PrefBlog

All eyes are on the BoC policy rate meeting:

The implied odds of a rate cut according to financial markets stand at just over 50 percent, and private-sector economists are almost evenly divided on whether the nation’s central bank will cut its policy rate to a financial crisis low of 0.25 percent.
…
During the press conference that followed Stephen Poloz’s first rate decision as governor, he said that “it is the output gap which guides the pressures on inflation through time.”

In that sense, the Bank of Canada’s January 2015 interest cut was proactive, foreseeing a widening of the output gap absent the addition of monetary stimulus following the collapse in oil prices. The July reduction was of a more reactive nature, responding to a drop in activity that turned out to be larger, and ultimately long-lived, than anticipated.

This month, a blend of both dynamics is at play: sluggish fourth-quarter data suggest that there is more economic slack than the Bank of Canada envisioned in October, while declining inflation expectations and subdued hiring plans imply more weakness on the horizon.
…
Financial stability concerns are nothing new for the central bank, which maintained a tightening bias until October 2013, in part due to worries over household credit growth and elevated indebtedness. But this is the first time in recent memory that economists see threats from multiple angles.

Recently announced macro-prudential measures alleviate some of the concerns, though a rate cut would undoubtedly put downward pressure on borrowing costs, offsetting some of the forces driving borrowing rates higher.
…
The new threat to financial stability stems from the collapse in the Canadian dollar, whose 25 percent plunge over the past two years marks its worst decline for that time period on record.

The Bank of Canada could be “playing with fire” if it chose to lower rates further and “set off a freefall in the exchange rate,” said CIBC’s [chief economist Avery] Shenfeld, citing the potential negative effects on confidence and consumers’ willingness to spend. Since total spending in an economy is equal to total income, if everyone cut back on expenditures at once, Canada would be adding a household deleveraging process to its current terms of trade shock.
…
Scotia’s [Vice President of Economics Derek] Holt warns that the central bank would be stimulating unhealthy growth if it delivers a rate cut Wednesday.

“The effects of a rate cut are more likely to be reflected in interest rate sensitive sectors than the ones affected by the terms of trade shock,” he said. “[A cut] can do more to fuel financial imbalances than help the parts of the economy that are under stress.”

This potential conflict between a central bank’s most basic task–to stabilize the business cycle–and the quest to return inflation to target within a normal time frame, make the bank’s decision worth watching for market participants well beyond the nation’s borders.

Meanwhile, there is speculation that the Fed might not be as aggressive as first thought:

Less than three weeks into the new year, two of Wall Street’s biggest bond dealers are already dialing back the 2016 Treasury yield calls they made at the end of 2015.

JPMorgan Chase & Co. and Deutsche Bank AG reduced forecasts for 10-year yields at the end of last week, wagering the Federal Reserve won’t raise interest rates as many times as policy makers expect. The banks, among the 22 primary dealers that trade with the Fed, say pressures will build amid the depreciation of China’s currency, slowing global economic growth, investor flight from risky assets and a dimming inflation outlook.

Deutsche Bank predicts the 10-year yield will end the year at 1.75 percent, down from the 2.25 percent call it made in December, while JPMorgan says 10-year notes will yield 2.45 percent at year-end, down from a previous forecast of 2.75 percent.

But they’re not making much money on fixed income anyway!

Once Wall Street’s most lucrative business, fixed-income trading revenue declined for the third straight year in 2015. Net income from trading bonds, currencies, commodities and derivatives linked to them has fallen between 18 percent and 25 percent at five top banks since 2012.

Fixed-income has been in a slump with interest rates languishing near zero, oil prices falling and regulations making it tougher to place easy bets on future prices. Morgan Stanley said Tuesday that it doesn’t expect a rebound any time soon.

Which will make life interesting if downgrades pop:

More companies were at risk of having their credit ratings cut at the end of December than at the close of any other year since 2009, according to Standard & Poor’s.

The number of potential downgrades was at 655, compared with 824 reported by the finish of 2009, the rating company said in a report on Tuesday. The year-end total for 2015 was “exceptionally” higher than a yearly average of 613, it said. S&P removed 85 issuers from the list in December and added 56, of which 27 are in the U.S.

Here’s some news for the middle class:

Over five million jobs will be lost by 2020 as a result of developments in genetics, artificial intelligence, robotics and other technological change, according to World Economic Forum research.

About 7 million jobs will be lost and 2 million gained as a result of technological change in 15 major developed and emerging economies, WEF founder Klaus Schwab and managing board member Richard Samans said in “The Future of Jobs.” The findings are taken from a survey of 15 economies covering about 1.9 billion workers, or about 65 percent of the world’s total workforce.
….
To prevent a worst-case scenario — technological change accompanied by talent shortages, mass unemployment and growing inequality — reskilling and upskilling of today’s workers will be critical,” the authors said. “It is simply not possible to weather the current technological revolution by waiting for the next generation’s workforce to become better prepared.”

Administrative and office jobs will account for two-thirds of the losses, with “routine white-collar office functions at risk of being decimated,” and there will be gains in computer, mathematical, architecture and engineering-related fields. Women will be disproportionately hit by the changes because of their low participation in the STEM fields of science, technology, engineering and mathematics.

The full report is obsessed with the gender gap and gives the usual accolades to ‘reskilling and retraining’:

Responses to the Future of Jobs Survey indicate that business leaders are aware of these looming challenges but have been slow to act decisively. Just over two thirds of our respondents believe that future workforce planning and change management features as a reasonably high or very high priority on the agenda of their company’s or organization’s senior leadership, ranging from just over half in the Basic and Infrastructure sector to four out of five respondents in Energy and Healthcare. Across all industries, about two thirds of our respondents also report intentions to invest in the reskilling of current employees as part of their change management and future workforce planning efforts, making it by far the highest-ranked such strategy overall (Figure 13). However, companies that report recognizing future workforce planning as a priority are nearly 50% more likely to plan to invest in reskilling than companies who do not (61% against 39% of respondents).

Well, that might be a good enough survival tactic for individual companies, but I see very little consideration paid to the broader issues. While foretelling the future is something that is notorious for being hilarious even within twenty years, I believe we need to start addressing the topic of what the new world is going to look like.

For one thing, ‘things’ are going to become relatively cheaper and ‘entertainment’ is going to become relatively more expensive – and those are the two basic categories of things that get sold. We may have fewer doctors, as diagnosis becomes increasingly automated, but we will have more nurses, as the population ages and people in general can afford more care.

And this is the basic problem: productivity comes from leverage; you are more productive when you make widgets for ten customers as opposed to merely five. And personal services are very difficult, if not impossible to lever. So I suggest we’re going to end up with a society comprised of the ‘10%’, who have the skills to work on improving the system and the rest, who don’t. How do we address this? I never hear the politicians talking about it; they blithely assume that if we retrain a 55-year-old machine worker to become a programmer, everything will be OK.

Husky Energy, proud issuer of HSE.PR.A, HSE.PR.C, HSE.PR.E and HSE.PR.G, announced after the close today that it:

is taking additional steps to improve its resilience through the extended low commodity price environment.

“We continue to take decisive action in this period of persistent supply-demand imbalance,” said CEO Asim Ghosh. “These actions are in line with the principles we have established, namely, balancing capital spending with cash flow and maintaining a strong balance sheet. Our fundamental goal remains unchanged – the steps we are taking will see Husky emerge from this cycle as a more resilient and more profitable company.”

Updated 2016 Production and Capital Guidance

The capital plan has been revised to a range of $2.1-2.3 billion from a previous range of $2.9-3.1 billion. Savings will be achieved primarily through deferring discretionary activities in Western Canada.

The Company’s overall earnings break-even point is expected to be in the sub-$40s US WTI oil by the end of 2016. Further gains are expected to be achieved through the ongoing reduction of operating and sustaining costs.

Production is now expected to be in the range of 315,000-345,000 barrels of oil equivalent per day (boe/day), compared to the previous guidance of 330,000-360,000 boe/day.

“Within the updated capital plan, the transition into a low sustaining capital business continues unabated. Deferral of capital is in those areas that can be quickly switched on as commodity prices recover,” said Ghosh.

Dividend Update

The Company continues to triangulate its top three business priorities; a strong balance sheet, dividend and transition into a low sustaining capital business. While Husky fully recognizes the importance of the dividend, the balance sheet takes precedence in this environment.

A stock dividend was introduced in the third quarter as an interim measure in lieu of a cash dividend. Given the persistent downward pressure on oil prices and the extended lower for longer outlook, the Board of Directors has suspended the quarterly dividend. No cash or share dividend will be issued for the fourth quarter of 2015.

The Board will continue to review the dividend on a quarterly basis.

I saw some preferred share investors coming home from work tonight:

Those suffering from market-induced shell-shock may have trouble believing this, but it was a superb day for the Canadian preferred share market today, with PerpetualDiscounts gaining 105bp, FixedResets winning 329bp and DeemedRetractibles up 142bp. The Performance Highlights table is extraordinarily lengthy and, for a change, almost everything’s on the good side, with only one loser. Volume was very high.

So it’s clear somebody put a bit of money to work today, but we’ve been fooled on rallies before – in the second half of October and the second half of December. Will we look back on the second half of January as just another in a long series of false rallies? I don’t know – I advise everybody to invest according to the long-term properties of the asset class and leave the market timing to those who can afford the losses.

The overnight news doesn’t look too good!

U.S. index futures tumbled as the selloff in global equities intensified after oil dropped below $28 a barrel to extend a 12-year low.

Contracts on the Standard & Poor’s 500 Index due in March dropped 1.5 percent to 1,844.25 as of 7:21 a.m. in London, while Nasdaq 100 Index futures retreated 1.8 percent. West Texas Intermediate slumped 3.3 percent to $27.52 a barrel, heading for the lowest close since September 2003 and driving stock declines across Asia that sent Japanese shares into a bear market.

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 15.85 to be $0.87 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.38 cheap at its bid price of 10.73.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 16.43 to be 1.10 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.10 to be 1.04 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.54 to be $1.41 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 17.23 and appears to be $0.98 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.59, looks $0.52 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.70 and is $0.79 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.35%, with two outliers above +1.00%. There is one junk outlier below -1.00% and one 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	5.47 %	6.65 %	23,899	15.86	1	0.8130 %	1,421.8
FixedFloater	7.60 %	6.63 %	30,159	15.68	1	3.9069 %	2,615.9
Floater	4.90 %	4.94 %	76,117	15.62	4	0.0000 %	1,559.9
OpRet	0.00 %	0.00 %	0	0.00	0	1.1200 %	2,689.6
SplitShare	4.91 %	7.02 %	68,197	2.74	6	1.1200 %	3,147.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	1.1200 %	2,455.6
Perpetual-Premium	5.99 %	5.99 %	85,950	13.88	6	0.9218 %	2,464.3
Perpetual-Discount	5.94 %	6.00 %	99,035	13.91	33	1.0474 %	2,420.4
FixedReset	5.85 %	5.02 %	242,960	14.79	82	3.2909 %	1,763.0
Deemed-Retractible	5.40 %	5.96 %	134,095	6.94	34	1.4195 %	2,491.2
FloatingReset	2.82 %	4.94 %	64,410	5.61	13	1.7033 %	1,974.3

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.B	Floater	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 9.43 Evaluated at bid price : 9.43 Bid-YTW : 5.06 %
RY.PR.G	Deemed-Retractible	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 5.38 %
FTS.PR.G	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 4.95 %
BNS.PR.Z	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 7.38 %
BAM.PF.H	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.15 Evaluated at bid price : 24.95 Bid-YTW : 4.95 %
POW.PR.C	Perpetual-Premium	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 24.01 Evaluated at bid price : 24.26 Bid-YTW : 6.01 %
RY.PR.B	Deemed-Retractible	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.19 Bid-YTW : 5.51 %
ELF.PR.G	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 20.04 Evaluated at bid price : 20.04 Bid-YTW : 5.97 %
PWF.PR.P	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 4.84 %
BMO.PR.R	FloatingReset	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 4.88 %
GWO.PR.Q	Deemed-Retractible	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.03 Bid-YTW : 7.03 %
POW.PR.G	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.26 Evaluated at bid price : 23.70 Bid-YTW : 5.93 %
IFC.PR.C	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.45 Bid-YTW : 9.86 %
BNS.PR.Y	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.65 %
GWO.PR.F	Deemed-Retractible	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 5.96 %
GWO.PR.R	Deemed-Retractible	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.58 Bid-YTW : 7.63 %
CM.PR.P	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 4.72 %
RY.PR.K	FloatingReset	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 5.27 %
ELF.PR.H	Perpetual-Discount	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 22.14 Evaluated at bid price : 22.40 Bid-YTW : 6.17 %
POW.PR.A	Perpetual-Discount	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.35 Evaluated at bid price : 23.64 Bid-YTW : 5.96 %
FTS.PR.H	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 11.98 Evaluated at bid price : 11.98 Bid-YTW : 4.50 %
VNR.PR.A	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.91 Evaluated at bid price : 15.91 Bid-YTW : 5.49 %
NA.PR.Q	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.56 Bid-YTW : 5.97 %
TD.PF.E	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.94 %
GWO.PR.H	Deemed-Retractible	1.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.77 Bid-YTW : 7.55 %
IGM.PR.B	Perpetual-Premium	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 24.08 Evaluated at bid price : 24.54 Bid-YTW : 6.02 %
RY.PR.I	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.14 Bid-YTW : 5.42 %
BAM.PR.C	Floater	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 9.65 Evaluated at bid price : 9.65 Bid-YTW : 4.94 %
POW.PR.B	Perpetual-Discount	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 22.27 Evaluated at bid price : 22.54 Bid-YTW : 5.97 %
CU.PR.C	FixedReset	2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 4.82 %
SLF.PR.J	FloatingReset	2.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.00 Bid-YTW : 10.96 %
GWO.PR.N	FixedReset	2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.80 Bid-YTW : 11.76 %
GWO.PR.I	Deemed-Retractible	2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.77 Bid-YTW : 7.86 %
BAM.PF.D	Perpetual-Discount	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.46 %
TD.PF.B	FixedReset	2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.57 Evaluated at bid price : 16.57 Bid-YTW : 4.56 %
TD.PF.C	FixedReset	2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.53 Evaluated at bid price : 16.53 Bid-YTW : 4.57 %
GWO.PR.P	Deemed-Retractible	2.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 6.46 %
HSE.PR.E	FixedReset	2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 14.89 Evaluated at bid price : 14.89 Bid-YTW : 7.20 %
BMO.PR.M	FixedReset	2.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 4.45 %
PWF.PR.S	Perpetual-Discount	2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 5.85 %
BAM.PR.Z	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 5.37 %
CCS.PR.C	Deemed-Retractible	2.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 7.74 %
W.PR.J	Perpetual-Discount	2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 22.05 Evaluated at bid price : 22.34 Bid-YTW : 6.31 %
PVS.PR.C	SplitShare	2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 6.12 %
BAM.PR.M	Perpetual-Discount	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 6.42 %
MFC.PR.B	Deemed-Retractible	2.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.84 Bid-YTW : 8.01 %
MFC.PR.C	Deemed-Retractible	2.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.44 Bid-YTW : 8.13 %
MFC.PR.H	FixedReset	2.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.16 Bid-YTW : 8.29 %
BAM.PR.N	Perpetual-Discount	2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.83 Evaluated at bid price : 18.83 Bid-YTW : 6.38 %
RY.PR.Z	FixedReset	2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 4.52 %
W.PR.H	Perpetual-Discount	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 6.26 %
TD.PF.A	FixedReset	2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.53 %
BNS.PR.Q	FixedReset	2.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.29 Bid-YTW : 5.02 %
CU.PR.I	FixedReset	2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.07 Evaluated at bid price : 24.70 Bid-YTW : 4.51 %
BAM.PF.C	Perpetual-Discount	2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 6.43 %
BMO.PR.W	FixedReset	2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.48 Evaluated at bid price : 16.48 Bid-YTW : 4.61 %
HSE.PR.C	FixedReset	2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 7.01 %
SLF.PR.G	FixedReset	2.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.60 Bid-YTW : 11.00 %
SLF.PR.H	FixedReset	2.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.90 Bid-YTW : 10.68 %
RY.PR.H	FixedReset	3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.56 %
BMO.PR.Q	FixedReset	3.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.55 Bid-YTW : 7.44 %
BMO.PR.T	FixedReset	3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 4.63 %
TD.PR.Z	FloatingReset	3.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.66 Bid-YTW : 4.47 %
PWF.PR.T	FixedReset	3.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.17 %
BNS.PR.P	FixedReset	3.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 4.58 %
RY.PR.J	FixedReset	3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 4.84 %
BAM.PR.R	FixedReset	3.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 13.54 Evaluated at bid price : 13.54 Bid-YTW : 5.42 %
BNS.PR.R	FixedReset	3.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 4.94 %
BAM.PR.X	FixedReset	3.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 4.92 %
IAG.PR.A	Deemed-Retractible	3.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.68 Bid-YTW : 7.33 %
PVS.PR.D	SplitShare	3.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 7.11 %
IAG.PR.G	FixedReset	3.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.35 Bid-YTW : 8.59 %
MFC.PR.L	FixedReset	3.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.43 Bid-YTW : 8.96 %
BMO.PR.S	FixedReset	3.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.62 %
SLF.PR.A	Deemed-Retractible	3.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.66 Bid-YTW : 7.51 %
MFC.PR.I	FixedReset	3.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.38 Bid-YTW : 8.67 %
SLF.PR.B	Deemed-Retractible	3.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.74 Bid-YTW : 7.51 %
BAM.PR.G	FixedFloater	3.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 25.00 Evaluated at bid price : 12.50 Bid-YTW : 6.63 %
FTS.PR.K	FixedReset	3.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.59 Evaluated at bid price : 15.59 Bid-YTW : 4.64 %
SLF.PR.C	Deemed-Retractible	3.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.56 Bid-YTW : 7.95 %
MFC.PR.N	FixedReset	3.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.41 Bid-YTW : 9.12 %
SLF.PR.D	Deemed-Retractible	4.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 8.03 %
MFC.PR.J	FixedReset	4.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.88 Bid-YTW : 8.79 %
TD.PF.D	FixedReset	4.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 4.93 %
MFC.PR.G	FixedReset	4.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.10 Bid-YTW : 8.81 %
SLF.PR.I	FixedReset	4.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.95 Bid-YTW : 9.55 %
FTS.PR.M	FixedReset	4.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.81 %
W.PR.K	FixedReset	4.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 22.72 Evaluated at bid price : 23.88 Bid-YTW : 5.50 %
NA.PR.S	FixedReset	4.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.89 %
MFC.PR.M	FixedReset	4.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.75 Bid-YTW : 8.90 %
SLF.PR.E	Deemed-Retractible	4.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.66 Bid-YTW : 7.94 %
MFC.PR.K	FixedReset	4.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.24 Bid-YTW : 8.97 %
BMO.PR.Y	FixedReset	4.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.39 Evaluated at bid price : 18.39 Bid-YTW : 4.70 %
RY.PR.M	FixedReset	4.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.78 %
HSE.PR.G	FixedReset	4.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.03 Evaluated at bid price : 15.03 Bid-YTW : 7.13 %
BNS.PR.B	FloatingReset	5.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 5.04 %
TD.PR.S	FixedReset	5.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 4.33 %
NA.PR.W	FixedReset	5.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.76 Evaluated at bid price : 15.76 Bid-YTW : 4.84 %
TRP.PR.B	FixedReset	5.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 9.89 Evaluated at bid price : 9.89 Bid-YTW : 4.89 %
TD.PR.Y	FixedReset	6.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.02 Bid-YTW : 4.39 %
TRP.PR.A	FixedReset	6.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 5.26 %
BAM.PF.A	FixedReset	6.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.97 Evaluated at bid price : 17.97 Bid-YTW : 5.08 %
BAM.PR.T	FixedReset	6.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 14.42 Evaluated at bid price : 14.42 Bid-YTW : 5.21 %
BAM.PF.B	FixedReset	7.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 4.98 %
TRP.PR.D	FixedReset	7.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.09 Evaluated at bid price : 15.09 Bid-YTW : 5.22 %
TRP.PR.E	FixedReset	7.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.05 %
BAM.PF.G	FixedReset	7.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 5.08 %
TRP.PR.F	FloatingReset	8.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 11.39 Evaluated at bid price : 11.39 Bid-YTW : 4.94 %
BAM.PF.F	FixedReset	8.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.95 %
BAM.PF.E	FixedReset	9.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 4.99 %
TRP.PR.G	FixedReset	10.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.31 %
TRP.PR.C	FixedReset	14.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 10.73 Evaluated at bid price : 10.73 Bid-YTW : 4.93 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	222,335	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.25 Evaluated at bid price : 25.32 Bid-YTW : 5.16 %
TRP.PR.A	FixedReset	137,607	TD crossed 122,500 at 12.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 5.26 %
RY.PR.Q	FixedReset	126,716	RBC crossed 25,000 at 25.28. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.25 Evaluated at bid price : 25.36 Bid-YTW : 5.08 %
BAM.PR.Z	FixedReset	106,495	Scotia crossed 100,000 at 17.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 5.37 %
HSE.PR.C	FixedReset	102,098	RBC crossed 85,000 at 14.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 7.01 %
MFC.PR.I	FixedReset	100,510	Nesbitt crossed blocks of 30,000 and 50,000, both at 17.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.38 Bid-YTW : 8.67 %
There were 59 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 – 14.00 Spot Rate : 2.6000 Average : 1.8433 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.T	FixedReset	Quote: 18.81 – 20.16 Spot Rate : 1.3500 Average : 0.9088 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.17 %
BNS.PR.D	FloatingReset	Quote: 17.52 – 18.61 Spot Rate : 1.0900 Average : 0.7587 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.52 Bid-YTW : 7.53 %
RY.PR.P	Perpetual-Discount	Quote: 23.65 – 24.88 Spot Rate : 1.2300 Average : 0.9068 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 23.35 Evaluated at bid price : 23.65 Bid-YTW : 5.69 %
SLF.PR.G	FixedReset	Quote: 12.60 – 13.52 Spot Rate : 0.9200 Average : 0.6184 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.60 Bid-YTW : 11.00 %
BAM.PR.Z	FixedReset	Quote: 17.23 – 18.01 Spot Rate : 0.7800 Average : 0.5046 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-19 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 5.37 %

This entry was posted on Wednesday, January 20th, 2016 at 2:43 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.