PrefBlog

Equities had a good bounce today:

U.S. stocks rallied sharply Thursday as a rebound in oil prices allowed the main indexes to claw back much of the steep fall seen in the previous session.

Gains on Wall Street were across the board, but energy shares outperformed all others as crude-oil futures CLG6, -2.44% rose 2.4% to $31.20 a barrel.

Meanwhile, St. Louis Fed President James Bullard’s comment that reaching the inflation target will take longer was said to have invigorated some of the bulls who were betting on a slower pace of interest-rate increases this year.

The S&P 500 index SPX, +1.67% closed up 31.56 points, or 1.7%, at 1,921.84. The S&P 500 energy sector soared 4.5%, while all 10 main sectors advanced. The health care and technology sectors were up 2.7% and 2% respectively.

This happened even with Bullard raising a cautious note:

Federal Reserve Bank of St. Louis President James Bullard, one of the most vocal policy makers in recent months arguing to raise interest rates, sounded a more cautious note Thursday by saying the latest decline in oil prices may delay the return of inflation to the central bank’s 2 percent target.

“With renewed declines in crude oil prices in recent weeks, the associated decline in market-based inflation expectations measures is becoming worrisome,” Bullard, who votes on policy this year, said in a speech in Memphis, Tennessee. While central bankers typically “look through” oil price changes, “one circumstance where one may be more concerned is when inflation expectations themselves begin to change due to the changes in crude oil prices,” he said.
…
Bullard told reporters after his speech that strong U.S. employment would argue that the FOMC’S median projection of rate increases totaling 1 percentage point this year is “about right,” while inflation and price expectations concerns “would tend to push off rate increases.” Bullard said he would put more weight on expectations if they continue to decline.

“Generally speaking, the markets and the committee are not thinking in terms of a January move,” Bullard said. “As far as March, we would want to get more information and see how things play out before we make a judgment.”

The U.S. economy is likely to grow 2.5 percent to 3 percent this year, and recent market volatility is no reason to revise that forecast, he told reporters.

Meanwhile, Assiduous Reader IR brings to my attention the elevated level of US credit spreads (as of January 13):

The cost to protect against defaults by North American investment-grade companies soared to a three-year high as concern lingered over falling commodity prices and financial-market turmoil triggered by China.

The Standard & Poor’s 500 Index was poised for its lowest close since September, halting a global equities rally. The Bloomberg Commodities Index on Tuesday fell to the lowest level since at least 1991 on sluggish demand from developing nations. The benchmark rebounded by 0.3 percent at 3:16 p.m. on Wednesday in New York. While Chinese exports unexpectedly expanded in December in local-currency terms, the world’s second-largest economy is expected to report the slowest annual expansion since 1990 next week.

“The recent noise from the Chinese market and continued pressure on oil has prompted investors to adjust their default expectations upward,” said Ryan Jungk, a Hartford, Connecticut-based credit analyst at Newfleet Asset Management LLC. “Investment grades are not immune from the bearish sentiment.”

The risk premium on the Markit CDX North America Investment Grade Index, which is tied to 125 equally weighted companies, rose five basis points to 103.3, according to prices compiled by Bloomberg. The measure hasn’t closed above 100 since 2012.

Which reminds me, I must thank Assiduous Reader HS for the link to the story about grocery bills and the exchange rate highlighted yesterday. I forgot yesterday – oops!

I’m wondering if this widening has anything to do with revamped bank trading-book capital rules:

Banks face tougher capital requirements on swaps, bonds and other securities that they intend to trade, as global regulators tighten market-risk rules for the second time since the financial crisis.

The Basel Committee on Banking Supervision, whose members include the U.S. Federal Reserve and the People’s Bank of China, said updated rules published on Thursday will result in a weighted mean increase of about 40 percent in trading-book capital charges. The revised framework boosts the share of banks’ risk-weighted assets produced by market risk to nearly 10 percent from about 6 percent under existing rules, the Basel group said in a statement.

The overall capital burden on banks imposed by the Fundamental Review of the Trading Book, which takes effect in 2019, is nevertheless lower than was produced by earlier proposals, the Basel Committee said. The impact on specific asset classes and business lines is likely to be uneven and could hit some banks harder than others, even making some trading desks unviable.
…
The International Swaps and Derivatives Association said in an e-mailed statement on Thursday that while the Basel Committee had amended “several areas of concern identified by the industry,” its estimate of a 40 percent increase in market-risk capital requirements “would impose a considerable burden on banks on top of the increases already introduced following the crisis, as part of Basel 2.5.”

A report last year by ISDA and other industry groups estimated the capital requirement using Basel’s new standardized approach would be 4.2 times the total market-risk capital the firms currently have.

So making it tougher for depositary banks to function as investment banks is one thing and, I think, a good thing. But I still haven’t seen anything that would indicate any thought from the regulators as to what might come next. Do they want to make it easier for non-banks to become market-makers? I have often suggested that it would make sense hedge funds – already acting as market makers for equities – to hire bond desks and start trading corporate bonds vigorously. But there’s nothing. If anybody has seen any regulatory musing about where the risk will go after its presence in the banking sector has been reduced, let me know!

US authorities have gleefully announced another successful shake-down:

Goldman Sachs Group Inc. said it agreed to settle a U.S. probe into its handling of mortgage-backed securities for about $5.1 billion, cutting fourth-quarter profit by about $1.5 billion and closing out a year of record legal and litigation costs.

The proposed deal, which the bank announced in a statement Thursday, would be the latest multibillion-dollar settlement resulting from the government’s push to hold Wall Street firms to account for creating and selling subprime mortgage bonds that helped spur the 2008 financial crisis.
…
The government’s mortgage-backed security resolutions stem from a working group of prosecutors and other officials that President Barack Obama ordered up in 2012 to punish Wall Street for fueling the financial crisis with bonds linked to souring mortgages. Until then, the Justice Department had been pilloried for years for not having brought significant cases against banks and their executives.

Hey – it’s easier than raising taxes, or running for political office on the basis of policy!

And the SEC reminds us of how business gets done:

Washington D.C., Jan. 14, 2016 — The Securities and Exchange Commission today announced that State Street Bank and Trust Company agreed to pay $12 million to settle charges that it conducted a pay-to-play scheme through its then-senior vice president and a hired lobbyist to win contracts to service Ohio pension funds.

An SEC investigation found that Vincent DeBaggis, who headed State Street’s public funds group responsible for serving as custodians or sub-custodians to public retirement funds, entered into an agreement with Ohio’s then-deputy treasurer to make illicit cash payments and political campaign contributions. In exchange, State Street received three lucrative sub-custodian contracts to safeguard certain funds’ investment assets and effect the settlement of their securities transactions.

The market is also feeling sour about the Canadian economy:

Canadian benchmark bond yields fell to a new record low on Thursday, as the market increasingly bets on a rate cut to insulate the domestic economy from the oil crash.

With yields around the world declining this year as investors forsake riskier assets in favour of safe havens such as government bonds, Canadian 10-year government yields touched a record low of 1.192 per cent on Thursday.

The Canadian five-year benchmark yield marked its own new low point a day earlier, opening up a spread against its U.S. equivalent reminiscent of some dire economic episodes in Canada’s past, said Mark Chandler, head of fixed income research at Royal Bank of Canada.

“We’re at a point where it’s almost unprecedented,” he said. “If you think about market sentiment right now, it’s almost like Canada’s not going to live through this.”

The short year so far has seen market losses pile up in Canada at an alarming pace.

The Canadian dollar dipped to a new 13-year low of $0.6946 against the U.S. dollar on Thursday.

Oil sank below $30 (U.S.) a barrel on Tuesday for the first time since 2003, before rebounding modestly.

Meanwhile, the S&P/TSX composite index dipped to its lowest intraday level since July, 2013, in morning trading on Thursday before rebounding, as longer-term bond yields fell.

A thin majority of economists now expect the deteriorating conditions will compel Bank of Canada Governor Stephen Poloz to cut the overnight lending rate by 25 basis points to 0.25 per cent next week. The key policy rate has not been set that low since the depths of the financial crisis in late 2009 and early 2010.

But I think I’ve found another book about Canadian preferred shares:

It was another utterly appalling day for the Canadian preferred share market, with PerpetualDiscounts down 95bp, FixedResets losing 265bp and DeemedRetractibles off 53bp. The Performance Highlights table is headed by some incredible losses, virtually all of which are entirely genuine, albeit on markets that I would not feel comfortable characterizing as “orderly”. [I did write commentary on the worst ones; then clicked the wrong button when typing and lost it all. Damn.] Volume was extremely high.

It was another big day for DC.PR.C, with 119,915 shares changing hands at a VWAP of 17.00. It would seem that views are being taken! The current price of 17.00 corresponds to a yield of 9.20% to the extended retraction date of 2019-6-30, given a coupon of 7.50%, all of which assumes that the abusive and debatable Plan of Arrangement succeeds.

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 16.11 to be $0.91 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.03 cheap at its bid price of 10.05.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 17.40 to be 0.75 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.55 to be 0.92 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.75 to be $1.09 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.83 and appears to be $0.67 rich.

FTS.PR.K, with a spread of +205bp, and bid at 16.74, looks $0.45 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.95 and is $0.73 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.63%, with no outliers. 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	5.21 %	6.34 %	25,694	16.24	1	-1.8113 %	1,491.7
FixedFloater	7.56 %	6.59 %	29,756	15.74	1	-0.7893 %	2,630.6
Floater	4.62 %	4.82 %	77,185	15.84	4	-2.6860 %	1,655.3
OpRet	0.00 %	0.00 %	0	0.00	0	-0.9464 %	2,696.4
SplitShare	4.90 %	6.48 %	70,422	2.76	6	-0.9464 %	3,155.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.9464 %	2,461.9
Perpetual-Premium	5.96 %	5.96 %	86,337	13.97	6	-0.5801 %	2,475.8
Perpetual-Discount	5.90 %	5.97 %	98,417	13.95	34	-0.9528 %	2,445.9
FixedReset	5.80 %	5.21 %	240,007	14.43	82	-2.6460 %	1,777.7
Deemed-Retractible	5.39 %	5.95 %	126,298	6.94	34	-0.5335 %	2,495.6
FloatingReset	2.96 %	4.98 %	64,189	5.59	13	-1.1404 %	1,998.7

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.H	FixedReset	-10.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 4.58 %
HSE.PR.C	FixedReset	-8.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 6.82 %
CIU.PR.C	FixedReset	-6.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.93 %
FTS.PR.M	FixedReset	-6.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.95 %
PWF.PR.T	FixedReset	-6.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.23 %
FTS.PR.K	FixedReset	-5.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 4.69 %
MFC.PR.J	FixedReset	-5.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.49 Bid-YTW : 8.35 %
FTS.PR.I	FloatingReset	-5.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 4.20 %
NA.PR.Q	FixedReset	-5.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.51 %
IFC.PR.C	FixedReset	-4.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.90 Bid-YTW : 9.54 %
FTS.PR.G	FixedReset	-4.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.17 Evaluated at bid price : 15.17 Bid-YTW : 4.92 %
CCS.PR.C	Deemed-Retractible	-4.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 8.08 %
IAG.PR.G	FixedReset	-4.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.38 %
TRP.PR.G	FixedReset	-4.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 5.58 %
HSE.PR.G	FixedReset	-4.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 6.83 %
GWO.PR.O	FloatingReset	-4.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.40 Bid-YTW : 11.64 %
W.PR.K	FixedReset	-4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 5.80 %
RY.PR.I	FixedReset	-4.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 5.40 %
HSE.PR.E	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 6.92 %
NA.PR.W	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 4.97 %
SLF.PR.I	FixedReset	-4.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 9.07 %
SLF.PR.G	FixedReset	-4.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.15 Bid-YTW : 10.46 %
IFC.PR.A	FixedReset	-3.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.88 %
MFC.PR.L	FixedReset	-3.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.71 Bid-YTW : 8.77 %
MFC.PR.M	FixedReset	-3.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.53 %
MFC.PR.N	FixedReset	-3.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.01 Bid-YTW : 8.65 %
NA.PR.S	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.08 Evaluated at bid price : 16.08 Bid-YTW : 5.04 %
BMO.PR.T	FixedReset	-3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.85 %
RY.PR.Z	FixedReset	-3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.73 %
HSE.PR.A	FixedReset	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.76 Evaluated at bid price : 9.76 Bid-YTW : 6.16 %
BAM.PF.F	FixedReset	-3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 5.27 %
MFC.PR.I	FixedReset	-3.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.30 Bid-YTW : 8.01 %
TRP.PR.F	FloatingReset	-3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.52 Evaluated at bid price : 11.52 Bid-YTW : 5.14 %
CM.PR.Q	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.77 Evaluated at bid price : 17.77 Bid-YTW : 4.91 %
CU.PR.C	FixedReset	-3.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.03 %
GWO.PR.N	FixedReset	-3.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.30 Bid-YTW : 11.22 %
PWF.PR.A	Floater	-3.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.39 Evaluated at bid price : 11.39 Bid-YTW : 4.20 %
BIP.PR.A	FixedReset	-3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 6.14 %
SLF.PR.H	FixedReset	-3.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.64 Bid-YTW : 10.05 %
MFC.PR.K	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.57 Bid-YTW : 8.75 %
TRP.PR.A	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.29 %
TD.PF.C	FixedReset	-2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.71 %
MFC.PR.G	FixedReset	-2.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 8.16 %
BMO.PR.S	FixedReset	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.79 %
CU.PR.H	Perpetual-Discount	-2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.04 Evaluated at bid price : 22.35 Bid-YTW : 5.95 %
BAM.PR.K	Floater	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.87 Evaluated at bid price : 9.87 Bid-YTW : 4.82 %
TD.PF.D	FixedReset	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.90 %
BAM.PR.B	Floater	-2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.88 Evaluated at bid price : 9.88 Bid-YTW : 4.82 %
BNS.PR.R	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 4.79 %
W.PR.J	Perpetual-Discount	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.00 Evaluated at bid price : 22.23 Bid-YTW : 6.33 %
BMO.PR.W	FixedReset	-2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.81 %
TD.PR.S	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 4.49 %
TD.PF.B	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 4.68 %
PVS.PR.E	SplitShare	-2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 6.96 %
CIU.PR.A	Perpetual-Discount	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 6.02 %
BAM.PR.R	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 13.41 Evaluated at bid price : 13.41 Bid-YTW : 5.63 %
W.PR.H	Perpetual-Discount	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.28 %
TD.PF.A	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.64 %
BMO.PR.Z	Perpetual-Discount	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.52 Evaluated at bid price : 22.86 Bid-YTW : 5.54 %
TRP.PR.C	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.82 Evaluated at bid price : 9.82 Bid-YTW : 5.61 %
TRP.PR.H	FloatingReset	-2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.00 Evaluated at bid price : 9.00 Bid-YTW : 4.79 %
MFC.PR.H	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 7.50 %
TD.PF.E	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.81 %
BAM.PR.C	Floater	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 4.86 %
CM.PR.O	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.80 %
BAM.PF.G	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 5.31 %
RY.PR.H	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.72 %
BAM.PR.E	Ratchet	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 25.00 Evaluated at bid price : 13.01 Bid-YTW : 6.34 %
PVS.PR.D	SplitShare	-1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 7.28 %
FTS.PR.J	Perpetual-Discount	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 5.88 %
BAM.PF.E	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 5.32 %
CU.PR.G	Perpetual-Discount	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 6.04 %
FTS.PR.F	Perpetual-Discount	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.84 %
TRP.PR.D	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.15 Evaluated at bid price : 15.15 Bid-YTW : 5.32 %
CM.PR.P	FixedReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.83 Evaluated at bid price : 15.83 Bid-YTW : 4.90 %
TRP.PR.E	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.17 %
BMO.PR.Y	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.76 %
POW.PR.D	Perpetual-Discount	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.99 %
BIP.PR.B	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.14 Evaluated at bid price : 22.76 Bid-YTW : 6.10 %
ELF.PR.G	Perpetual-Discount	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.83 %
RY.PR.K	FloatingReset	-1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.33 Bid-YTW : 5.24 %
BNS.PR.C	FloatingReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.21 Bid-YTW : 5.17 %
GWO.PR.F	Deemed-Retractible	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 6.15 %
PWF.PR.K	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.00 %
BAM.PR.Z	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.48 %
SLF.PR.A	Deemed-Retractible	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.16 Bid-YTW : 7.85 %
RY.PR.M	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.87 %
BAM.PF.B	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.27 %
ENB.PR.A	Perpetual-Discount	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 21.55 Evaluated at bid price : 21.81 Bid-YTW : 6.40 %
CU.PR.E	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 6.05 %
PWF.PR.P	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 4.78 %
POW.PR.B	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.10 Evaluated at bid price : 22.32 Bid-YTW : 6.02 %
SLF.PR.E	Deemed-Retractible	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.19 Bid-YTW : 8.27 %
RY.PR.L	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.57 %
PVS.PR.B	SplitShare	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 6.48 %
BNS.PR.Q	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.55 Bid-YTW : 4.84 %
SLF.PR.B	Deemed-Retractible	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 7.85 %
TD.PR.Y	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 4.63 %
CU.PR.F	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.97 %
BMO.PR.M	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.41 %
MFC.PR.B	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.76 Bid-YTW : 8.05 %
BNS.PR.L	Deemed-Retractible	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.23 Bid-YTW : 5.08 %
BAM.PF.A	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 5.30 %
ELF.PR.H	Perpetual-Discount	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.57 Evaluated at bid price : 22.90 Bid-YTW : 6.03 %
VNR.PR.A	FixedReset	3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.35 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	2,212,913	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 23.25 Evaluated at bid price : 25.34 Bid-YTW : 5.21 %
RY.PR.Q	FixedReset	402,847	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 23.27 Evaluated at bid price : 25.41 Bid-YTW : 5.13 %
TD.PR.T	FloatingReset	88,325	Scotia crossed 79,200 at 21.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 4.71 %
BAM.PR.K	Floater	85,700	Nesbitt crossed 75,000 at 10.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 9.87 Evaluated at bid price : 9.87 Bid-YTW : 4.82 %
RY.PR.L	FixedReset	81,370	TD crossed blocks of 12,000 at 24.50 and 63,300 at 24.36. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.57 %
IFC.PR.A	FixedReset	78,400	Scotia crossed two blocks of 25,000 each at 14.32 and 10,200 at 14.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.88 %
There were 60 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BNS.PR.R	FixedReset	Quote: 22.95 – 23.79 Spot Rate : 0.8400 Average : 0.5294 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 4.79 %
SLF.PR.I	FixedReset	Quote: 16.60 – 17.40 Spot Rate : 0.8000 Average : 0.5117 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 9.07 %
W.PR.K	FixedReset	Quote: 22.80 – 23.55 Spot Rate : 0.7500 Average : 0.4672 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 5.80 %
IFC.PR.A	FixedReset	Quote: 13.75 – 14.50 Spot Rate : 0.7500 Average : 0.4759 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.88 %
RY.PR.K	FloatingReset	Quote: 21.33 – 22.36 Spot Rate : 1.0300 Average : 0.7583 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.33 Bid-YTW : 5.24 %
FTS.PR.I	FloatingReset	Quote: 11.30 – 12.22 Spot Rate : 0.9200 Average : 0.6609 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-14 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 4.20 %

This entry was posted on Friday, January 15th, 2016 at 4:43 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.