian preferred share market, with PerpetualDiscounts down 92bp, FixedResets losing 243bp and DeemedRetractibles off 58bp. The Performance Highlights table is immense, of course, with not a single winner. Volume was extremely high.

All I can think of by way of explanation is that with the dollar down so much due to oil and speculation of a Bank of Canada policy cut in the future, people are getting ever more gloomy about the prospect of five year Canadas ever yielding more than one percent – yields dropped precipitously today to 0.57%, which is below the all-time low (based on BoC weekly data) of 0.62%, reached 2015-2-4. One wonders how many people lost their houses in the tightening of the early eighties and are now getting crushed by loosening in their retirement accounts.

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 16.30 to be $0.79 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.99 cheap at its bid price of 10.30.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 17.50 to be 0.55 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.25 to be 1.49 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.90 to be $1.17 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 18.81 and appears to be $0.80 rich.

FTS.PR.K, with a spread of +205bp, and bid at 17.37, looks $0.68 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.64 and is $0.46 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.62%, with no outliers; note that the vertical axis has been shifted upwards today. There is one junk outlier below -1.50% and one above 0.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.90 %	5.95 %	26,900	16.71	1	-4.2215 %	1,586.9
FixedFloater	7.36 %	6.54 %	32,338	15.52	1	-3.0075 %	2,650.0
Floater	4.52 %	4.69 %	79,057	16.08	4	-3.1467 %	1,692.5
OpRet	0.00 %	0.00 %	0	0.00	0	-0.5113 %	2,722.1
SplitShare	4.85 %	6.02 %	68,527	2.77	6	-0.5113 %	3,185.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.5113 %	2,485.3
Perpetual-Premium	5.92 %	5.74 %	86,220	2.71	6	-0.2887 %	2,494.4
Perpetual-Discount	5.82 %	5.91 %	94,766	14.06	34	-0.9198 %	2,480.4
FixedReset	5.58 %	5.02 %	239,105	14.81	81	-2.4289 %	1,850.7
Deemed-Retractible	5.35 %	5.25 %	121,610	5.27	34	-0.5837 %	2,516.2
FloatingReset	2.93 %	4.91 %	65,755	5.60	13	-1.4163 %	2,015.4

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.P	FixedReset	-7.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.83 Evaluated at bid price : 11.83 Bid-YTW : 4.78 %
TRP.PR.E	FixedReset	-6.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 5.02 %
TRP.PR.A	FixedReset	-6.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 13.58 Evaluated at bid price : 13.58 Bid-YTW : 5.06 %
TRP.PR.B	FixedReset	-6.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 9.96 Evaluated at bid price : 9.96 Bid-YTW : 5.02 %
CCS.PR.C	Deemed-Retractible	-5.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 7.74 %
HSE.PR.A	FixedReset	-5.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.22 Evaluated at bid price : 10.22 Bid-YTW : 5.88 %
HSE.PR.G	FixedReset	-5.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 6.36 %
TRP.PR.G	FixedReset	-5.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.03 Evaluated at bid price : 18.03 Bid-YTW : 5.15 %
MFC.PR.G	FixedReset	-5.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.97 %
TRP.PR.D	FixedReset	-5.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.09 %
BAM.PR.Z	FixedReset	-5.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 5.32 %
TRP.PR.C	FixedReset	-5.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.30 Evaluated at bid price : 10.30 Bid-YTW : 5.35 %
BAM.PR.X	FixedReset	-4.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.08 %
BAM.PR.R	FixedReset	-4.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 5.43 %
BAM.PR.T	FixedReset	-4.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 5.36 %
PWF.PR.A	Floater	-4.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.07 %
BMO.PR.T	FixedReset	-4.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.68 %
RY.PR.M	FixedReset	-4.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.73 %
BAM.PR.E	Ratchet	-4.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 25.00 Evaluated at bid price : 13.84 Bid-YTW : 5.95 %
CM.PR.P	FixedReset	-4.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 4.67 %
TRP.PR.F	FloatingReset	-4.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 12.19 Evaluated at bid price : 12.19 Bid-YTW : 4.86 %
SLF.PR.J	FloatingReset	-3.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.25 Bid-YTW : 10.85 %
IFC.PR.C	FixedReset	-3.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 8.43 %
CM.PR.O	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.57 %
FTS.PR.I	FloatingReset	-3.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.92 Evaluated at bid price : 11.92 Bid-YTW : 3.98 %
HSE.PR.E	FixedReset	-3.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.23 %
BNS.PR.D	FloatingReset	-3.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.54 Bid-YTW : 7.63 %
MFC.PR.L	FixedReset	-3.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 8.11 %
RY.PR.J	FixedReset	-3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.27 Evaluated at bid price : 18.27 Bid-YTW : 4.78 %
IAG.PR.G	FixedReset	-3.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.49 %
BAM.PR.B	Floater	-3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.15 Evaluated at bid price : 10.15 Bid-YTW : 4.69 %
SLF.PR.H	FixedReset	-3.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.13 Bid-YTW : 9.58 %
VNR.PR.A	FixedReset	-3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 5.08 %
RY.PR.Z	FixedReset	-3.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.48 %
BAM.PF.B	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.13 %
TD.PR.Y	FixedReset	-3.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 4.62 %
NA.PR.S	FixedReset	-3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.69 %
BAM.PR.G	FixedFloater	-3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 25.00 Evaluated at bid price : 12.90 Bid-YTW : 6.54 %
ENB.PR.A	Perpetual-Discount	-2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.97 Evaluated at bid price : 22.20 Bid-YTW : 6.28 %
RY.PR.H	FixedReset	-2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.34 Evaluated at bid price : 17.34 Bid-YTW : 4.54 %
PWF.PR.T	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 3.91 %
SLF.PR.I	FixedReset	-2.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.24 %
BMO.PR.W	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.56 %
BAM.PF.G	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 5.14 %
TD.PF.A	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.48 %
GWO.PR.L	Deemed-Retractible	-2.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 6.25 %
CIU.PR.C	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 4.55 %
TD.PF.E	FixedReset	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.59 %
GWO.PR.O	FloatingReset	-2.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.95 Bid-YTW : 11.01 %
BAM.PR.C	Floater	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.05 Evaluated at bid price : 10.05 Bid-YTW : 4.74 %
BMO.PR.Q	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.42 %
BNS.PR.Q	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 4.88 %
BNS.PR.R	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.97 Bid-YTW : 4.76 %
MFC.PR.I	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 7.33 %
TD.PF.B	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.48 %
BAM.PR.N	Perpetual-Discount	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 6.18 %
BIP.PR.B	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.37 Evaluated at bid price : 23.16 Bid-YTW : 5.98 %
BAM.PR.K	Floater	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 9.91 Evaluated at bid price : 9.91 Bid-YTW : 4.80 %
CU.PR.G	Perpetual-Discount	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 5.90 %
BAM.PF.E	FixedReset	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.17 %
BAM.PF.A	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 5.11 %
MFC.PR.K	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.30 Bid-YTW : 8.14 %
TD.PF.D	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.71 %
BMO.PR.S	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.72 Evaluated at bid price : 17.72 Bid-YTW : 4.53 %
NA.PR.W	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 4.63 %
HSE.PR.C	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.05 %
BAM.PR.M	Perpetual-Discount	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 6.20 %
CU.PR.H	Perpetual-Discount	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.64 Evaluated at bid price : 23.00 Bid-YTW : 5.77 %
RY.PR.L	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 4.33 %
RY.PR.K	FloatingReset	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 5.17 %
BIP.PR.A	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.85 %
BNS.PR.Z	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.55 Bid-YTW : 7.41 %
MFC.PR.J	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.41 %
POW.PR.B	Perpetual-Discount	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.97 %
GWO.PR.M	Deemed-Retractible	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 5.92 %
MFC.PR.M	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.22 Bid-YTW : 7.75 %
BMO.PR.Y	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.63 %
GWO.PR.I	Deemed-Retractible	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.70 Bid-YTW : 7.89 %
PVS.PR.E	SplitShare	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 6.49 %
GWO.PR.G	Deemed-Retractible	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.12 Bid-YTW : 7.01 %
MFC.PR.F	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.55 Bid-YTW : 10.03 %
W.PR.H	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.56 Evaluated at bid price : 22.82 Bid-YTW : 6.05 %
FTS.PR.K	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.37 Evaluated at bid price : 17.37 Bid-YTW : 4.25 %
CU.PR.D	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.92 %
FTS.PR.F	Perpetual-Discount	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.53 Evaluated at bid price : 21.79 Bid-YTW : 5.69 %
FTS.PR.M	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.56 %
ELF.PR.G	Perpetual-Discount	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 5.77 %
BAM.PF.D	Perpetual-Discount	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.17 %
W.PR.K	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.64 Evaluated at bid price : 23.70 Bid-YTW : 5.55 %
BNS.PR.P	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 4.26 %
GWO.PR.S	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 6.34 %
POW.PR.D	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.91 %
POW.PR.C	Perpetual-Premium	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 24.05 Evaluated at bid price : 24.30 Bid-YTW : 6.00 %
PWF.PR.K	Perpetual-Discount	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.94 %
TD.PF.C	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.53 %
GWO.PR.N	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.75 Bid-YTW : 10.73 %
BAM.PF.H	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.09 Evaluated at bid price : 24.78 Bid-YTW : 4.99 %
NA.PR.Q	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 4.24 %
TD.PR.Z	FloatingReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 5.01 %
POW.PR.G	Perpetual-Discount	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.29 Evaluated at bid price : 23.73 Bid-YTW : 5.92 %
GWO.PR.Q	Deemed-Retractible	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.18 Bid-YTW : 6.91 %
BAM.PF.F	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.98 %
GWO.PR.H	Deemed-Retractible	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.77 Bid-YTW : 7.53 %
W.PR.J	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 6.10 %
IFC.PR.A	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 9.97 %
CM.PR.Q	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 4.70 %
PWF.PR.O	Perpetual-Premium	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 24.01 Evaluated at bid price : 24.50 Bid-YTW : 5.92 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.T	FloatingReset	300,555	Scotia crossed 300,000 at 21.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 4.58 %
RY.PR.I	FixedReset	232,300	Nesbitt crossed 76,800 at 23.30; RBC crossed 149,900 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 4.56 %
RY.PR.Q	FixedReset	219,115	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.30 Evaluated at bid price : 25.50 Bid-YTW : 5.10 %
IFC.PR.A	FixedReset	131,050	Desjardins crossed 107,000 at 14.85; Nesbitt crossed 15,700 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 9.97 %
BNS.PR.L	Deemed-Retractible	108,575	RBC crossed 71,200 at 24.54. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.41 Bid-YTW : 4.94 %
BAM.PF.H	FixedReset	98,870	Desjardins crossed 71,600 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.09 Evaluated at bid price : 24.78 Bid-YTW : 4.99 %
There were 57 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.C	FixedReset	Quote: 17.20 – 18.99 Spot Rate : 1.7900 Average : 1.0550 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 8.43 %
HSE.PR.C	FixedReset	Quote: 16.50 – 18.31 Spot Rate : 1.8100 Average : 1.1658 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.05 %
PWF.PR.A	Floater	Quote: 11.75 – 13.25 Spot Rate : 1.5000 Average : 0.8901 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.07 %
CCS.PR.C	Deemed-Retractible	Quote: 20.72 – 22.00 Spot Rate : 1.2800 Average : 0.9257 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 7.74 %
PWF.PR.P	FixedReset	Quote: 11.83 – 12.81 Spot Rate : 0.9800 Average : 0.6258 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.83 Evaluated at bid price : 11.83 Bid-YTW : 4.78 %
BNS.PR.A	FloatingReset	Quote: 22.00 – 22.99 Spot Rate : 0.9900 Average : 0.6437 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.68 %

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