PrefBlog

Here’s a lesson in counterparty risk management:

The demise of Invexstar Capital Management has also raised eyebrows about the ease with which a group of Italian financiers were able to trade billions of pounds of bonds with virtually no capital to back their positions.

BNP Paribas, Morgan Stanley and Nomura are among the banks to have lost at least £97 million, although the full scale of the losses is still being assessed months after the collapse.

Invexstar was a tiny broker that went under in the market meltdown that followed the spike in German government debt yields last May. The company had been set up in 2014, but, according to several sources with knowledge of its operations, the small outfit based in an office above The Daily Telegraph newspaper was able to trade billions of pounds of government and corporate bonds despite having capital of only a little over £630,000.
…
Based on the losses incurred by the banks, the size of Invexstar’s trading positions at the time of its failure would have been at least £2 billion, or more than 3,000 times the firm’s capital. Thus even a tiny movement in the value of its trading portfolio was enough to wipe out its backers’ money and leave its counterparties with huge shortfalls.

According to other traders, several banks had become suspicious about Invexstar before its failure. Lloyds Banking Group is understood to have cut its links after staff at the lender became concerned that Mr Statti repeatedly cancelled meetings to discuss the firm’s trading exposures.

In particular, suspicions had been raised at the way in which Invexstar had asked its counterparties to extend the settlement times for its trades. The settlement period is the time from when a trader places an order for some bonds to when they must pay for the securities they have agreed to purchase. While a normal settlement period in the fixed income markets is two days, Invexstar had asked for five days to pay for its trades and even as many as ten, according to sources with knowledge of the situation.

All eyes are on the potential for a BoC rate cut:

Trading in overnight index swaps currently implies the probability of a rate cut at about 60 per cent when the Bank of Canada releases its monetary policy report on Wednesday.

Economists calling for the key overnight lending rate to be maintained at 0.50 per cent say additional stimulus could test consumer sentiment. A cut to 0.25 per cent as expected by the market could bring about a “runaway exchange rate,” said Avery Shenfeld, chief economist at CIBC World Markets.
…
Over the past two years, the Canadian dollar has lost a full 25 cents in value – a downward slope unmatched in steepness, [National Bank Financial chief economist] Mr. [Stéfane] Marion said.

Certainly, a great deal of downside is to be expected considering Canada’s current economic circumstances. The precipitous decline of commodity prices has started to ripple through non-resource sectors this year, Canadian economic growth is shrinking as a result, and U.S. dollar strength has also combined to pull the loonie down forcefully.

But the losses should have been more like 10 cents, not 25 cents, Mr. Marion said. “Is the loonie out of whack with its fundamentals? We think so.”

Barclays is gung-ho:

The Bank of Canada will cut its key interest rate to at least zero this year and could move toward negative rates to offset the crude oil price slump, according to Barclays PLC.

The London-based bank expects the Bank of Canada to cut its overnight target rate 25-basis points to 0.25 per cent at its announcement on Wednesday, and a total of at least 50 basis points in 2016, Juan Prada and Andres Jaime Martinez wrote in a research note.

On a related note, S&P has Alberta on Outlook-Negative:

A second credit-rating agency has weighed in on Alberta’s debt, lowering its rating outlook to negative from stable due to the collapse in oil prices and the province’s mounting budget worries.

Moody’s Investors Service said it affirmed Alberta’s credit at triple-A, but it said the future looks riskier as world crude prices hover below $29 (U.S.) a barrel, heaping financial pressure on an energy industry that has been a major contributor to government revenues.

It is a less drastic step than a downgrade, which Standard & Poor’s did last month, lowering Alberta’s rating one notch after years of enjoying the safest category of public debt.

“While Alberta has entered the downturn in oil prices from a strong financial position, including substantial levels of cash and investments, low debt and low debt service levels, the decrease in oil prices could lead to a rapid fiscal deterioration that erodes these key supports to the triple-A rating,” Moody’s vice-president Michael Yake said in a statement.

Drones will change the world, whether we like it or not:

“Given the size, capability and versatility of drones, the risks to national security and individual privacy are high,” said Amber Dubey, head of aerospace and defense at global consultancy KPMG. “Governments should carefully strike a balance between ensuring the safety as well as not curtailing the growth of the drones and the advantages they bring.”

As countries draft new rules to respond to an explosion in sales, and a series of high-profile security concerns last year, regulators are concerned about the difficulty of enforcing regulations. Three months after the U.S. Secret Service recovered a drone on the White House grounds, Kyodo News reported in April that another was found on the roof of the Japanese prime minister’s office.

It’s only a matter of time before a drone is used to deliver a payload of explosive in a terrorist attack. I haven’t thought of a way of stopping a well-planned attack; I’m not sure if anybody has:

In an interview with the Sunday Times, Detective Chief Inspector Colin Smith, a security expert and adviser to the Home Office Centre for Applied Science and Technology, warned that small quadcopter drones could easily be used by terrorists for attacks and propaganda purposes.

Brompton Lifeco Split Corp., proud issuer of LCS and LCS.PR.A, has suspended the Capital Unit distribution:

In accordance with its articles of incorporation and the Class A Share Provisions, the regular, non-cumulative, monthly distribution for the month of January will not be paid on the class A shares of Brompton Lifeco Split Corp. The net asset value per unit as at January 14, 2016 was $14.34. Under the articles of incorporation, no cash distribution may be paid on the class A shares, if after payment of the distribution by the Fund, the net asset value per unit (consisting of one class A share and one preferred share) would be less than $15.00. The Fund will re-evaluate the payment of class A share distributions in each subsequent month with the expectation that normal monthly distributions will resume and a press release will be issued if the net asset value per unit meets this requirement.

In accordance with the Preferred Share Provisions, regular quarterly preferred share dividends will continue to be paid.

There’s a rumour that Bay Street is covered with these signs:

It was a poor day for the Canadian preferred share market, all because of FixedResets: PerpetualDiscounts gained 4bp, FixedResets lost 125bp and DeemedRetractibles were off 1bp. The Performance Highlights table is its usual horrid self, but there were quite a few winners today, rebounding from last week. Volume was well above average; a bit of a surprise, given that the US was closed for MLK day.

DC.PR.C fell back to ‘retail levels’ today on volume of 7,510, closing at 16.05-39, 21×1.

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 14.75 to be $0.99 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.88 cheap at its bid price of 9.40.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 15.86 to be 1.08 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.41 to be 1.18 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.09 to be $0.98 cheap. BAM.PR.X, resetting at +180bp on 2017-6-30 is bid at 12.56 and appears to be $0.94 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.00, looks $0.36 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.55 and is $0.46 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of +0.11%, with one outlier above +1.00%. There is one junk outlier below -1.00% and two above 1.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.51 %	6.71 %	24,280	15.80	1	-2.3810 %	1,410.3
FixedFloater	7.90 %	6.88 %	28,947	15.38	1	-2.2746 %	2,517.6
Floater	4.90 %	4.97 %	76,939	15.56	4	-3.8624 %	1,559.9
OpRet	0.00 %	0.00 %	0	0.00	0	-1.1647 %	2,659.8
SplitShare	4.97 %	7.23 %	68,566	2.74	6	-1.1647 %	3,112.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-1.1647 %	2,428.4
Perpetual-Premium	6.04 %	6.07 %	84,459	13.83	6	0.0413 %	2,441.8
Perpetual-Discount	6.02 %	6.05 %	99,515	13.83	34	0.0420 %	2,395.3
FixedReset	6.04 %	5.42 %	239,689	14.16	82	-1.2484 %	1,706.9
Deemed-Retractible	5.48 %	5.96 %	133,686	6.92	34	-0.0118 %	2,456.4
FloatingReset	2.86 %	5.34 %	65,486	5.60	13	-0.6495 %	1,941.2

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.A	Floater	-10.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.79 %
MFC.PR.G	FixedReset	-4.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.41 Bid-YTW : 9.39 %
TRP.PR.A	FixedReset	-4.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 5.60 %
SLF.PR.G	FixedReset	-4.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.25 Bid-YTW : 11.38 %
MFC.PR.M	FixedReset	-4.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.01 Bid-YTW : 9.55 %
TD.PR.S	FixedReset	-3.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 5.24 %
HSE.PR.C	FixedReset	-3.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 13.71 Evaluated at bid price : 13.71 Bid-YTW : 7.21 %
HSE.PR.G	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 14.32 Evaluated at bid price : 14.32 Bid-YTW : 7.50 %
MFC.PR.H	FixedReset	-3.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.65 %
GWO.PR.N	FixedReset	-3.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.55 Bid-YTW : 12.05 %
VNR.PR.A	FixedReset	-3.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 5.58 %
HSE.PR.E	FixedReset	-3.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 7.37 %
TD.PF.E	FixedReset	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.02 %
MFC.PR.I	FixedReset	-3.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.74 Bid-YTW : 9.20 %
HSE.PR.A	FixedReset	-3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 8.85 Evaluated at bid price : 8.85 Bid-YTW : 6.55 %
SLF.PR.I	FixedReset	-3.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.30 Bid-YTW : 10.14 %
BNS.PR.B	FloatingReset	-3.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.01 Bid-YTW : 5.92 %
ENB.PR.A	Perpetual-Discount	-3.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 6.83 %
IAG.PR.G	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.76 Bid-YTW : 9.07 %
TRP.PR.G	FixedReset	-2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 5.89 %
TD.PF.D	FixedReset	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 5.13 %
FTS.PR.M	FixedReset	-2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 5.03 %
MFC.PR.J	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.21 Bid-YTW : 9.36 %
PVS.PR.C	SplitShare	-2.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 7.52 %
BAM.PR.E	Ratchet	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 25.00 Evaluated at bid price : 12.30 Bid-YTW : 6.71 %
TRP.PR.H	FloatingReset	-2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 8.79 Evaluated at bid price : 8.79 Bid-YTW : 4.56 %
BAM.PR.G	FixedFloater	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 25.00 Evaluated at bid price : 12.03 Bid-YTW : 6.88 %
IFC.PR.A	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.90 Bid-YTW : 11.72 %
TD.PR.Y	FixedReset	-2.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 5.53 %
BAM.PR.K	Floater	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 9.58 Evaluated at bid price : 9.58 Bid-YTW : 4.97 %
PWF.PR.P	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 11.12 Evaluated at bid price : 11.12 Bid-YTW : 4.89 %
MFC.PR.L	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.86 Bid-YTW : 9.46 %
BMO.PR.S	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.80 %
RY.PR.I	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.73 Bid-YTW : 5.77 %
CU.PR.C	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.68 Evaluated at bid price : 15.68 Bid-YTW : 4.92 %
FTS.PR.K	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.83 %
TRP.PR.F	FloatingReset	-1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.54 Evaluated at bid price : 10.54 Bid-YTW : 5.34 %
RY.PR.B	Deemed-Retractible	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.93 Bid-YTW : 5.72 %
PVS.PR.B	SplitShare	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 7.23 %
MFC.PR.F	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.91 Bid-YTW : 11.68 %
TRP.PR.D	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 5.62 %
BAM.PF.E	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.76 Evaluated at bid price : 15.76 Bid-YTW : 5.49 %
NA.PR.S	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 5.12 %
FTS.PR.F	Perpetual-Discount	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.97 %
BNS.PR.P	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 5.17 %
ELF.PR.G	Perpetual-Discount	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 6.04 %
BNS.PR.D	FloatingReset	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 7.55 %
FTS.PR.H	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 4.57 %
TRP.PR.E	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 5.45 %
CIU.PR.C	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.34 Evaluated at bid price : 10.34 Bid-YTW : 4.79 %
PVS.PR.D	SplitShare	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 7.83 %
BMO.PR.R	FloatingReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.99 Bid-YTW : 5.10 %
CM.PR.Q	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.97 %
IGM.PR.B	Perpetual-Premium	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.67 Evaluated at bid price : 24.10 Bid-YTW : 6.13 %
PWF.PR.T	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 18.23 Evaluated at bid price : 18.23 Bid-YTW : 4.31 %
BMO.PR.Q	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.99 Bid-YTW : 8.01 %
BNS.PR.N	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.66 Bid-YTW : 5.52 %
MFC.PR.C	Deemed-Retractible	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 8.50 %
BNS.PR.C	FloatingReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.76 Bid-YTW : 5.45 %
SLF.PR.J	FloatingReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.75 Bid-YTW : 11.24 %
BMO.PR.Z	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.88 Evaluated at bid price : 22.22 Bid-YTW : 5.70 %
RY.PR.G	Deemed-Retractible	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.57 %
BMO.PR.Y	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.93 %
BIP.PR.A	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 6.36 %
GWO.PR.I	Deemed-Retractible	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.35 Bid-YTW : 8.16 %
TRP.PR.C	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 5.63 %
MFC.PR.N	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.78 Bid-YTW : 9.68 %
MFC.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 : 19.34 Bid-YTW : 8.38 %
ELF.PR.H	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.79 Evaluated at bid price : 22.08 Bid-YTW : 6.26 %
SLF.PR.H	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.51 Bid-YTW : 11.08 %
IAG.PR.A	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.98 Bid-YTW : 7.82 %
FTS.PR.J	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 6.01 %
BNS.PR.R	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.96 Bid-YTW : 5.58 %
PVS.PR.E	SplitShare	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 7.18 %
CM.PR.P	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 15.83 Evaluated at bid price : 15.83 Bid-YTW : 4.79 %
BNS.PR.Z	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.31 Bid-YTW : 7.57 %
BAM.PR.T	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 5.57 %
GWO.PR.S	Deemed-Retractible	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.92 Bid-YTW : 6.56 %
W.PR.J	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 6.46 %
POW.PR.A	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 6.04 %
POW.PR.C	Perpetual-Premium	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 6.08 %
SLF.PR.E	Deemed-Retractible	1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.78 Bid-YTW : 8.60 %
GWO.PR.H	Deemed-Retractible	1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 7.80 %
RY.PR.L	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 4.68 %
TD.PF.A	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.28 Evaluated at bid price : 16.28 Bid-YTW : 4.66 %
SLF.PR.A	Deemed-Retractible	1.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.92 Bid-YTW : 8.04 %
RY.PR.E	Deemed-Retractible	1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.89 Bid-YTW : 5.54 %
BAM.PF.A	FixedReset	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 5.42 %
TD.PR.T	FloatingReset	1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.04 Bid-YTW : 4.90 %
POW.PR.B	Perpetual-Discount	2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.84 Evaluated at bid price : 22.08 Bid-YTW : 6.09 %
W.PR.H	Perpetual-Discount	3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.26 Evaluated at bid price : 21.53 Bid-YTW : 6.43 %
FTS.PR.I	FloatingReset	4.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.60 Evaluated at bid price : 10.60 Bid-YTW : 4.20 %
PWF.PR.L	Perpetual-Discount	5.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 21.17 Evaluated at bid price : 21.17 Bid-YTW : 6.05 %
RY.PR.A	Deemed-Retractible	8.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.87 Bid-YTW : 5.50 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.E	FixedReset	260,218	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.20 Evaluated at bid price : 25.18 Bid-YTW : 5.11 %
BMO.PR.S	FixedReset	166,227	RBC crossed 161,400 at 16.47. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.80 %
TD.PF.G	FixedReset	151,572	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.23 Evaluated at bid price : 25.26 Bid-YTW : 5.17 %
BMO.PR.K	Deemed-Retractible	144,371	Nesbitt crossed 125,000 at 24.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 5.63 %
RY.PR.Q	FixedReset	127,975	RBC bought 12,000 from anonymous at 25.20, and crossed 20,000 at 25.23. Desjardins crossed 50,000 at 25.23. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.21 Evaluated at bid price : 25.21 Bid-YTW : 5.12 %
BNS.PR.A	FloatingReset	104,100	TD crossed blocks of 48,300 and 50,000, both at 22.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.99 Bid-YTW : 4.58 %
IGM.PR.B	Perpetual-Premium	101,750	RBC crossed 100,000 at 24.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 23.67 Evaluated at bid price : 24.10 Bid-YTW : 6.13 %
There were 41 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.O	FloatingReset	Quote: 11.40 – 13.00 Spot Rate : 1.6000 Average : 1.0136 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.40 Bid-YTW : 11.47 %
PWF.PR.A	Floater	Quote: 10.00 – 11.00 Spot Rate : 1.0000 Average : 0.6902 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.79 %
BNS.PR.B	FloatingReset	Quote: 20.01 – 20.63 Spot Rate : 0.6200 Average : 0.3975 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.01 Bid-YTW : 5.92 %
MFC.PR.M	FixedReset	Quote: 16.01 – 16.60 Spot Rate : 0.5900 Average : 0.3849 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.01 Bid-YTW : 9.55 %
PVS.PR.C	SplitShare	Quote: 24.00 – 24.50 Spot Rate : 0.5000 Average : 0.3202 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 7.52 %
TRP.PR.F	FloatingReset	Quote: 10.54 – 11.26 Spot Rate : 0.7200 Average : 0.5451 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-18 Maturity Price : 10.54 Evaluated at bid price : 10.54 Bid-YTW : 5.34 %

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