PrefBlog

TXPR closed at 577.09, up 0.81% on the day. Volume today was 1.47-million, third-highest of the past 21 trading days.

CPD closed at 11.50, up 1.32% on the day. Volume was 188,770, second-highest of the past 21 trading days.

ZPR closed at 9.65, up 1.05% on the day. Volume of 190,270 was well above the median of the past 21 trading days.

Five-year Canada yields were plunged to 3.28% today.

In these tempestuous times, it’s nice to see the world uniting on a political question:

British Prime Minister Liz Truss’s plan to slash taxes and drive up government borrowing has managed to upset almost every corner of the financial world and prompt growing calls, at home and abroad, for the new Prime Minister to reverse course.

Since the tax plan was announced last Friday, a chorus of voices has come out against it, ranging from the International Monetary Fund to credit-rating agencies, economists, pension funds and British homeowners who could see their monthly mortgage payments rise by as much as 70 per cent in the coming months.

In a blunt rebuke of the government, the IMF said late Tuesday that given rising global inflation “we do not recommend large and untargeted fiscal packages at this juncture.” It also urged Chancellor of the Exchequer Kwasi Kwarteng “to re-evaluate the tax measures, especially those that benefit high-income earners.”

On Wednesday, Moody’s said the plan raised questions about the credibility of the government’s fiscal strategy and added that “large unfunded tax cuts are credit-negative,” suggesting a potential downgrade to the country’s credit rating.

It will be hard to top Brexit as a political and economic disaster, but Truss is trying!

Chaos in the gilt market brought BoE intervention:

British government bond prices soared on Wednesday after the Bank of England said it would buy long-dated bonds to bring calm to the market, although analysts had doubts about how long the respite would last.

Finance minister Kwasi Kwarteng set plans for unfunded tax cuts and more government borrowing last week, sparking a historic slide in sterling markets that sent the pound to an all-time low against the U.S. dollar, just below $1.04.

Having failed to cool a sell-off with a verbal intervention the previous day, the BoE announced an emergency move that it said would prevent the turmoil in markets from spreading through the country and seizing up credit flows.

The central bank said it would buy long-dated gilts “on whatever scale is necessary” to restore order to the market.

The BoE also said it was keeping its goal to reduce its 838 billion pounds ($892 billion) of gilt holdings by 80 billion pounds over the next year, but would postpone the start of sales – due to begin next week – because of the market conditions.

Ahead of the BoE’s announcement, strategists said the 2.1 trillion-pound gilt market was seizing up, with very poor liquidity and pricing quality being a clear sign of market dysfunction.

Thirty-year gilt yields – which move in the opposite direction to prices – finished the day more than 100 basis points lower at 3.934% after they rose to 5.092% in early trading – the highest level for 30-year yields since 2002.

Geez … it seems like only yesterday that I was marvelling about a full point move in long-bond yields in a mere week!

Part of the problem, apparently, is margin calls on pension funds:

A dramatic upswing in British government bond yields this week triggered calls for cash from defined benefit pension funds, forcing them to slash positions and prompt the Bank of England to mount an emergency 65 billion pound ($69 billion) bond buying programme in an effort to stabilise the market.

To avoid being exposed to market volatility, the [pension fund] schemes typically hedge their positions through gilt derivatives managed by so-called liability-driven investment (LDI) funds.

For example, pension schemes might pay the floating rate leg of an interest rate swap and receive fixed rates, according to Chris Arcari, head of capital markets at consultants Hymans Robertson.

The funds are leveraged which increases their exposure to market moves.

If yields go up too far and too fast, the schemes need to provide more cash – or collateral – to the LDI funds because their positions become loss-making – they are paying out more money in the transaction than they are receiving.
…
Pension schemes either sold gilts to get hold of ready cash to meet those collateral calls, or they were kicked out of their derivatives positions because they could not pay up in time and had to sell gilts to avoid having a naked exposure to further sharp moves. LDI funds also sold index-linked gilts to shore up the cash in their funds.

So my question is: why would a pension fund invest in a leveraged swap on gilts in the first place? Why not buy the underlying gilts themselves, like, you know, normal people?

I don’t know, of course, but it’s my guess is that some guy with an MBA convinced some other guys with MBAs that it would be a full eighth of a basis point cheaper to go the derivative route (MBA, you will remember, stands for More Bad Assets). I’ve heard lots of schemes like that over the years; it’s all wonderful until somebody remembers about collateral. Remember CIBC and the deal with Goldman and Lehman on AIC Credit Default Swaps? It was a nice deal, easy money, until the collateral calls started coming in.

Meanwhile, the BoC announced:

The Bank of Canada today welcomed the publication by the International Monetary Fund (IMF) of its final report summarizing its pilot review of the Bank’s transparency practices. The report contained several recommendations for how the Bank could further enhance its transparency, and the Bank published its formal response to those recommendations today.

This past spring, using the IMF’s new Central Bank Transparency Code (CBTC), an IMF Mission Team made up of independent experts reviewed the Bank’s transparency practices across five areas: governance, policies, operations, outcomes and official relations. The Mission Team met with staff and management from across the Bank as well as with a broad range of stakeholders, including academics, think tanks, parliamentarians, market participants and journalists.
…
In its response, the Bank announced that it will publish a summary of deliberations after each policy rate announcement, beginning in January 2023. More details about this new publication will be shared in the months ahead.

The Bank also agreed to enhance transparency around its risk management and audit functions. And it will strengthen its efforts to communicate broadly, and in plain language, about financial stability issues.

The IMF report, all 100 pages of it, is available HERE. Recommendation #4 is:

4. Consider publishing a detailed summary of monetary policy deliberations by the Governing Council, as well as enhancing its communication on ex-post evaluation of the policy decisions, disclosing alternative policy scenarios, and improving the timeliness and accessibility of published macroeconomic projections.

… to which the Bank responded:

Over the past several years, the Bank has taken a number of steps to provide further transparency about its monetary policy decisions and deliberations. These include:
• providing a discussion of key issues that were relevant to Governing Council’s policy deliberations in the
opening statements at Monetary Policy Report (MPR) press conferences.
• introducing economic progress report speeches one day after each non-MPR policy decision. These speeches are delivered by members of Governing Council and discuss key issues relevant to policy deliberations. The Governing Council member delivering the speech is also available to the press.
• including in the most recent renewal of Canada’s monetary policy framework, jointly agreed to by the Bank and the Government of Canada, the Bank’s consideration of a broad range of labour market indicators. The Bank will systematically report to Canadians on how labour market outcomes have factored into its monetary policy decisions.
The Bank has been actively considering additional mechanisms to enhance transparency around its monetary policy decisions, including the publication of a summary of deliberations after each policy decision. The IMF’s consultation with the Bank’s stakeholders and resulting recommendation that the Bank should proceed with publishing such a summary have been very helpful in the Bank’s considerations of this matter.

As such, the Bank is committing to publish a summary of monetary policy deliberations after each policy decision, starting in January 2023. These summaries will be published on the Bank’s website, with a lag of roughly two weeks following each policy decision.

With respect to enhancing communication on ex-post evaluation of policy decisions, the Bank has been focused on reviewing its actions and analysis during the COVID-19 pandemic. In its July 2022 MPR, the Bank published an assessment of the main factors behind inflation forecast errors during the pandemic period. In February 2022, Deputy Governor Tim Lane provided a backward-looking assessment of the Bank’s policy actions and analysis during the pandemic. Bank staff have also published assessments of the impact on market functioning and pricing of some of its asset purchase programs, such as the Bankers’ Acceptance Purchase Facility and Government of Canada Bond Purchase Program.

As the Bank proceeds with further internal work evaluating lessons learned from its pandemic actions, it is committed to being transparent about these evaluations with Canadians.

With respect to disclosing alternative policy scenarios, the Bank has published such scenarios on an ad-hoc basis, most recently in the July 2022 MPR with a risk scenario examining what could happen if a wage-price spiral occurred. The Bank is open to providing such alternative scenarios more regularly as part of its MPRs. But it would retain appropriate flexibility to do so when it makes good sense and when it can help audiences better understand the Bank’s reaction function around key risks. The Bank prefers this approach rather than committing to systematically providing such scenarios in each MPR.

Finally, with respect to the timeliness and accessibility of published macroeconomic projections, the Bank is actively seeking ways to make the information underlying its economic forecasts more accessible to its audiences. This has included the increasing use of digital charts and tables with accessible, downloadable data. As the Bank develops its MPR into a fully digital product by the end of 2023, improved accessibility and the ability to interact more fully with its projections will be key guiding principles.

The Bank also publishes, with a five-year lag, the detailed staff economic projections that are provided to Governing Council in preparation for monetary policy decisions.

I suppose this “accessibility” drive includes such things a posts on Twitter and elsewhere. Let’s just hope that they refrain from intellectually dishonest obfuscation in those Tweets – their response to the ‘money printing’ accusations was disgraceful.

Regretably:

The announcement moves the Bank of Canada closer to the U.S. Federal Reserve, which publishes detailed minutes of the rate-setting meetings of its Federal Open Market Committee (FOMC). However, it stops short of giving the same level of detail.

“We do expect it to provide a high-level summary of the issues discussed by [the] governing council, as well as insight into the key points of focus in their deliberations on economic developments and the risks,” Jeremy Harrison, managing director of the bank’s communications department, said in a statement.

The summaries won’t attribute arguments to individual members of the six-person governing council, Mr. Harrison said. And because the council does not formally vote on monetary policy decisions, no votes will be recorded.

Ah, the good old consensus story – a sure-fire recipe for mediocrity, ass-covering and Canadian levels of productivity.

And to wrap things up … here’s a snippet on one of my favourite topics – energy storage:

Jupiter Power LLC (“Jupiter Power” or “Jupiter”), the leading United States developer and operator of utility-scale, battery energy storage systems (“BESS”), today announced the execution of an agreement with Energy Vault Holdings Inc. ( NYSE: NRGV) (“Energy Vault”), a leader in sustainable, grid-scale energy storage solutions. Under this agreement, Jupiter Power and Energy Vault will expeditiously collaborate to secure 2.4 GWh of supply chain equipment and services that will be integrated and delivered through Energy Vault’s hardware and software management platform in Jupiter Power’s battery energy storage projects.

Jupiter Power and Energy Vault are committed to supporting U.S. based manufacturing for use in Jupiter’s BESS projects across the United States electric markets including ERCOT, MISO, CAISO, PJM, NYISO, and ISO-NE. The projects are expected to reach commercial operations in 2024 and 2025.

Under the agreement, Energy Vault will focus on maximizing U.S. localization and deployment of energy storage equipment that will qualify for the recently enacted Inflation Reduction Act’s Domestic Content Bonus Credit. As part of the joint effort, Jupiter Power will collaborate in siting the new domestic manufacturing facilities, where possible, by utilizing assets secured for future Jupiter Power projects across the country, including the siting of such facilities in “Energy Communities” locations prioritized for investment by the Inflation Reduction Act, such as brownfield coal sites and economically disadvantaged areas.
…
The letter of intent agreement follows previously announced agreements between Jupiter Power and Energy Vault for BESS projects in Texas and California totaling 220 MWh, under which Energy Vault will supply a 100 MW (200 MWh) battery energy storage system at a Jupiter Power Facility near Fort Stockton, Texas, and additionally construct and commission a 10 MW (20 MWh) battery energy storage system for Jupiter Power in Carpinteria, California.

PerpetualDiscounts now yield 6.59%, equivalent to 8.57% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has rocketted to 355bp from the 315bp reported September 21.

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	0.00 %	0.00 %	0	0.00	0	-0.6743 %	2,406.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.6743 %	4,615.6
Floater	7.62 %	7.66 %	50,158	11.76	2	-0.6743 %	2,660.0
OpRet	0.00 %	0.00 %	0	0.00	0	2.3296 %	3,377.8
SplitShare	5.05 %	6.38 %	32,527	3.10	7	2.3296 %	4,033.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	2.3296 %	3,147.4
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.1620 %	2,655.0
Perpetual-Discount	6.41 %	6.59 %	69,108	13.10	33	0.1620 %	2,895.2
FixedReset Disc	5.08 %	7.02 %	92,612	12.77	54	0.4189 %	2,333.6
Insurance Straight	6.35 %	6.39 %	79,441	13.38	19	0.8584 %	2,833.8
FloatingReset	8.52 %	8.75 %	35,978	10.63	2	0.6840 %	2,508.8
FixedReset Prem	5.38 %	7.10 %	101,936	12.46	9	-0.4832 %	2,451.1
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.4189 %	2,385.4
FixedReset Ins Non	5.50 %	7.60 %	62,385	12.20	13	0.0384 %	2,345.8

Performance Highlights
Issue	Index	Change	Notes
BIP.PR.F	FixedReset Disc	-4.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 7.87 %
ELF.PR.H	Perpetual-Discount	-3.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.61 %
MFC.PR.F	FixedReset Ins Non	-3.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 13.06 Evaluated at bid price : 13.06 Bid-YTW : 8.11 %
SLF.PR.H	FixedReset Ins Non	-2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 15.82 Evaluated at bid price : 15.82 Bid-YTW : 7.78 %
MFC.PR.L	FixedReset Ins Non	-2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 8.11 %
RY.PR.O	Perpetual-Discount	-2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 21.65 Evaluated at bid price : 21.65 Bid-YTW : 5.74 %
CU.PR.H	Perpetual-Discount	-2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.41 %
BMO.PR.F	FixedReset Prem	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 23.10 Evaluated at bid price : 23.50 Bid-YTW : 7.28 %
BIP.PR.B	FixedReset Prem	-1.81 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 23.86 Bid-YTW : 7.13 %
BAM.PF.G	FixedReset Disc	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 8.56 %
CM.PR.Q	FixedReset Disc	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.75 %
BAM.PF.A	FixedReset Disc	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 7.79 %
BAM.PF.F	FixedReset Disc	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 8.45 %
RY.PR.N	Perpetual-Discount	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 21.72 Evaluated at bid price : 21.72 Bid-YTW : 5.72 %
BAM.PF.I	FixedReset Prem	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 21.80 Evaluated at bid price : 22.20 Bid-YTW : 7.58 %
BAM.PF.B	FixedReset Disc	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 8.31 %
GWO.PR.S	Insurance Straight	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 6.56 %
IAF.PR.I	FixedReset Ins Non	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 21.64 Evaluated at bid price : 22.03 Bid-YTW : 7.01 %
TRP.PR.D	FixedReset Disc	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 8.42 %
BMO.PR.W	FixedReset Disc	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 6.94 %
IFC.PR.A	FixedReset Ins Non	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 7.73 %
TRP.PR.F	FloatingReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 8.75 %
GWO.PR.H	Insurance Straight	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.46 %
MFC.PR.B	Insurance Straight	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 18.82 Evaluated at bid price : 18.82 Bid-YTW : 6.24 %
CM.PR.O	FixedReset Disc	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.96 %
GWO.PR.R	Insurance Straight	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 6.48 %
GWO.PR.T	Insurance Straight	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 6.39 %
TD.PF.A	FixedReset Disc	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 7.00 %
FTS.PR.M	FixedReset Disc	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 17.83 Evaluated at bid price : 17.83 Bid-YTW : 7.99 %
CM.PR.S	FixedReset Disc	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 22.47 Evaluated at bid price : 23.40 Bid-YTW : 6.24 %
TRP.PR.C	FixedReset Disc	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 12.45 Evaluated at bid price : 12.45 Bid-YTW : 8.55 %
BAM.PR.T	FixedReset Disc	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 8.75 %
MFC.PR.I	FixedReset Ins Non	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 22.08 Evaluated at bid price : 22.67 Bid-YTW : 7.01 %
TD.PF.E	FixedReset Disc	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 6.80 %
CU.PR.E	Perpetual-Discount	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 19.46 Evaluated at bid price : 19.46 Bid-YTW : 6.38 %
TD.PF.J	FixedReset Disc	1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 22.05 Evaluated at bid price : 22.65 Bid-YTW : 6.84 %
BNS.PR.I	FixedReset Disc	1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 21.98 Evaluated at bid price : 22.58 Bid-YTW : 6.51 %
GWO.PR.P	Insurance Straight	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.51 %
POW.PR.D	Perpetual-Discount	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.51 %
PWF.PR.E	Perpetual-Discount	2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 21.29 Evaluated at bid price : 21.29 Bid-YTW : 6.59 %
NA.PR.W	FixedReset Disc	2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 6.95 %
CU.PR.G	Perpetual-Discount	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 6.44 %
RY.PR.Z	FixedReset Disc	2.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 6.80 %
BAM.PF.J	FixedReset Disc	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 22.29 Evaluated at bid price : 23.05 Bid-YTW : 7.09 %
IFC.PR.I	Perpetual-Discount	2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 21.69 Evaluated at bid price : 22.01 Bid-YTW : 6.16 %
PWF.PR.G	Perpetual-Discount	2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 22.67 Evaluated at bid price : 22.91 Bid-YTW : 6.56 %
BIP.PR.E	FixedReset Disc	3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 21.42 Evaluated at bid price : 21.72 Bid-YTW : 7.40 %
IFC.PR.G	FixedReset Ins Non	3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 7.45 %
BAM.PR.Z	FixedReset Disc	3.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 7.73 %
IFC.PR.E	Insurance Straight	3.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 6.30 %
BAM.PR.M	Perpetual-Discount	4.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 6.68 %
PVS.PR.G	SplitShare	21.42 %	YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.92 Bid-YTW : 6.46 %

Volume Highlights
Issue	Index	Shares Traded	Notes
IFC.PR.A	FixedReset Ins Non	61,300	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 7.73 %
BAM.PF.F	FixedReset Disc	36,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 8.45 %
CU.PR.I	FixedReset Prem	34,986	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 4.85 %
MFC.PR.M	FixedReset Ins Non	21,390	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 8.10 %
FTS.PR.M	FixedReset Disc	20,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 17.83 Evaluated at bid price : 17.83 Bid-YTW : 7.99 %
BMO.PR.F	FixedReset Prem	19,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 23.10 Evaluated at bid price : 23.50 Bid-YTW : 7.28 %
There were 24 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BIP.PR.F	FixedReset Disc	Quote: 20.00 – 22.95 Spot Rate : 2.9500 Average : 1.7911 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 7.87 %
BAM.PR.R	FixedReset Disc	Quote: 14.45 – 16.98 Spot Rate : 2.5300 Average : 1.6108 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 8.81 %
MFC.PR.N	FixedReset Ins Non	Quote: 17.01 – 18.85 Spot Rate : 1.8400 Average : 1.1382 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 8.00 %
MFC.PR.M	FixedReset Ins Non	Quote: 17.13 – 19.05 Spot Rate : 1.9200 Average : 1.3043 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 8.10 %
MFC.PR.L	FixedReset Ins Non	Quote: 16.80 – 18.60 Spot Rate : 1.8000 Average : 1.3894 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 8.11 %
FTS.PR.K	FixedReset Disc	Quote: 16.75 – 17.85 Spot Rate : 1.1000 Average : 0.7584 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-28 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 8.10 %

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