Category: Market Action

The loonie got smacked today:

Canada’s currency weakened past C$1.30 per U.S. dollar for the first time since 2009 amid speculation the nation’s central bank will cut interest rates again to fight the economic damage from lower oil prices.

The loonie, as the Canadian dollar is known for the image of the aquatic bird on the C$1 coin, fell to as weak as C$1.3008. It traded at C$1.2965 at 9:26 a.m. in Toronto, and is poised to decline for a fourth week.
…
Monetary easing in Canada contrasts with the U.S. Federal Reserve, which is contemplating its first interest-rate increase in almost a decade.

“For the Canadian dollar, the policy-divergence theme got a strong boost with the Bank of Canada cutting rates, while leaving the door open to more,” Matt Derr, a foreign-exchange strategist at Credit Suisse Group AG in New York, said by e-mail. Declining crude prices may put further pressure on the currency, he said.

Canada’s dollar has fallen 3.3 percent in the last three months, making it the second-worst performer among 10 developed-nation peers, according to data compiled by Bloomberg.

Canadian headline inflation is not an impediment to loose money:

Canada’s annual inflation rate quickened to 1 percent in June as food and shelter costs increased and energy provided less of a drag, providing no impetus for the central bank to change course on loose monetary policy.

Consumer prices accelerated from a 0.9 percent pace in May, Statistics Canada said Friday in Ottawa, as meat, dairy and bakery products and fresh fruit grew dearer.

Bank of Canada policy makers cut interest rates this week, saying a weak economy threatened to keep inflation from returning to its 2 percent target. The currency depreciated to the lowest since 2009 on speculation price gains aren’t enough to eliminate the chance of another central-bank rate cut.
…
The core rate, which excludes eight volatile products such as energy, accelerated to 2.3 percent, close to the March reading of 2.4 percent that was the fastest since 2008.

Canada’s dollar dropped to C$1.3008 per U.S. dollar today. Two-year bond yields rose 1 basis point to 0.43 percent and 30-year securities fell to 2.25 percent from 2.27 percent.

The plunge in crude oil prices has driven down inflation and also triggered four straight monthly declines in output. At the same time, core prices have remained elevated on higher costs for meat and telecommunications products.

Economists surveyed by Bloomberg forecast Friday’s report would show overall inflation at 1 percent and the core rate remaining at 2.2 percent.

Energy costs fell 9 percent in June from 12 months earlier, less than May’s 11.8 percent rate of decline. Excluding energy the inflation rate slowed to 2.1 percent from 2.2 percent.

While the reported core inflation rate is above 2.0%, the July Monetary Policy Report states:

In contrast, core inflation as measured by CPIX has been slightly above 2 per cent, boosted by the pass-through effects of the past depreciation of the Canadian dollar and some sector-specific factors, which have offset the disinflationary force from slack in the economy (Chart 15). Although the impact of pass-through is difficult to gauge precisely, the Bank estimates that it is currently raising CPIX inflation by about 0.4 to 0.6 percentage points (Box 1).2 The underlying trend in inflation is assessed to be 1.5 to 1.7 per cent, a bit lower than in the April Report, consistent with material and increased slack in the Canadian economy.

In an interesting twist, Freddie Mac is selling structured notes:

Freddie Mac is expanding its risk-sharing efforts meant to protect taxpayers and potentially prepare the $9.4 trillion U.S. home-loan market for its future.

In a planned $300 million offering of mortgage-backed securities being managed by Credit Suisse Group AG, the government-backed company will sell $22.5 million of junior-ranking bonds without its guarantees, a person with knowledge of the deal said.
…
The bonds reflect directions that Freddie Mac and rival Fannie Mae have received from their overseer, the Federal Housing Finance Agency, to experiment with different ways of pushing their losses from homeowner defaults to bond buyers and insurers. The FHFA has also pushed them to increase the amount of the risk-sharing.

It will be interesting to see what the ultimate effect of all this is … how much will investors be willing to pay for the company guarantee when they’ve already got the first-loss protection afforded by the Junior Notes?

BCIMC has posted some good returns:

A tactical decision to shift investments into global stock markets paid off last year for British Columbia Investment Management Corp., which earned a 14.2-per-cent return for the year and boosted its total assets to $124-billion.

BCIMC reported it moved more assets into global equities during the fiscal year ended March 31, 2015, while reducing its weighting in fixed income holdings and mortgages, responding to volatility in Canadian stock markets as oil prices declined.

The fund ended the fiscal year with 49.5 per cent of its assets invested in public stock markets, up from 47.6 per cent a year earlier. BCIMC had 21.5 per cent of its holdings in fixed-income securities such as bonds, down slightly from 22 per cent last year, while 14.6 per cent of the portfolio is in real estate, a decline from 17.4 per cent at the end of fiscal 2014.

The fund said its Canadian public equity holdings earned a 7.5-per-cent return last year, while global public equities earned a far higher 23 per cent and emerging markets equities posted 21.4-per-cent gains, illustrating the value of shifting out of Canada’s volatile stock market.
…
BCIMC said investing in passive benchmarks last year would have earned a 12.6-per-cent return, so its active investment strategy added $1.4-billion in additional returns. Over the past 10 years, BCIMC earned an average 8.1-per-cent annualized return, exceeding its benchmark of 7.3 per cent.

But, we all ask, what are the cool kids doing now?:

Options on indexes made up of credit default swaps (CDS) have been a sleeper hit over the past few years.

While trading indexes comprising CDS tied to a basket of corporate names can give investors a cheap and easy way to trade corporate credit at a time when the cash market is said to be illiquid, options written on those same indexes can do one better. The options give investors the right to buy or sell CDS indexes, such as Markit’s CDX or iTraxx series.
…
In 2005, Citigroup estimated that about $2 billion worth of credit index options were trading per month, or roughly $24 billion over the course of the year. Last December, the same Citi analysts figured that about $1.4 trillion of the instruments had exchanged hands in all of 2014, compared with $573 billion worth in 2013. If correct, that would be more than a 5,000 percent jump in activity over the course of a decade.
…
The risk is that the popularity of options on CDS indexes, combined with a big move in one of the indexes, could spark a flurry of hedging activity by the big dealer-banks as they struggle to get their positions back to neutral. That in turn could end up amplifying the move in the underlying index.

Here’s Barclays:

The relative growth of option volumes will likely make it increasingly more common to have option hedging (by dealers) exerting a meaningful influence on index dynamics—ie, we can expect to see the “option tail wagging the index dog” … This is particularly relevant because anecdotal evidence suggests that the majority of trades executed by investors are without delta as pure directional positions, and if anything, this proportion has been increasing over time. As such, in response to spread moves, the majority of delta-hedging will take place on the dealer side, with limited “natural” offset by investors delta-hedging in the opposite direction. Should the trend of rising relative option volumes continue, we are likely to see more cases of “pin risk” (delta-hedging of options bought by dealers making it more likely that spreads will stay around the strike) or “negative gamma” (delta-hedging of options sold by dealers, leading to amplifications of spread moves wider and tighter).

PDV.PR.A was confirmed at Pfd-3(high) by DBRS:

On July 18, 2014, DBRS upgraded the rating of the Preferred Shares to Pfd-3 (high) mainly based on a significant increase in downside protection to holders of the Preferred Shares. Over the last few months, the NAV of the Company has been declining as a result of high levels of uncertainty in the markets, resulting in a reduction in downside protection to 43% average compared with 45% a year ago. The dividend coverage ratio stands at approximately 0.7 times. Current performance metrics are still commensurate with the rating assigned, and as a result, the rating of the Preferred Shares has been confirmed at Pfd-3 (high).

After all the horror of the past six weeks-odd (not to mention the past six damn months!) the preferred share market has found a better place.

If this keeps up for the rest of the month, we might even break-even year-to-date!

It was a superb day for the Canadian preferred share market, with PerpetualDiscounts up 51bp, FixedResets winning an incredible 138bp and DeemedRetractibles gaining 45bp. The Performance Highlights table is … well, the Performance Highlights table is much as you’d expect, OK? Volume was very high.

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 +128, is bid at 22.00 to be $0.37 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.59 cheap at its bid price of 15.70.

An extremely good fit today!

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 22.30 to be $0.31 rich, while MFC.PR.N, resetting at +230bp on 2020-3-19, is bid at 22.48 to be $0.24 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 20.76 to be $0.68 cheap. BAM.PR.X, resetting at +180bp on 2017-6-30 is bid at 16.79 and appears to be $0.68 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.60, looks $0.80 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 22.87 and is $0.32 cheap.

There is only one outlier; one of the junk pairs is below -1.00%.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.05% (which seems a little extreme!).

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	0.00 %	0.00 %	0	0.00	0	1.7363 %	2,092.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.7363 %	3,658.9
Floater	3.51 %	3.49 %	61,881	18.55	3	1.7363 %	2,224.6
OpRet	0.00 %	0.00 %	0	0.00	0	0.1873 %	2,781.5
SplitShare	4.57 %	4.90 %	68,000	3.20	3	0.1873 %	3,259.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1873 %	2,543.4
Perpetual-Premium	5.51 %	2.95 %	74,960	0.29	13	0.0487 %	2,514.3
Perpetual-Discount	5.38 %	5.35 %	87,275	14.86	21	0.5088 %	2,661.8
FixedReset	4.60 %	3.78 %	218,381	16.03	88	1.3821 %	2,286.1
Deemed-Retractible	5.02 %	4.81 %	112,481	3.13	34	0.4508 %	2,619.3
FloatingReset	2.53 %	3.18 %	47,513	6.05	10	0.6075 %	2,277.8

Performance Highlights
Issue	Index	Change	Notes
RY.PR.J	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.80 Evaluated at bid price : 24.02 Bid-YTW : 3.65 %
CU.PR.D	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.91 Evaluated at bid price : 23.25 Bid-YTW : 5.33 %
BAM.PR.C	Floater	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 13.13 Evaluated at bid price : 13.13 Bid-YTW : 3.62 %
MFC.PR.H	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.84 Bid-YTW : 2.75 %
CU.PR.F	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.89 Evaluated at bid price : 22.19 Bid-YTW : 5.12 %
GWO.PR.H	Deemed-Retractible	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.78 Bid-YTW : 5.58 %
PWF.PR.P	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 3.58 %
HSE.PR.A	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 4.20 %
TD.PF.E	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 23.17 Evaluated at bid price : 25.09 Bid-YTW : 3.53 %
BAM.PF.G	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.35 Evaluated at bid price : 23.12 Bid-YTW : 4.14 %
ENB.PF.G	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.43 Evaluated at bid price : 19.43 Bid-YTW : 4.88 %
HSB.PR.D	Deemed-Retractible	1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.07 %
TRP.PR.A	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 3.75 %
SLF.PR.C	Deemed-Retractible	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 6.01 %
GWO.PR.N	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.19 Bid-YTW : 7.49 %
GWO.PR.Q	Deemed-Retractible	1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 5.22 %
SLF.PR.B	Deemed-Retractible	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.54 Bid-YTW : 5.66 %
BMO.PR.T	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.16 Evaluated at bid price : 22.71 Bid-YTW : 3.54 %
CM.PR.Q	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 23.00 Evaluated at bid price : 24.55 Bid-YTW : 3.55 %
TD.PF.B	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.89 Evaluated at bid price : 22.30 Bid-YTW : 3.57 %
BMO.PR.W	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.90 Evaluated at bid price : 22.33 Bid-YTW : 3.58 %
SLF.PR.A	Deemed-Retractible	1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 5.60 %
RY.PR.H	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.10 Evaluated at bid price : 22.61 Bid-YTW : 3.57 %
BAM.PF.A	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.22 Evaluated at bid price : 22.69 Bid-YTW : 4.22 %
HSE.PR.C	FixedReset	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.89 Evaluated at bid price : 22.33 Bid-YTW : 4.57 %
BMO.PR.Q	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 3.49 %
HSB.PR.C	Deemed-Retractible	1.76 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-16 Maturity Price : 25.00 Evaluated at bid price : 25.44 Bid-YTW : -12.85 %
TD.PF.C	FixedReset	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.93 Evaluated at bid price : 22.39 Bid-YTW : 3.54 %
BMO.PR.S	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.53 Evaluated at bid price : 23.32 Bid-YTW : 3.51 %
BAM.PR.Z	FixedReset	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.57 Evaluated at bid price : 23.10 Bid-YTW : 4.22 %
BAM.PF.E	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 4.19 %
ENB.PF.C	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 4.86 %
PWF.PR.K	Perpetual-Discount	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 23.68 Evaluated at bid price : 23.95 Bid-YTW : 5.17 %
BIP.PR.A	FixedReset	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.85 Evaluated at bid price : 22.30 Bid-YTW : 4.94 %
BNS.PR.D	FloatingReset	2.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.68 Bid-YTW : 3.77 %
ENB.PR.F	FixedReset	2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 4.94 %
FTS.PR.K	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 3.55 %
MFC.PR.J	FixedReset	2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.02 Bid-YTW : 4.15 %
BAM.PR.N	Perpetual-Discount	2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 5.82 %
BAM.PR.M	Perpetual-Discount	2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 5.82 %
BAM.PF.C	Perpetual-Discount	2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 5.85 %
ENB.PF.E	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.88 %
ENB.PR.J	FixedReset	2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 4.85 %
BNS.PR.Z	FixedReset	2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.39 Bid-YTW : 3.43 %
ENB.PF.A	FixedReset	2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.90 %
NA.PR.W	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.80 Evaluated at bid price : 22.20 Bid-YTW : 3.61 %
MFC.PR.C	Deemed-Retractible	2.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.76 Bid-YTW : 5.81 %
BAM.PF.F	FixedReset	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.57 Evaluated at bid price : 23.45 Bid-YTW : 4.06 %
ENB.PR.H	FixedReset	2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.84 %
RY.PR.Z	FixedReset	2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.56 Evaluated at bid price : 23.37 Bid-YTW : 3.39 %
ENB.PR.P	FixedReset	2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.90 %
BAM.PR.R	FixedReset	2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.32 %
BAM.PF.B	FixedReset	3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 4.36 %
ENB.PR.Y	FixedReset	3.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 4.78 %
BAM.PF.D	Perpetual-Discount	3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.82 %
BAM.PR.T	FixedReset	3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.24 Evaluated at bid price : 19.24 Bid-YTW : 4.25 %
BAM.PR.X	FixedReset	3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 4.20 %
TRP.PR.C	FixedReset	3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 15.68 Evaluated at bid price : 15.68 Bid-YTW : 3.80 %
CIU.PR.C	FixedReset	3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 3.46 %
BAM.PR.K	Floater	3.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 13.70 Evaluated at bid price : 13.70 Bid-YTW : 3.47 %
ENB.PR.N	FixedReset	4.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 18.39 Evaluated at bid price : 18.39 Bid-YTW : 4.90 %
ENB.PR.D	FixedReset	4.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 4.88 %
MFC.PR.M	FixedReset	4.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 4.75 %
IFC.PR.A	FixedReset	4.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.81 Bid-YTW : 6.67 %
MFC.PR.K	FixedReset	4.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.11 Bid-YTW : 4.89 %
ENB.PR.B	FixedReset	4.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 4.90 %
MFC.PR.N	FixedReset	4.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.48 Bid-YTW : 4.86 %
TRP.PR.F	FloatingReset	5.88 %	Reversing a good-sized chunk of yesterday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 3.41 %
MFC.PR.L	FixedReset	6.70 %	Nothing wrong with this! Each of the last 25 trades were above the closing bid and the high for the day was 22.61. The VWAP on 7,504 shares was 22.18. After making the Performance Highlights Table (and not in a good way) on each of July 7, July 8, July 9 and July 10, it was about time the issue caught a break. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 4.87 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.M	Deemed-Retractible	220,933	Scotia crossed 220,000 at 25.52. Nice ticket! YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-16 Maturity Price : 25.50 Evaluated at bid price : 25.50 Bid-YTW : 0.20 %
BNS.PR.Y	FixedReset	150,667	Scotia crossed 130,000 at 22.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.27 Bid-YTW : 3.70 %
SLF.PR.I	FixedReset	70,939	Nesbitt crossed 43,000 at 23.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 4.36 %
RY.PR.F	Deemed-Retractible	58,300	TD crossed 55,000 at 25.41. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : 3.26 %
HSE.PR.G	FixedReset	43,617	Nesbitt crossed 24,700 at 23.99. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.76 Evaluated at bid price : 23.95 Bid-YTW : 4.56 %
BAM.PF.E	FixedReset	38,016	RBC crossed 35,000 at 21.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 4.19 %
There were 53 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.E	FixedReset	Quote: 22.00 – 23.00 Spot Rate : 1.0000 Average : 0.6436 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.67 Evaluated at bid price : 22.00 Bid-YTW : 3.83 %
PWF.PR.L	Perpetual-Discount	Quote: 24.22 – 24.98 Spot Rate : 0.7600 Average : 0.4906 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 23.95 Evaluated at bid price : 24.22 Bid-YTW : 5.27 %
RY.PR.J	FixedReset	Quote: 24.02 – 24.64 Spot Rate : 0.6200 Average : 0.3973 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.80 Evaluated at bid price : 24.02 Bid-YTW : 3.65 %
CU.PR.D	Perpetual-Discount	Quote: 23.25 – 23.89 Spot Rate : 0.6400 Average : 0.4494 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.91 Evaluated at bid price : 23.25 Bid-YTW : 5.33 %
GWO.PR.S	Deemed-Retractible	Quote: 25.65 – 26.18 Spot Rate : 0.5300 Average : 0.3627 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 4.97 %
TRP.PR.D	FixedReset	Quote: 21.60 – 22.10 Spot Rate : 0.5000 Average : 0.3356 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 3.84 %

The treasury curve flattened today:

Enough distractions! Treasury investors are turning their attention back to the business of when U.S. interest rates go up.

The yield curve has flattened the most in four months in a week when Greece signed a deal to secure more bailout aid and a bear-market rout in Chinese stocks stabilized, allaying concern that turmoil abroad would delay the Federal Reserve’s first rate increase since 2006. Fed Chair Janet Yellen made it plain over two days of testimony before Congress this week that she believes the central bank can raise interest rates in 2015.
…
The difference between yields on two- and 30-year government debt has narrowed 9.4 percentage points this week to 246 basis points. It reached 244 basis points Thursday, the least since July 9.

Yellen’s testimony preached restraint:

Speaking Thursday before the Senate Banking Committee, Yellen said that raising rates prematurely could derail the recovery. Waiting too long, on the other hand, might force the Fed to tighten at a faster pace to keep the economy from overheating.

“My own preference would be to be able proceed to tighten in a prudent and gradual manner,” she said.

Yellen’s comments this week were consistent with her often-stated advice to investors: the date of liftoff matters less than the subsequent pace of increases. And she has assured them that those increases would be measured.

The concern that tightening prematurely could throw the recovery off track is one reason why the federal funds rate has been kept near zero as long it has, Yellen said.

“We also want to be careful not to tighten too late because, if we do that, arguably we could overshoot both of our goals and be faced with this situation where we would then need to tighten monetary policy in a very sharp way that could be disruptive,” she told lawmakers.
…
Yellen offered other reasons for an upbeat assessment of the economy in her testimony Thursday. She said the job market is returning to a “more normal state,” even though the 5.3 percent unemployment rate understates the degree of slack. And she expects to see further gains in wages.

Fed officials say they will let the latest data on employment and inflation guide their decision on when to raise rates. To drive the point home, the San Francisco Fed has printed T-shirts with the message: “Monetary Policy — It’s Data Dependent.”

Only in America would the central bank print t-shirts!

By way of context, here’s the historical 2-year and 30-year Treasury yields from FRED:

and the spread between the two:

Note that there’s a gap in the 30-year series during the period in which they didn’t exist. That was the peace dividend.

And there’s more squabbling over the ORPP:

Ottawa is putting Queen’s Park on notice that it will not help set up a provincial pension plan.

Finance Minister Joe Oliver wrote to his provincial counterpart on Thursday afternoon saying that Ottawa would not help collect contributions or make the legislative changes the province would likely require.

“The Ontario Government’s proposed [plan] would take money from workers and their families, kill jobs, and damage the economy,” Mr. Oliver wrote in the letter, which was obtained by The Globe and Mail.

“Furthermore, it would impose a one-size-fits-all scheme on Ontarians and their families, without consideration for their age, family situation or financial circumstance.”
…
According to Mr. Oliver’s letter, Ontario officials have approached federal civil servants in recent months to discuss the possibility of having the federal government involved in the administration of the new provincial plan.

“We will not assist the Ontario government in the implementation of the ORPP,” Mr. Oliver wrote to Ontario Finance Minister Charles Sousa.

“This includes any legislative changes to allow the ORPP to be treated like the Canada Pension Plan for tax purposes, or to integrate the ORPP within the [registered retirement savings plan] contribution limits. Administration of the ORPP will be the sole responsibility of the Ontario Government, including the collection of contributions and any required information. We will be pleased to discuss with the Ontario Government the potential for voluntary contributions to the CPP, which we believe would better serve the interests of Ontarians and all Canadians.”

DBRS kept the ratings of the Big-6 banks’ senior debt on Trend-Negative today, confirming their conclusion reported in May:

• BMO
• BNS
• CM
• NA
• RY
• TD

Preferred share ratings and trends are unaffected.

It was a different sort of day for preferreds than it has been lately. In fact…

It was a superb day for the Canadian preferred share market, with PerpetualDiscounts gaining 43bp, FixedResets up 86bp and DeemedRetractibles off 7bp. The Performance Highlights table was fairly lengthy, but shorter than I expected given the overall index numbers. Volume was very high.

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.B, which resets 2020-6-30 at +128, is bid at 14.65 to be $0.55 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.77 cheap at its bid price of 15.20.

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 17.10 to be $0.82 rich, while MFC.PR.N, resetting at +230bp on 2020-3-19, is bid at 21.43 to be $0.57 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 20.15 to be $0.77 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.20 and appears to be $0.79 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.14, looks $0.44 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 22.85 and is $0.25 cheap.

There is only one outlier; one of the junk pairs is below -1.00%.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.01% (which seems a little extreme!).

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	0.00 %	0.00 %	0	0.00	0	-0.0503 %	2,056.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.0503 %	3,596.5
Floater	3.57 %	3.61 %	61,454	18.29	3	-0.0503 %	2,186.7
OpRet	0.00 %	0.00 %	0	0.00	0	0.4975 %	2,776.3
SplitShare	4.58 %	4.83 %	68,287	3.20	3	0.4975 %	3,253.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.4975 %	2,538.6
Perpetual-Premium	5.51 %	2.77 %	74,115	0.29	13	0.0640 %	2,513.0
Perpetual-Discount	5.41 %	5.38 %	88,640	14.87	21	0.4303 %	2,648.3
FixedReset	4.66 %	3.84 %	218,979	16.05	88	0.8061 %	2,254.9
Deemed-Retractible	5.05 %	4.98 %	110,268	3.32	34	-0.0661 %	2,607.5
FloatingReset	2.54 %	3.12 %	49,205	6.06	10	-0.2981 %	2,264.0

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.F	FloatingReset	-7.10 %	Technically this is real, since the low for the day was, in fact, 17.00. On the other hand, that was one trade, for 100 shares, at 3:54pm, when the trade immediately before it was done at 17.91 which was the low for the day for two minutes before being superseded. At one point, I know, there was no bid for the issue, which tells me first that the market maker is incompetent and second that nobody in all of Canada is running an algorithm to make a market arbitraging this issue against its Strong Pair TRP.PR.A. The day’s volume was 3,900 shares in a range of 17.00-18.41, and the VWAP was 18.272821. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 3.61 %
CIU.PR.C	FixedReset	-3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 3.59 %
BNS.PR.D	FloatingReset	-1.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.24 Bid-YTW : 4.11 %
VNR.PR.A	FixedReset	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 4.33 %
HSB.PR.C	Deemed-Retractible	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.17 %
SLF.PR.H	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.08 Bid-YTW : 5.86 %
CU.PR.G	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.87 Evaluated at bid price : 22.17 Bid-YTW : 5.13 %
BNS.PR.B	FloatingReset	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.67 Bid-YTW : 3.04 %
BAM.PF.C	Perpetual-Discount	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.98 %
BAM.PR.K	Floater	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 13.18 Evaluated at bid price : 13.18 Bid-YTW : 3.61 %
RY.PR.M	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.90 Evaluated at bid price : 24.35 Bid-YTW : 3.53 %
BAM.PR.R	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 4.45 %
BAM.PF.B	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 4.49 %
CM.PR.O	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.02 Evaluated at bid price : 22.49 Bid-YTW : 3.62 %
BAM.PF.A	FixedReset	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.97 Evaluated at bid price : 22.32 Bid-YTW : 4.30 %
BAM.PR.M	Perpetual-Discount	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 5.95 %
TD.PF.C	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.66 Evaluated at bid price : 22.00 Bid-YTW : 3.62 %
BAM.PR.N	Perpetual-Discount	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.95 %
BAM.PR.X	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 4.34 %
BMO.PR.W	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.67 Evaluated at bid price : 22.00 Bid-YTW : 3.64 %
BMO.PR.T	FixedReset	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.97 Evaluated at bid price : 22.42 Bid-YTW : 3.59 %
HSE.PR.G	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.67 Evaluated at bid price : 23.75 Bid-YTW : 4.60 %
TD.PF.B	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.67 Evaluated at bid price : 21.98 Bid-YTW : 3.64 %
ENB.PR.N	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 5.10 %
SLF.PR.J	FloatingReset	1.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 7.24 %
BAM.PF.G	FixedReset	1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.19 Evaluated at bid price : 22.85 Bid-YTW : 4.20 %
BMO.PR.S	FixedReset	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.30 Evaluated at bid price : 22.91 Bid-YTW : 3.59 %
MFC.PR.J	FixedReset	2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 4.42 %
RY.PR.H	FixedReset	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.86 Evaluated at bid price : 22.25 Bid-YTW : 3.64 %
ENB.PR.J	FixedReset	2.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 4.97 %
CM.PR.P	FixedReset	2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.67 Evaluated at bid price : 22.02 Bid-YTW : 3.62 %
RY.PR.Z	FixedReset	2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.20 Evaluated at bid price : 22.74 Bid-YTW : 3.51 %
BAM.PF.F	FixedReset	2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.24 Evaluated at bid price : 22.85 Bid-YTW : 4.19 %
MFC.PR.K	FixedReset	2.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.12 Bid-YTW : 5.48 %
NA.PR.W	FixedReset	2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.35 Evaluated at bid price : 21.65 Bid-YTW : 3.71 %
ENB.PF.G	FixedReset	2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.94 %
NA.PR.S	FixedReset	2.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.66 Evaluated at bid price : 23.56 Bid-YTW : 3.49 %
GWO.PR.N	FixedReset	2.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.99 Bid-YTW : 7.64 %
ENB.PR.T	FixedReset	2.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.95 %
TD.PF.A	FixedReset	3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.85 Evaluated at bid price : 22.25 Bid-YTW : 3.59 %
BAM.PR.Z	FixedReset	3.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.30 Evaluated at bid price : 22.69 Bid-YTW : 4.31 %
ENB.PR.Y	FixedReset	3.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 4.94 %
HSE.PR.E	FixedReset	4.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.77 Evaluated at bid price : 23.95 Bid-YTW : 4.56 %

Volume Highlights
Issue	Index	Shares Traded	Notes
PWF.PR.T	FixedReset	64,136	Desjardins crossed 15,000 at 24.60; TD crossed 44,800 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 23.12 Evaluated at bid price : 24.50 Bid-YTW : 3.30 %
BNS.PR.M	Deemed-Retractible	55,162	TD crossed 52,000 at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-07-27 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 3.65 %
TD.PF.C	FixedReset	47,952	TD crossed 20,000 at 21.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.66 Evaluated at bid price : 22.00 Bid-YTW : 3.62 %
ENB.PR.B	FixedReset	40,209	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 16.22 Evaluated at bid price : 16.22 Bid-YTW : 5.14 %
RY.PR.I	FixedReset	34,895	Scotia crossed 15,000 at 25.17. Nesbitt crossed 15,000 at 25.18. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 3.15 %
NA.PR.S	FixedReset	34,867	Desjardins crossed 25,000 at 23.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 22.66 Evaluated at bid price : 23.56 Bid-YTW : 3.49 %
There were 53 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ENB.PR.P	FixedReset	Quote: 17.31 – 18.19 Spot Rate : 0.8800 Average : 0.5277 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 5.05 %
TRP.PR.F	FloatingReset	Quote: 17.00 – 17.83 Spot Rate : 0.8300 Average : 0.5397 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 3.61 %
IFC.PR.A	FixedReset	Quote: 18.01 – 19.00 Spot Rate : 0.9900 Average : 0.7250 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 7.24 %
CIU.PR.C	FixedReset	Quote: 15.70 – 16.74 Spot Rate : 1.0400 Average : 0.7837 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 3.59 %
NA.PR.W	FixedReset	Quote: 21.65 – 22.40 Spot Rate : 0.7500 Average : 0.5259 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 21.35 Evaluated at bid price : 21.65 Bid-YTW : 3.71 %
ENB.PF.A	FixedReset	Quote: 18.63 – 19.35 Spot Rate : 0.7200 Average : 0.5205 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-16 Maturity Price : 18.63 Evaluated at bid price : 18.63 Bid-YTW : 5.02 %

The rate cut has caused increased concern over housing prices:

The move overrides concerns from real estate executives and some economists that lower rates will lead to increased borrowing, skyrocketing prices and put housing markets in Toronto and Vancouver at risk of a correction.

“The risks are growing. We get more of a speculative run-up in prices, especially in Vancouver and Toronto,” Robert Kavcic, senior economist at Bank of Montreal, said by phone after the rate announcement. “In the last six months, price activity has gotten heated, especially in those two markets. This would only reinforce that.”
…
“It’s going to put more fuel on the fire for potentially people who may not really have the ability to buy real estate,” Ross McCredie, CEO of Sotheby’s International Realty Canada said in an interview July 8. “When they’re buying, the baseline is that interest rates are going to stay this low for a very long period of time. It’s a scary place to be a buyer.’

Toronto and Vancouver home prices have defied expectations. The average cost of purchasing a condo, townhouse or low-rise property in Toronto, Canada’s largest city, has jumped 38 percent in the five years to June, according to the Canadian Real Estate Association. Toronto sales reached a record in each of the last three months. In Vancouver, single-family home prices rallied 35 percent to C$1.1 million in June from June 2010.

… and there was an immediate effect on the dollar:

Commodity currencies slumped amid speculation an interest-rate cut from the Bank of Canada may augur more monetary stimulus by resource-producing nations.

The Canadian dollar fell to its lowest since 2009 as policy makers lowered borrowing costs to stimulate an economy struggling with the declining price of oil, its major export. The New Zealand and Australian currencies also tumbled to multi-year lows.
…
Canada’s dollar, known as the loonie for the image of aquatic bird on the C$1 coin, slid as much as 1.8 percent.

The New Zealand dollar slumped as much as 1.7 percent while Australia’s currency lost as much as 1.3. South Africa’s rand, the Norwegian krone and Mexico’s peso also slid.

However, there is some encouraging news from the cult of the start-up:

It seems barely a week goes by without news of another Canadian startup scoring a huge venture capital financing deal. Preliminary data published today by Thomson Reuters backs that up: The venture capital scene is enjoying its biggest financing boom in over a decade.

Thomson Reuters said Tuesday the second quarter of 2015 was the best three-month period for VC investments in Canadian companies in 10 years. In fact, the last 12 months through June 30 rank as the best one-year period for VC investments into Canadian companies since 2002, when the country was at the dawn of a long, bleak stretch of relative quiet on the startup financing scene in Canada. Venture capital-backed companies raised $2.6-billion during the past 12 months, compared to $2.4-billion in calendar 2014 and less than $1.6-billion in each of 2011 and 2012.

Greater Toronto Area companies dominated the top five list of biggest disclosed VC deals in the first half of 2015, led by financial software firm Real Matters ($60-million raised), pharma company Northern Biologics ($36-million) and ex-Montreal e-commerce firm VarageSale ($34-million).

Assiduous Readers will remember that I attribute a great deal of the increase in Treasury volatility to the increased transparency that has come about with electronic trading and an increase in the use of exchange-traded futures contracts. So naturally, since the problem has been caused by increased transparency, the regulators want to solve the problem with increased transparency, but there is some pushback:

“It’s the market for U.S. government debt — how is there not more transparency in the trading and pricing we have today?” said Kevin McPartland, head of research for market structure and technology at Greenwich Associates, a Stamford, Connecticut-based financial-services consulting firm. “Of course, the next conversation that starts is about what impact that has on liquidity.”
…
Michael Spencer, chief executive officer of interdealer broker ICAP Plc, warned this week about the potential for more volatility in Treasuries. He attributed the price swings to the scaling back of trading by Wall Street banks known as primary dealers and an increase in electronic trading.
…
Some of the largest investors in company debt say too much transparency can hinder their ability to trade large blocks. AllianceBernstein Holding LP, BlackRock Inc. and Pacific Investment Management Co. urged regulators in a May letter to consider loosening time requirements for disclosing large transactions because the information could tip off rivals.

Turnover of interest-rate-linked securities in other markets that publicly report trades has surged. Trading in interest-rate futures has climbed 81 percent in the past 10 years. This year, a record $335 billion of the contracts has changed hands on average each day, according to CME Group Inc. data. The comparable figure for Treasuries is $430 billion.

One idea that keeps coming up is GDP-linked bonds:

This study proposes that the Government of Canada issue a new debt security, the “Trill,” which would essentially offer Canadian investors an equity stake in the Canadian economy. The Trill is so-named because its coupon payment would be one-trillionth of Canada’s GDP. Similar to shares issued by corporations paying a fraction of corporate earnings in dividends, the Trill would pay a fraction of the “earnings” of Canada. Coupon payments would rise and fall with the GDP.

For average investors, the Trill would be a useful new source of income, offering both exposure to income growth and protection against inflation. This security would also appeal to large institutional investors. Pension funds have a need to match their long-term liabilities with assets that can provide stable, long-term cash flows. Currently, a large part of fund assets are held in nominal fixed-coupon Government of Canada securities. These securities do not provide protection from inflation and the limited numbers of real return bonds the government issues do not provide exposure to income growth.

The BoC has published a discussion paper by Martin Brooke, Rhys Mendes, Alex Pienkowski and Eric Santor titled Sovereign Default and State-Contingent Debt:

The sovereign debt restructuring in Greece and the events surrounding the IMF-EU support packages for Ireland, Portugal and Cyprus have exposed fault lines in the existing practices for sovereign debt crisis resolution – perhaps most importantly, an overreliance on official sector liquidity support. This paper argues that the current approach is suboptimal for five main reasons: i) it increases the risk of moral hazard; ii) it incentivises short-term lending, which can increase the risk of liquidity crises; iii) it puts an inequitable amount of taxpayer resources at risk; iv) substantial official sector holdings of an insolvent sovereign’s debt can complicate negotiated debt writedowns; and, v) it can delay necessary reforms, thereby requiring larger policy adjustments to be implemented when action is eventually taken.
In response to these deficiencies, this paper argues that, for reasons of equity and efficiency, private creditors should play a greater role in risk-sharing and helping to resolve sovereign debt crises. We propose the introduction of two complementary types of state-contingent bonds – ‘sovereign cocos’ and ‘GDP-linked bonds’.

Sovereign cocos are bonds that would automatically extend in repayment maturity when a country receives official sector emergency liquidity assistance. This predictable and transparent means of bailing-in creditors would increase market discipline on sovereigns to prudently manage their debt, ex ante, thus reducing the incidence of crises. And, it would reduce the size of official sector support packages once a crisis has hit, as amortising debt would no longer need to be covered by program financing.

GDP-linked bonds are debt instruments that directly link principal and interest payments to the level of a country’s nominal GDP. They provide a natural complement to sovereign cocos. While sovereign cocos are primarily designed to tackle liquidity crises, GDP-linked bonds help reduce the likelihood of solvency crises. This is because GDP-linked bonds provide a form of ‘recession insurance’ that reduces principal and interest payments when a country is hit by a negative growth shock. This helps to both stabilise the debt-to-GDP ratio and increase a sovereign’s capacity to borrow at sustainable interest rates. While all countries might experience some benefit from the use of GDP-linked debt, economies with higher GDP growth volatility (such as emerging market economies) or countries where monetary policy is constrained (such as those in a monetary union) are likely to benefit most.

Should ‘sovereign Cocos’ ever be issued in the UK, it will be interesting to see whether UK investors would be permitted to buy them! But this is all by way of introduction, since there may be a new example of GDP-linkers:

As debt talks intensify between Ukraine and its creditors, securities that pay out if economic growth exceeds expectations will probably be on the agenda, echoing deals done by Argentina and Greece in the past decade.

Ukraine’s restructuring proposal includes a “value-recovery instrument,” the Finance Ministry said last month, while a person familiar with a bondholder plan submitted in May said it has a debt-for-equity swap element. Both securities feature interest payments linked to gross domestic product and are also referred to as GDP-linked warrants.

For most of the day it was looking as if the preferred share market was taking the rate cut in stride; then 2pm happened.

CPD

ZPR

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 13bp, FixedResets down 47bp and DeemedRetractibles gaining 5bp. Floaters got whacked again. The Performance Highlights table is enormous again, stuffed full of FixedReset losers. Volume was average.

PerpetualDiscounts now yield 5.39%, equivalent to 7.01% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.1%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, a bit of a bounce-back from the 305bp reported July 8.

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 21.98 to be $0.51 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.77 cheap at its bid price of 15.30.

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 17.00 to be $1.02 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 20.59 to be $0.83 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 19.85 to be $0.78 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.17 and appears to be $1.02 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.19, looks $0.44 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 22.86 and is $0.28 cheap.

There is only one outlier; one of the junk pairs is below -1.00%.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.01% (which seems a little extreme!).

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	0.00 %	0.00 %	0	0.00	0	-1.5354 %	2,058.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.5354 %	3,598.3
Floater	3.76 %	3.84 %	61,068	17.78	3	-1.5354 %	2,187.8
OpRet	0.00 %	0.00 %	0	0.00	0	-0.3217 %	2,762.5
SplitShare	4.61 %	4.88 %	68,464	3.20	3	-0.3217 %	3,237.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3217 %	2,526.0
Perpetual-Premium	5.52 %	3.87 %	73,790	0.29	13	-0.0670 %	2,511.4
Perpetual-Discount	5.43 %	5.39 %	89,306	14.85	21	-0.1260 %	2,637.0
FixedReset	4.70 %	3.84 %	221,991	15.82	88	-0.4660 %	2,236.9
Deemed-Retractible	5.04 %	4.97 %	111,295	3.13	34	0.0505 %	2,609.2
FloatingReset	2.53 %	3.23 %	49,887	6.06	10	-0.2784 %	2,270.8

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.N	FixedReset	-4.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.54 Bid-YTW : 8.00 %
VNR.PR.A	FixedReset	-4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.44 Evaluated at bid price : 21.78 Bid-YTW : 4.24 %
BAM.PR.C	Floater	-3.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 13.07 Evaluated at bid price : 13.07 Bid-YTW : 3.84 %
BAM.PR.Z	FixedReset	-3.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.61 Evaluated at bid price : 22.02 Bid-YTW : 4.44 %
BIP.PR.A	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.54 Evaluated at bid price : 21.86 Bid-YTW : 5.05 %
SLF.PR.J	FloatingReset	-2.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.70 Bid-YTW : 7.47 %
ENB.PR.Y	FixedReset	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.12 %
MFC.PR.K	FixedReset	-2.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.59 Bid-YTW : 5.81 %
MFC.PR.N	FixedReset	-2.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 5.49 %
PWF.PR.P	FixedReset	-2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 3.65 %
NA.PR.W	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 3.84 %
IFC.PR.A	FixedReset	-1.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.94 Bid-YTW : 7.29 %
TRP.PR.C	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 3.90 %
HSE.PR.E	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 22.29 Evaluated at bid price : 23.00 Bid-YTW : 4.78 %
BMO.PR.Q	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 3.93 %
BAM.PF.F	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.88 Evaluated at bid price : 22.30 Bid-YTW : 4.31 %
PWF.PR.S	Perpetual-Discount	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 22.82 Evaluated at bid price : 23.13 Bid-YTW : 5.19 %
SLF.PR.I	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.63 Bid-YTW : 4.42 %
BNS.PR.D	FloatingReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.63 Bid-YTW : 3.81 %
MFC.PR.J	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.70 %
BAM.PR.B	Floater	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 13.69 Evaluated at bid price : 13.69 Bid-YTW : 3.66 %
BAM.PR.X	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 15.98 Evaluated at bid price : 15.98 Bid-YTW : 4.42 %
CU.PR.G	Perpetual-Discount	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.60 Evaluated at bid price : 21.91 Bid-YTW : 5.19 %
ENB.PR.D	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 16.39 Evaluated at bid price : 16.39 Bid-YTW : 5.10 %
BAM.PR.R	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 4.51 %
MFC.PR.M	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 5.32 %
TRP.PR.A	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 3.81 %
BAM.PF.A	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.71 Evaluated at bid price : 21.97 Bid-YTW : 4.38 %

Volume Highlights
Issue	Index	Shares Traded	Notes
SLF.PR.G	FixedReset	72,336	Nesbitt crossed blocks of 40,000 and 20,000, both at 16.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.20 Bid-YTW : 7.51 %
RY.PR.I	FixedReset	54,200	RBC crossed 50,000 at 25.21. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 3.16 %
RY.PR.H	FixedReset	48,160	Scotia crossed 24,200 at 21.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.50 Evaluated at bid price : 21.76 Bid-YTW : 3.74 %
TRP.PR.A	FixedReset	44,098	RBC crossed 23,300 at 18.90; TD crossed 10,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 3.81 %
BAM.PF.C	Perpetual-Discount	43,920	RBC crossed 35,000 at 20.26. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 20.23 Evaluated at bid price : 20.23 Bid-YTW : 6.06 %
ENB.PR.H	FixedReset	32,870	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 4.98 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
VNR.PR.A	FixedReset	Quote: 21.78 – 22.65 Spot Rate : 0.8700 Average : 0.5330 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.44 Evaluated at bid price : 21.78 Bid-YTW : 4.24 %
BAM.PR.Z	FixedReset	Quote: 22.02 – 22.70 Spot Rate : 0.6800 Average : 0.4535 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.61 Evaluated at bid price : 22.02 Bid-YTW : 4.44 %
IFC.PR.A	FixedReset	Quote: 17.94 – 18.57 Spot Rate : 0.6300 Average : 0.4345 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.94 Bid-YTW : 7.29 %
GWO.PR.N	FixedReset	Quote: 15.54 – 16.08 Spot Rate : 0.5400 Average : 0.3524 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.54 Bid-YTW : 8.00 %
MFC.PR.K	FixedReset	Quote: 20.59 – 21.35 Spot Rate : 0.7600 Average : 0.6063 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.59 Bid-YTW : 5.81 %
BIP.PR.A	FixedReset	Quote: 21.86 – 22.25 Spot Rate : 0.3900 Average : 0.2450 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-15 Maturity Price : 21.54 Evaluated at bid price : 21.86 Bid-YTW : 5.05 %

Many will have heard of the recent attempt to justify the existence of the Senate, a report titledCountering the Terrorist Threat in Canada. This report has attracted some attention for its disgraceful recommendation that “The federal government work with the provinces and the Muslim communities to investigate the options that are available for the training and certification of imams in Canada”, but there was one point of great interest in the report that should be of interest to PrefBlog readers:

The Committee is concerned about the lack of prosecutions in the area of terrorist financing. The Committee learned that between 2009 and 2014, the Financial Transactions and Reports Analysis Centre of Canada identified 683 terrorist financing incidences and we have yet to have any prosecutions under the relevant sections of the criminal code.

Not surprising, really, since the purpose of the terrorist financing laws is to create the illusion of government oversight and create jobs for the otherwise unemployable.

Speaking of job creation for box-tickers:

The Ontario Ministry of Finance has circulated a new consultation document that proposes to overhaul the province’s system of oversight for financial advisers and planners as investors and people saving for retirement trade in a more risky, complex financial system.
…
There is no general legal framework regulating the titles and designations of people offering financial planning, advice and services, leading to many professionals calling themselves planners or advisers. The Ontario finance ministry’s consultation document, released this month, said the absence of a framework raises questions about “proficiency, quality standards and potential conflicts of interest.”

Ontario is looking at a range of possible changes, including a new legal standard governing conflicts of interest, licensing and registration requirements, the regulation of titles, the possibility of a new oversight body, and a central registry of financial planners and advisers.

The SEC continues to protect the incompetent:

The U.S. Securities and Exchange Commission is looking into possible market manipulation over a fake news article that led to a brief spike in Twitter Inc. shares, said a person familiar with the matter.

Twitter rose more than 8 percent in the late morning after the appearance of the article, which claimed the company had received a takeover offer, before losing most of those gains within 20 minutes.

The report, which imitated the form of a Bloomberg News article, appeared on a site called bloomberg.market.

I was taken aback today by a report that Royal LePage is lobbying against a policy rate cut. Royal LePage?:

One of Canada’s major real estate firms is urging the Bank of Canada not to cut interest rates tomorrow.

Royal LePage says it’s worried that a cut in the central bank’s benchmark rate could “over-stimulate” already high-flying markets such as Toronto and Vancouver.

Those are the two Canadian cities deemed the most frothy, with prices running up sharply as consumers add to already swollen debt levels in a low-rate environment.

“While the oil shock has been a troublesome drag on our economy this year, it seems premature to ring the recession alarm bells now, injecting further monetary stimulus,” said LePage chief executive officer Phil Soper.

SEC Commissioner Luis A. Aguilar sees an opportunity to hire more regulators:

Yesterday, staff members of the federal agencies that comprise the Interagency Working Group for Treasury Market Surveillance (“Working Group”)[3] issued a joint report concerning the so-called “flash crash” that occurred in the U.S. Treasury market on October 15, 2014 (the “Report”).
…
First, the Commission should consider revising Regulation ATS to make it applicable to alternative trading systems that trade Treasuries exclusively.[54] In addition, the Commission should consider how Regulation ATS may need to be tailored to the activities of alternative trading systems that handle Treasuries. Currently, BrokerTec and eSpeed are the two electronic platforms that handle the majority of the dealer-to-dealer trade flow in on-the-run Treasuries.[55] I note that BrokerTec, which trades securities in addition to Treasuries, has filed a Form ATS with the Commission.[56]
• Second, in addition to expanding Reg ATS, the Commission should consider revising Regulation Systems Compliance and Integrity (Reg SCI) to make it applicable to trading platforms that handle Treasuries exclusively.[57] As the Report makes clear, the majority of dealer-to-dealer trading in the Treasury market is now driven by computer algorithms. In light of this new environment, it is appropriate for the Commission to examine whether additional safeguards are warranted to ensure that the technology used by these entities has sufficient integrity, capacity, safety, and resiliency.
• Third, the Report and other sources indicate that regulators presently lack a comprehensive source of trade data for the Treasury market.[58]
…
• Fifth, the Commission, as well as the Working Group, should consider ways to enhance oversight of market participants in the Treasury market.[64] For example, some of the most active participants in the Treasury cash market are not registered with the Commission.[65] This hinders the Commission’s ability to monitor and regulate this market effectively. In the context of equity market reform, the Chair called last year for the staff to prepare a rule clarifying that high frequency traders are dealers, and must therefore register with the Commission.[66] In preparing that rule, the staff should consider how it can be made applicable to Treasury market participants, as well.

Meanwhile, in Chinese equities:

China’s stocks fell for a second day after better-than-expected economic data failed to boost investor confidence in the world’s worst-performing equity market over the past month.

The Shanghai Composite Index tumbled 4.2 percent to 3,758.50 at 1:36 p.m. local time. With 689 stocks halted on mainland exchanges and another 790 falling by the 10 percent daily limit, sellers were locked out of about 50 percent of the the Chinese market. The two-day losses pared the gauge’s rebound from its July 8 low to 7.7 percent.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 7bp, FixedResets gaining 2bp and DeemedRetractibles off 20bp. Floaters were smacked. The Performance Highlights table is as lengthy as we have come to expect. Volume was on the high side of average.

Regrettably, charts of Implied Volatility and Break-Even rates are not prepared today due to problems with the downloading of prices – a separate system from the download used for HIMIPref™ and I don’t have time to input the prices manually.

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	-3.2814 %	2,090.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	-3.2814 %	3,654.4
Floater	3.71 %	3.72 %	60,892	18.05	3	-3.2814 %	2,221.9
OpRet	0.00 %	0.00 %	0	0.00	0	0.0939 %	2,771.4
SplitShare	4.59 %	4.87 %	68,602	3.21	3	0.0939 %	3,248.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0939 %	2,534.2
Perpetual-Premium	5.51 %	2.79 %	69,673	0.30	13	-0.0305 %	2,513.1
Perpetual-Discount	5.43 %	5.41 %	92,688	14.81	21	0.0724 %	2,640.3
FixedReset	4.68 %	3.84 %	222,078	15.89	88	0.0204 %	2,247.4
Deemed-Retractible	5.04 %	4.86 %	112,430	3.13	34	-0.2039 %	2,607.9
FloatingReset	2.53 %	3.23 %	51,582	6.06	10	-0.0236 %	2,277.1

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-5.45 %	Misleading, since the low for the day was 13.68 on five trades totalling 500 shares, which I suppose overwhelmed the systems. I have not checked whether this is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 3.86 %
BAM.PR.C	Floater	-3.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 3.72 %
FTS.PR.H	FixedReset	-2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 3.56 %
IFC.PR.C	FixedReset	-2.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 5.36 %
HSE.PR.A	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 4.25 %
BAM.PR.T	FixedReset	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.44 %
ENB.PR.B	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 16.06 Evaluated at bid price : 16.06 Bid-YTW : 5.19 %
TRP.PR.A	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 3.85 %
TRP.PR.C	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 3.83 %
POW.PR.D	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 5.38 %
PWF.PR.L	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 23.91 Evaluated at bid price : 24.18 Bid-YTW : 5.28 %
GWO.PR.S	Deemed-Retractible	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.48 Bid-YTW : 5.05 %
BAM.PR.X	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.36 %
SLF.PR.G	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.28 Bid-YTW : 7.45 %
IFC.PR.A	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.30 Bid-YTW : 7.02 %
SLF.PR.I	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.22 %
BAM.PR.B	Floater	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 13.88 Evaluated at bid price : 13.88 Bid-YTW : 3.61 %
HSB.PR.D	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.66 Bid-YTW : 5.31 %
TRP.PR.D	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 3.93 %
CU.PR.G	Perpetual-Discount	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 21.89 Evaluated at bid price : 22.20 Bid-YTW : 5.12 %
CU.PR.D	Perpetual-Discount	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 23.14 Evaluated at bid price : 23.50 Bid-YTW : 5.27 %
ENB.PF.E	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 5.05 %
CM.PR.O	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 21.82 Evaluated at bid price : 22.19 Bid-YTW : 3.67 %
CM.PR.P	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 21.35 Evaluated at bid price : 21.64 Bid-YTW : 3.69 %
ENB.PR.F	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 5.09 %
RY.PR.Z	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 21.94 Evaluated at bid price : 22.35 Bid-YTW : 3.59 %
ENB.PR.Y	FixedReset	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.99 %
NA.PR.S	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 22.21 Evaluated at bid price : 22.76 Bid-YTW : 3.65 %
NA.PR.W	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 3.76 %
ENB.PF.A	FixedReset	2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 5.03 %
HSE.PR.E	FixedReset	3.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 22.54 Evaluated at bid price : 23.45 Bid-YTW : 4.67 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.B	FixedReset	199,101	RBC crossed 156,000 at 16.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 16.06 Evaluated at bid price : 16.06 Bid-YTW : 5.19 %
RY.PR.A	Deemed-Retractible	54,134	RBC crossed 49,300 at 25.24. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-13 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 0.81 %
BNS.PR.M	Deemed-Retractible	54,095	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-26 Maturity Price : 25.25 Evaluated at bid price : 25.32 Bid-YTW : 0.34 %
PWF.PR.L	Perpetual-Discount	53,100	Scotia crossed 50,000 at 24.48. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 23.91 Evaluated at bid price : 24.18 Bid-YTW : 5.28 %
RY.PR.N	Perpetual-Premium	36,006	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 24.60 Evaluated at bid price : 24.99 Bid-YTW : 4.94 %
BNS.PR.Z	FixedReset	35,743	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 3.85 %
There were 37 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BMO.PR.T	FixedReset	Quote: 21.92 – 23.00 Spot Rate : 1.0800 Average : 0.6365 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 21.62 Evaluated at bid price : 21.92 Bid-YTW : 3.69 %
BAM.PR.K	Floater	Quote: 13.00 – 13.70 Spot Rate : 0.7000 Average : 0.5381 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 3.86 %
FTS.PR.G	FixedReset	Quote: 21.41 – 21.85 Spot Rate : 0.4400 Average : 0.3053 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 21.41 Evaluated at bid price : 21.41 Bid-YTW : 3.64 %
GWO.PR.R	Deemed-Retractible	Quote: 23.71 – 24.10 Spot Rate : 0.3900 Average : 0.2601 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 5.56 %
HSE.PR.C	FixedReset	Quote: 22.00 – 22.57 Spot Rate : 0.5700 Average : 0.4489 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 21.66 Evaluated at bid price : 22.00 Bid-YTW : 4.64 %
ENB.PR.B	FixedReset	Quote: 16.06 – 16.50 Spot Rate : 0.4400 Average : 0.3214 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-14 Maturity Price : 16.06 Evaluated at bid price : 16.06 Bid-YTW : 5.19 %

Looks like there’s another politicized white-washing on the way:

U.S. officials have concluded that high-frequency trading contributed to the Treasury market’s wild ride last October, a finding that will probably add to regulatory scrutiny of the industry.

While a soon-to-be-published government report won’t point to just one cause, it will cite speed traders as playing a key role, according to a person with direct knowledge of the study. Treasury yields plunged the most in five years on Oct. 15, 2014, before recovering, fueling a months-long debate over whether something has fundamentally changed in a $12.7 trillion market that most investors consider a safe haven.

One alteration is that almost half the trading in Treasuries is now electronic, according to a 2014 survey from financial research firm Greenwich Associates. Treasury Secretary Jacob J. Lew is among U.S. officials who’ve drawn a link between traders using computers to buy and sell securities at lightning-fast speeds, and changes in volatility and liquidity.

And yes, the report came out today and guess who’s being scapegoated?:

High-frequency trading firms are among the factors “driving markets toward smaller trade sizes,” according to Treasury official Antonio Weiss, a counselor to Lew. These firms are playing a much bigger role as market intermediaries, replacing banks and brokers that pulled back after suffering losses during the crisis, Weiss wrote Monday in a Wall Street Journal opinion piece.

The report details potential hazards from an increase in automated trading, such as risks to operations, liquidity, transmission and clearing activities. It said speed trading accounted for much of the imbalance in aggressive flows on Oct. 15. Automation can also give traders new tools to engage in unlawful conduct such as spoofing, the practice of placing and then canceling orders to give a misleading impression of the market.

The spike in trading volume and volatility coincided with bank-dealers exiting from the offer side of the cash market for brief periods, according to the report.

The report itself is titled Joint Staff Report: The U.S. Treasury Market on October 15, 2014. It’s very clearly biased against automated trading, skimming over the notion that a thin, brittle market is the logical and frequent consequence of increased transparency, but there was one thing I found interesting:

Around 9:39 ET, the sudden visibility of certain sell limit orders in the futures market seemed to have coincided with the reversal in prices. Recall that only 10 levels of order prices above and below the best bid and ask price are visible to futures market participants. Around 9:39 ET, with prices still moving higher, a number of previously posted large sell orders suddenly became visible in the order book above the current 30-year futures price (as well as in smaller size in 10-year futures). The sudden visibility of these sell orders significantly shifted the visible order imbalance in that contract, and it coincided with the beginning of the reversal of its price (the top of the price spike). Most of these limit orders were not executed, as the price did not rise to their levels.

Meanwhile, HFT traders are eagerly wooed by exchanges:

Despite the often explosive debate over this kind of trading in the U.S., bourses in Mexico, Turkey, South Africa and beyond are trying to lure HFT types to boost business.

The message is clear: whatever the perceived risks, algorithmic robot traders — algobots — are marching steadily across the globe.

“We are welcoming foreign investors, and that includes HFT firms,” says Muammer Cakir, managing director at Borsa Istanbul.
…
The Tokyo Stock Exchange is taking similar steps. TSE officials last month visited New York to let the HFT industry know about upgrades due in September to its Arrowhead trading engine. Arrowhead already matches orders more than 1,000 times faster than was possible five years ago.
…
In Mexico, the bourse is trying to attract more high-frequency traders to boost volumes, said Luis Carballo, the top information technology official at the Bolsa Mexicana de Valores SAB, which operates the exchange.
…
JSE Ltd., the company that operates the Johannesburg Stock Exchange, opened a co-location facility in May 2014 that cut the time it takes for data to travel from a trader to its servers and back to 150 microseconds, from 2,550 microseconds. Stock transactions rose 19 percent last year at the exchange and in October it had a record month, with daily average volume close to 400,000, about a third higher than its previous best.
…
Perhaps the last big obstacle to high-frequency trading achieving global dominance is China, where tight government rules, a stamp duty on stock trades and market inefficiency have so far kept out the algobots. There may be signs of opening up, though: Doug Cifu, CEO of Virtu Financial Inc., one of the world’s biggest computer trading firms, said on an earnings call in May that Virtu was having “very significant preliminary discussions” about entering the Chinese markets.

It proved to be a quiet day overall for the Canadian preferred share market, with PerpetualDiscounts gaining 2bp, FixedResets off 7bp and DeemedRetractibles down 16bp, but the Performance Highlights table demonstrates that volatility on the issue level remains very high. Volume was average.

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 21.76 to be $0.27 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.39 cheap at its bid price of 15.80.

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 17.02 to be $0.95 rich, while MFC.PR.L, resetting at +216bp on 2019-6-19, is bid at 20.61 to be $0.59 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 20.03 to be $0.84 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.26 and appears to be $0.88 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.21, looks $0.38 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 22.66 and is $0.31 cheap.

The change of scale on the chart means there are no outliers today!

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of exactly 0.00% (which seems a little extreme!).

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	0.00 %	0.00 %	0	0.00	0	1.5568 %	2,161.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.5568 %	3,778.4
Floater	3.58 %	3.59 %	61,260	18.33	3	1.5568 %	2,297.3
OpRet	0.00 %	0.00 %	0	0.00	0	0.5395 %	2,768.8
SplitShare	4.59 %	4.89 %	69,675	3.21	3	0.5395 %	3,244.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.5395 %	2,531.8
Perpetual-Premium	5.51 %	3.82 %	66,260	0.30	13	0.0579 %	2,513.9
Perpetual-Discount	5.43 %	5.43 %	93,389	14.79	21	0.0207 %	2,638.4
FixedReset	4.68 %	3.83 %	223,044	15.83	88	-0.0691 %	2,246.9
Deemed-Retractible	5.03 %	4.86 %	112,169	3.14	34	-0.1569 %	2,613.3
FloatingReset	2.53 %	3.23 %	53,645	6.06	10	-0.1460 %	2,277.7

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.K	FixedReset	-3.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.20 Bid-YTW : 5.43 %
FTS.PR.M	FixedReset	-3.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 22.11 Evaluated at bid price : 22.66 Bid-YTW : 3.82 %
GWO.PR.N	FixedReset	-3.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.12 Bid-YTW : 7.53 %
IFC.PR.A	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.51 Bid-YTW : 6.87 %
PWF.PR.P	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 3.53 %
PWF.PR.T	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 22.95 Evaluated at bid price : 24.10 Bid-YTW : 3.38 %
BNS.PR.Z	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 3.85 %
SLF.PR.E	Deemed-Retractible	-1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 6.09 %
FTS.PR.K	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 3.64 %
HSE.PR.C	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 21.55 Evaluated at bid price : 21.85 Bid-YTW : 4.68 %
POW.PR.B	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 24.47 Evaluated at bid price : 24.71 Bid-YTW : 5.43 %
IAG.PR.G	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.41 Bid-YTW : 4.13 %
FTS.PR.H	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 16.81 Evaluated at bid price : 16.81 Bid-YTW : 3.47 %
BNS.PR.M	Deemed-Retractible	-1.10 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-26 Maturity Price : 25.25 Evaluated at bid price : 25.26 Bid-YTW : 2.31 %
HSE.PR.G	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 22.55 Evaluated at bid price : 23.51 Bid-YTW : 4.66 %
MFC.PR.B	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 6.03 %
PWF.PR.E	Perpetual-Premium	1.01 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-12 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.69 %
TD.PF.C	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 3.74 %
ENB.PR.B	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 16.36 Evaluated at bid price : 16.36 Bid-YTW : 5.09 %
ENB.PR.D	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.06 %
BMO.PR.T	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 21.41 Evaluated at bid price : 21.74 Bid-YTW : 3.72 %
BAM.PR.K	Floater	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 3.65 %
PVS.PR.B	SplitShare	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 4.56 %
POW.PR.D	Perpetual-Discount	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 23.35 Evaluated at bid price : 23.64 Bid-YTW : 5.30 %
ENB.PR.F	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 5.17 %
IFC.PR.C	FixedReset	1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 5.06 %
ELF.PR.G	Perpetual-Discount	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 21.59 Evaluated at bid price : 21.85 Bid-YTW : 5.45 %
MFC.PR.M	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 5.29 %
ENB.PR.H	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 15.86 Evaluated at bid price : 15.86 Bid-YTW : 4.97 %
MFC.PR.L	FixedReset	1.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.61 Bid-YTW : 5.88 %
BAM.PR.C	Floater	2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 13.97 Evaluated at bid price : 13.97 Bid-YTW : 3.59 %
MFC.PR.N	FixedReset	5.77 %	An entirely reasonable closing bid; all of the last 25 trades were at or above the quoted figure. This represents only a reversal of Friday‘s silliness. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 5.25 %

Volume Highlights
Issue	Index	Shares Traded	Notes
GWO.PR.R	Deemed-Retractible	65,060	TD crossed 44,600 at 24.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.45 %
BNS.PR.Q	FixedReset	40,100	TD sold 10,000 to Raymond James at 25.30, then crossed 20,000 at 25.29. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 2.95 %
BMO.PR.T	FixedReset	33,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 21.41 Evaluated at bid price : 21.74 Bid-YTW : 3.72 %
TRP.PR.D	FixedReset	33,188	RBC crossed 23,200 at 21.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 21.49 Evaluated at bid price : 21.49 Bid-YTW : 3.89 %
MFC.PR.B	Deemed-Retractible	31,713	RBC crossed 20,000 at 22.66. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 6.03 %
BNS.PR.Z	FixedReset	31,213	Scotia crossed 15,000 at 22.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 3.85 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CU.PR.D	Perpetual-Discount	Quote: 23.25 – 24.27 Spot Rate : 1.0200 Average : 0.6552 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 22.91 Evaluated at bid price : 23.25 Bid-YTW : 5.32 %
PWF.PR.T	FixedReset	Quote: 24.10 – 24.80 Spot Rate : 0.7000 Average : 0.5202 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 22.95 Evaluated at bid price : 24.10 Bid-YTW : 3.38 %
IAG.PR.G	FixedReset	Quote: 24.41 – 24.77 Spot Rate : 0.3600 Average : 0.2260 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.41 Bid-YTW : 4.13 %
FTS.PR.K	FixedReset	Quote: 21.21 – 21.66 Spot Rate : 0.4500 Average : 0.3463 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 3.64 %
TRP.PR.F	FloatingReset	Quote: 18.30 – 18.95 Spot Rate : 0.6500 Average : 0.5568 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-13 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 3.35 %
HSB.PR.D	Deemed-Retractible	Quote: 24.92 – 25.35 Spot Rate : 0.4300 Average : 0.3466 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 5.12 %

So the Canadian jobs number wasn’t as bad as expected, because we’re all working for the government:

Canadian employment fell by 6,400 in June on the biggest decline in part-time work in more than four years, sustaining the view the economy is losing steam and may require another jolt of stimulus from the central bank.

The unemployment rate remained at 6.8 percent for a fifth month, Statistics Canada said Friday in Ottawa. Part-time work fell 71,200, exceeding the 64,800 gain in full-time work. Quebec posted a decline of 33,300, the most since May 2005.
…
Private companies cut 26,300 workers, tempering gains in public-sector employment, which rose by 42,200.

Meanwhile, Yellen continues to expect a Fed hike:

Federal Reserve Chair Janet Yellen, speaking after weeks of financial-market turmoil over China and Greece, maintained her call for an interest-rate increase this year as the U.S. economy improves.

“I expect that it will be appropriate at some point later this year to take the first step to raise the federal funds rate and thus begin normalizing monetary policy,” Yellen said in her first public remarks since the June meeting of the Federal Open Market Committee.

Yellen added a note of caution, saying that “the course of the economy and inflation remains highly uncertain, and unanticipated developments could delay or accelerate this first step.” In her only mention of Greece in a 14-page speech delivered Friday in Cleveland, she identified that nation’s debt crisis as one cause of uncertainty.

And worrying about Greece is, like, getting old, you know?

Stock investors got jolted in a zigzag week, with plunges around the world giving way to the biggest rallies in at least three years for China and Europe.

Spurred by optimism on Greece, the Stoxx Europe 600 Index climbed 4.3 percent on Thursday and Friday, erasing earlier losses with the biggest two-day advance since 2011. The Shanghai Stock Exchange Composite Index jumped 11 percent in two sessions, the most in almost seven years, while the Standard & Poor’s 500 Index added 1.2 percent Friday to wipe out a weekly decline.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 19bp, FixedResets gaining 45bp and DeemedRetractibles down 21bp. Floaters bounced back from yesterday‘s downdraft. The Performance Highlights table is again very lengthy, but skewed towards positive returns this time. Volume was extremely high.

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 21.80 to be $0.35 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.42 cheap at its bid price of 15.76.

The fit is horrible today, and Implied Volatility has dropped precipitously.

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 16.96 to be $1.25 rich, while MFC.PR.N, resetting at +230bp on 2020-3-19, and which has a very low bid that does not seem reflective of market conditions (see the Performance Highlights Table) is bid at 20.61 to be $1.17 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 20.00 to be $0.85 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.07 and appears to be $0.70 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.50, looks $0.35 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 21.31 and is $0.33 cheap.

The calculated level of implied volatility declined today, but is still higher than I would expect; reversion to a lower level will imply underperformance of the lower-spread issues.

The change of scale on the chart means there are no outliers today!

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.02% (which seems a little extreme!).

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	0.00 %	0.00 %	0	0.00	0	8.4697 %	2,127.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	8.4697 %	3,720.4
Floater	3.64 %	3.69 %	61,973	18.12	3	8.4697 %	2,262.0
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2422 %	2,754.0
SplitShare	4.62 %	4.98 %	69,071	3.21	3	-0.2422 %	3,227.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2422 %	2,518.2
Perpetual-Premium	5.52 %	3.76 %	65,814	0.47	13	-0.0396 %	2,512.4
Perpetual-Discount	5.43 %	5.38 %	93,279	14.77	21	-0.1940 %	2,637.8
FixedReset	4.68 %	3.81 %	223,542	15.93	88	0.4534 %	2,248.5
Deemed-Retractible	5.03 %	3.76 %	111,462	0.61	34	-0.2139 %	2,617.4
FloatingReset	2.52 %	3.18 %	54,283	6.07	10	0.1226 %	2,281.0

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.N	FixedReset	-5.24 %	This looks like an effect of a very thin market and shoddy market-making. There are seventeen trades timestamped 3:59, sixteen of which are for 100 shares and one of which was for 30 shares. The selling brokers were Scotia and Anonymous; the selling might have come from either a retail stockbroker who’s not very good at his job or a price-insensitive algorithm. These trades were done in a range of 20.98-21.80; 20.98 was the low for the day. The day’s VWAP, on volume of 14,458 shares, was 21.769583. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.61 Bid-YTW : 5.97 %
MFC.PR.L	FixedReset	-3.85 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 6.13 %
ELF.PR.G	Perpetual-Discount	-2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.55 %
MFC.PR.C	Deemed-Retractible	-2.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 6.26 %
ENB.PR.J	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 5.10 %
HSE.PR.C	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.74 Evaluated at bid price : 22.11 Bid-YTW : 4.61 %
POW.PR.D	Perpetual-Discount	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 23.04 Evaluated at bid price : 23.31 Bid-YTW : 5.38 %
SLF.PR.C	Deemed-Retractible	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.94 Bid-YTW : 6.22 %
HSE.PR.G	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 22.67 Evaluated at bid price : 23.77 Bid-YTW : 4.59 %
SLF.PR.B	Deemed-Retractible	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.19 Bid-YTW : 5.85 %
ENB.PR.D	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 16.31 Evaluated at bid price : 16.31 Bid-YTW : 5.12 %
ENB.PR.B	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 16.18 Evaluated at bid price : 16.18 Bid-YTW : 5.15 %
ENB.PR.F	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 5.25 %
BAM.PF.F	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 22.06 Evaluated at bid price : 22.56 Bid-YTW : 4.25 %
BNS.PR.D	FloatingReset	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.83 Bid-YTW : 3.65 %
PWF.PR.E	Perpetual-Premium	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 24.46 Evaluated at bid price : 24.70 Bid-YTW : 5.57 %
NA.PR.S	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.84 Evaluated at bid price : 22.20 Bid-YTW : 3.76 %
TRP.PR.B	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 3.58 %
TD.PF.B	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 3.75 %
FTS.PR.H	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 3.43 %
ENB.PF.C	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.08 %
ENB.PR.P	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 5.09 %
MFC.PR.G	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.83 %
HSE.PR.A	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 15.74 Evaluated at bid price : 15.74 Bid-YTW : 4.18 %
FTS.PR.K	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 3.59 %
MFC.PR.J	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 4.31 %
TRP.PR.E	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.52 Evaluated at bid price : 21.80 Bid-YTW : 3.86 %
TRP.PR.C	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 15.76 Evaluated at bid price : 15.76 Bid-YTW : 3.77 %
BMO.PR.S	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.85 Evaluated at bid price : 22.22 Bid-YTW : 3.72 %
ENB.PR.Y	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 5.07 %
IAG.PR.G	FixedReset	1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 3.98 %
BAM.PR.R	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.39 %
SLF.PR.I	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.43 Bid-YTW : 3.99 %
PWF.PR.T	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 23.11 Evaluated at bid price : 24.50 Bid-YTW : 3.30 %
RY.PR.J	FixedReset	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 23.03 Evaluated at bid price : 24.60 Bid-YTW : 3.53 %
TD.PF.E	FixedReset	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 23.00 Evaluated at bid price : 24.60 Bid-YTW : 3.62 %
VNR.PR.A	FixedReset	2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 22.23 Evaluated at bid price : 22.55 Bid-YTW : 4.09 %
TRP.PR.F	FloatingReset	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 3.33 %
CM.PR.Q	FixedReset	2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 23.07 Evaluated at bid price : 24.76 Bid-YTW : 3.50 %
BNS.PR.Z	FixedReset	2.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.16 Bid-YTW : 3.58 %
RY.PR.Z	FixedReset	2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.86 Evaluated at bid price : 22.23 Bid-YTW : 3.61 %
TD.PF.A	FixedReset	2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 3.72 %
RY.PR.H	FixedReset	2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.56 Evaluated at bid price : 21.84 Bid-YTW : 3.72 %
PWF.PR.P	FixedReset	2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 17.64 Evaluated at bid price : 17.64 Bid-YTW : 3.45 %
FTS.PR.M	FixedReset	4.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 22.58 Evaluated at bid price : 23.49 Bid-YTW : 3.65 %
MFC.PR.K	FixedReset	7.41 %	Down 4.65% yesterday. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.02 Bid-YTW : 4.93 %
BAM.PR.K	Floater	7.61 %	Down 6.59% yesterday. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 13.57 Evaluated at bid price : 13.57 Bid-YTW : 3.70 %
BAM.PR.C	Floater	8.80 %	Down 7.06% yesterday. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 13.60 Evaluated at bid price : 13.60 Bid-YTW : 3.69 %
BAM.PR.B	Floater	8.99 %	Down 7.25% yesterday. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 13.94 Evaluated at bid price : 13.94 Bid-YTW : 3.60 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.B	FloatingReset	76,565	Scotia crossed 15,300 at 23.20; TD crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.22 Bid-YTW : 3.35 %
TRP.PR.B	FixedReset	74,510	Nesbitt crossed 48,600 at 14.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 3.58 %
BNS.PR.Z	FixedReset	73,624	Nesbitt crossed 49,900 at 22.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.16 Bid-YTW : 3.58 %
TD.PR.Y	FixedReset	63,240	Nesbitt crossed 10,000 at 25.15; RBC crossed 50,000 at 25.16. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 2.99 %
SLF.PR.I	FixedReset	59,366	TD crossed 50,000 at 24.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.43 Bid-YTW : 3.99 %
MFC.PR.L	FixedReset	57,388	RBC crossed 50,000 at 21.24. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 6.13 %
There were 60 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.M	FixedReset	Quote: 21.50 – 23.00 Spot Rate : 1.5000 Average : 0.8798 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 5.49 %
MFC.PR.L	FixedReset	Quote: 20.21 – 21.70 Spot Rate : 1.4900 Average : 0.8853 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 6.13 %
MFC.PR.N	FixedReset	Quote: 20.61 – 21.85 Spot Rate : 1.2400 Average : 0.7370 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.61 Bid-YTW : 5.97 %
IFC.PR.C	FixedReset	Quote: 21.90 – 22.80 Spot Rate : 0.9000 Average : 0.5474 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 5.26 %
ENB.PR.T	FixedReset	Quote: 17.17 – 17.99 Spot Rate : 0.8200 Average : 0.5026 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 5.10 %
HSE.PR.C	FixedReset	Quote: 22.11 – 22.84 Spot Rate : 0.7300 Average : 0.4434 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-10 Maturity Price : 21.74 Evaluated at bid price : 22.11 Bid-YTW : 4.61 %

What causes high tuition? The same thing that drives high house prices, according to David O. Lucca, Taylor Nadauld, and Karen Shen of the New York Fed:

When students fund their education through loans, changes in student borrowing and tuition are interlinked. Higher tuition costs raise loan demand, but loan supply also affects equilibrium tuition costs—for example, by relaxing students’ funding constraints. To resolve this simultaneity problem, we exploit detailed student-level financial data and changes in federal student aid programs to identify the impact of increased student loan funding on tuition. We find that institutions more exposed to changes in the subsidized federal loan program increased their tuition disproportionately around these policy changes, with a sizable pass-through effect on tuition of about 65 percent. We also find that Pell Grant aid and the unsubsidized federal loan program have pass-through effects on tuition, although these are economically and statistically not as strong. The subsidized loan effect on tuition is most pronounced for expensive, private institutions that are somewhat, but not among the most, selective.

Bloomberg provides estimates of R&D spending by country for the period 2007-12:

Way to go, Canada! Significantly below the world average while our biggest trading partner is well above the world average! That’s what I call an economic action plan!

The CD Howe Institute has published Mortgage Insurance as a Macroprudential Tool: Dealing with the Risk of a Housing Market Crash in Canad:

Our recommendations:

• • Redesign the government backstop to focus on events that include a severe housing crash along with rising unemployment. The backstop should be organized as a standalone fund that accumulates reserves in advance of a housing crisis up to a target level and has the capacity to borrow against future revenue if needed.
• • The Financial Institutions Supervisory Committee (FISC) should oversee the backstop fund, particularly its pricing policy, accumulation of reserves and target level for reserves.
• • Mortgage insurance backstop should be available only for the residential ownership market.
  
  Click for Big

  I can’t say I’m particularly impressed. To me, the most insidious part of government insurance is the bloating of bank balance sheets as illustrated by their chart above. The reduction of the risk-weight assigned to mortgages when they are government insured has contributed to this bloating, but this effect is not discussed in their paper.

  Separately, they are calling for no BoC rate cuts, with a slow rise to 1.00% (from 0.75%) over the next year, but there are some dissenting doves:

  While the majority of Council members called for the overnight rate target to stay at 0.75 percent next week and in September, four called for the Bank of Canada to cut its target to 0.50 percent next week and hold it there in September. By January 2016, five members called for 0.75 percent and three for 0.50 percent, while three called for an increase to 1.00 percent. By July 2016, three members called for 0.75 percent and one for 0.50 percent, with the majority of members calling for an increase (four looking for 1.00 percent and three for 1.25 percent).

  The split between members favouring no change and those favouring a cut, and the gradual pace of increases envisioned even by those favouring rate hikes over the coming year, reflected disappointment about recent Canadian growth, and concern that the disinflationary output gap in the Canadian economy will take time to close. Several members commented on divergent indicators, and although Labour Force Survey measures of employment growth are inevitably volatile, more than one member suggested that Friday’s employment figures should affect the Bank’s interest-rate decision.

  Meanwhile the IMF has cut growth projections:

  In its quarterly World Economic Outlook update released Thursday morning, the IMF forecast that Canada’s real gross domestic product would grow just 1.5 per cent this year, down sharply from 2.2 per cent in its April outlook. It’s the third successive quarter that the global financial body has reduced its 2015 forecast for Canada, and by far its most drastic reduction – reflecting mounting evidence that the Canadian economy dramatically underperformed expectations in the second quarter of the year.

  Thomson Reuters Corporation, proud issuer of TRI.PR.B, was confirmed at Pfd-3(high) by DBRS:

  DBRS Limited (DBRS) has confirmed Thomson Reuters Corporation’s (Thomson Reuters or the Company) Issuer Rating as well as its Unsecured Medium-Term Notes and Unsecured Debentures ratings at BBB (high). DBRS has also confirmed Thomson Reuters’ Commercial Paper rating at R-2 (high) and its Preferred Shares rating at Pfd-3 (high). All trends are Stable. The ratings continue to reflect the Company’s well-entrenched market position, the diverse nature of its customer base and its strong free cash flow-generating capacity. The rating confirmations also consider intensifying competition, the need for constant innovation and the risks associated with the Company’s ongoing acquisitions and divestitures.
  …
  Going forward, DBRS expects that revenue growth will be flat in 2015 as continued weakness in the Financial & Risk segment is likely to offset modest growth across all other divisions. DBRS expects the Company to complete its legacy product and platform migrations in 2015 that are likely to position Financial & Risk to return to a positive growth path in 2016. EBITDA margins are expected to be constrained (around 27%) in 2015 as the Company’s revenue growth from migration of key products and platforms in Financial & Risk is likely to be temporarily curbed by the pricing dynamics of new offerings.

  As recorded in the publication The Dreadful Story of the Preferred Share Market, there was once an investor who hoped the market would be on fire today:

  
  Click for Big

  Editor’s Note: This story is adapted from The Dreadful Story of the Matches, part of the excellent StruwwelPeter; a collection of cautionary tales for children.

  Managing Editor’s Note: If you liked “The Producers” or other such mockery, you will also enjoy StruwwelHitler, which is not available on-line but can be purchased from Amazon. It’s hilarious 1940 British propaganda.

  Publisher’s note: Hitler and Nazism should be mocked more often. I often think we’re doing ourselves a disservice by demonizing Hitler, for all that he’s the top western candidate from the twentieth century. By demonizing him, we’re separating ourselves from him and we would do better to remember that he was, at bottom, just another politician; one who was able to expose and exploit the demon that resides in all of us to some extent. Golding got it right in Lord of the Flies; but of course there are relatively few people alive today who knew him mainly from newsreels and newspapers of the thirties.

  President’s note: All of this moral philosophy is a whole lot more fun than looking at the preferred share market’s returns, I assure you!

  The Canadian preferred share market got whacked again today, with PerpetualDiscounts down 137bp, FixedResets losing 175bp and DeemedRetractibles off 35bp. Floaters got destroyed – for those who are keeping track, this means that total return since January 6, 2010 has been negative, although there’s a long way to go yet before we hit the depths of the Credit Crunch. As one might guess, the Performance Highlights table is enormous, with five issues losing over 5% on the day – a figure that is normally indicative of a reporting or quotation problem, as opposed to a market problem. Volume was extremely high.

  Who knows how much longer this will last? The market was reasonably firm in the afternoon after a precipitous morning decline, as shown by the chart of CPD for the day:

  
  Click for Big

  … but now I suspect that people are selling simply because the market has gone down. With long corporates still yielding about 3.95%, the Seniority Spread is at about 300bp, which makes PerpetualDiscounts look cheap … and yet TD came out with a new issue today!

  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:

  
  Click for Big

  TRP.PR.B, which resets 2020-6-30 at +128, is bid at 14.56 to be $0.36 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.50 cheap at its bid price of 15.55.

  
  Click for Big

  Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

  Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 17.00 to be $0.94 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 20.50 to be $0.94 cheap.

  
  Click for Big

  The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 19.96 to be $0.92 cheap. BAM.PR.X, resetting at +180bp 2017-6-30 is bid at 16.47 and appears to be $0.76 rich.

  
  Click for Big

  FTS.PR.K, with a spread of +205bp, and bid at 21.24, looks $0.48 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 22.40 and is $0.44 cheap.

  Note that there has been a very sharp rise in calculated implied volatility lately; that is that the lower-spread issues strongly outperformed their higher-spread siblings. The current calculated level of implied volatility is currently unreasonably high; reversion to a lower level will imply underperformance of the lower-spread issues.

  
  Click for Big

  I’ve had to change the scale on the chart since so many of the break-even rates went negative today!

  Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.02% (which seems a little extreme!). On the junk side, one of the six pairs is an outlier, with an implied rate exceeding 1.00%.

  
  Click for Big

  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	0.00 %	0.00 %	0	0.00	0	-6.9710 %	1,961.7
  FixedFloater	0.00 %	0.00 %	0	0.00	0	-6.9710 %	3,429.9
  Floater	3.95 %	3.98 %	59,130	17.50	3	-6.9710 %	2,085.4
  OpRet	0.00 %	0.00 %	0	0.00	0	0.4324 %	2,760.7
  SplitShare	4.61 %	4.90 %	68,816	3.22	3	0.4324 %	3,235.4
  Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.4324 %	2,524.4
  Perpetual-Premium	5.51 %	3.74 %	66,320	0.08	13	-0.2673 %	2,513.4
  Perpetual-Discount	5.42 %	5.35 %	92,475	14.84	21	-1.3662 %	2,643.0
  FixedReset	4.70 %	3.82 %	219,660	16.10	88	-1.7469 %	2,238.3
  Deemed-Retractible	5.02 %	3.68 %	106,150	0.79	34	-0.3477 %	2,623.0
  FloatingReset	2.53 %	3.18 %	56,355	6.07	10	-1.3034 %	2,278.2

  Performance Highlights
  Issue	Index	Change	Notes
  BAM.PR.B	Floater	-7.25 %	This is reasonably accurate; the low for the day was equal to the close at 12.95, with most of the last twenty-five trades being a few pennies above 13.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 12.79 Evaluated at bid price : 12.79 Bid-YTW : 3.92 %
  BAM.PR.C	Floater	-7.06 %	This is also reasonable, as late-afternoon weakness took almost all of the last twenty-five trades of the day to or below 12.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 4.01 %
  BAM.PR.K	Floater	-6.59 %	Reasonable, given that the low was also the close for the day at 12.82, although there were few trades in the afternoon when the price of Floaters (see above) simply collapsed. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 12.61 Evaluated at bid price : 12.61 Bid-YTW : 3.98 %
  NA.PR.S	FixedReset	-5.46 %	Nothing wrong with the closing bid of 21.98; a lot of trades in the late afternoon were well below this figure, with a low for the day of 21.76. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.68 Evaluated at bid price : 21.98 Bid-YTW : 3.76 %
  ENB.PR.N	FixedReset	-5.42 %	Yep, there were lots of trades in the last two minutes near the closing bid of 17.45, and the low for the day was 17.22. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 5.12 %
  ENB.PR.P	FixedReset	-4.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.10 %
  TD.PF.A	FixedReset	-4.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 3.80 %
  NA.PR.W	FixedReset	-4.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 3.82 %
  MFC.PR.K	FixedReset	-4.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 5.82 %
  ENB.PR.Y	FixedReset	-4.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.10 %
  BAM.PR.M	Perpetual-Discount	-4.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.02 %
  BAM.PF.E	FixedReset	-4.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 4.28 %
  RY.PR.Z	FixedReset	-4.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.38 Evaluated at bid price : 21.69 Bid-YTW : 3.67 %
  MFC.PR.J	FixedReset	-4.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 4.44 %
  BAM.PF.D	Perpetual-Discount	-4.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 6.01 %
  CU.PR.E	Perpetual-Discount	-3.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.78 Evaluated at bid price : 23.11 Bid-YTW : 5.35 %
  RY.PR.H	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 3.81 %
  BAM.PR.N	Perpetual-Discount	-3.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.99 %
  BAM.PF.C	Perpetual-Discount	-3.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 6.03 %
  CU.PR.D	Perpetual-Discount	-3.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.81 Evaluated at bid price : 23.14 Bid-YTW : 5.35 %
  ENB.PR.T	FixedReset	-3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 5.06 %
  VNR.PR.A	FixedReset	-3.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.66 Evaluated at bid price : 22.10 Bid-YTW : 4.12 %
  BAM.PF.B	FixedReset	-3.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 19.96 Evaluated at bid price : 19.96 Bid-YTW : 4.49 %
  BAM.PF.G	FixedReset	-3.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.91 Evaluated at bid price : 22.39 Bid-YTW : 4.27 %
  BAM.PR.R	FixedReset	-3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 4.41 %
  HSE.PR.E	FixedReset	-3.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.39 Evaluated at bid price : 23.17 Bid-YTW : 4.70 %
  TRP.PR.A	FixedReset	-3.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 18.94 Evaluated at bid price : 18.94 Bid-YTW : 3.74 %
  TD.PF.E	FixedReset	-3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.81 Evaluated at bid price : 24.11 Bid-YTW : 3.69 %
  BAM.PR.X	FixedReset	-3.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 16.47 Evaluated at bid price : 16.47 Bid-YTW : 4.22 %
  PWF.PR.P	FixedReset	-3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 3.50 %
  TD.PF.B	FixedReset	-3.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 3.76 %
  TRP.PR.F	FloatingReset	-3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 3.40 %
  HSE.PR.C	FixedReset	-2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.07 Evaluated at bid price : 22.61 Bid-YTW : 4.46 %
  IFC.PR.A	FixedReset	-2.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.49 %
  ENB.PR.H	FixedReset	-2.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 4.97 %
  ENB.PR.F	FixedReset	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.13 %
  ENB.PF.C	FixedReset	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 18.19 Evaluated at bid price : 18.19 Bid-YTW : 5.10 %
  SLF.PR.H	FixedReset	-2.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 5.79 %
  MFC.PR.M	FixedReset	-2.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.48 Bid-YTW : 5.48 %
  ENB.PF.E	FixedReset	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 5.10 %
  SLF.PR.I	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.03 Bid-YTW : 4.16 %
  BNS.PR.D	FloatingReset	-2.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.06 Bid-YTW : 3.48 %
  IAG.PR.G	FixedReset	-2.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 4.15 %
  BAM.PR.T	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.25 %
  TD.PF.C	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.09 Evaluated at bid price : 21.09 Bid-YTW : 3.77 %
  IFC.PR.C	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.02 Bid-YTW : 5.15 %
  ENB.PR.D	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 4.99 %
  BMO.PR.T	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.32 Evaluated at bid price : 21.32 Bid-YTW : 3.78 %
  SLF.PR.C	Deemed-Retractible	-2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 6.00 %
  ENB.PF.A	FixedReset	-2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 5.09 %
  CM.PR.Q	FixedReset	-2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.86 Evaluated at bid price : 24.20 Bid-YTW : 3.58 %
  MFC.PR.L	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.02 Bid-YTW : 5.59 %
  BNS.PR.B	FloatingReset	-1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.19 Bid-YTW : 3.37 %
  BAM.PF.F	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.21 Evaluated at bid price : 22.80 Bid-YTW : 4.16 %
  ENB.PF.G	FixedReset	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 18.44 Evaluated at bid price : 18.44 Bid-YTW : 5.10 %
  GWO.PR.I	Deemed-Retractible	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 5.77 %
  TRP.PR.G	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.88 Evaluated at bid price : 24.30 Bid-YTW : 3.78 %
  MFC.PR.G	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 3.95 %
  PWF.PR.T	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.93 Evaluated at bid price : 24.07 Bid-YTW : 3.35 %
  TRP.PR.C	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 3.76 %
  BMO.PR.S	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.62 Evaluated at bid price : 21.90 Bid-YTW : 3.75 %
  SLF.PR.B	Deemed-Retractible	-1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.53 Bid-YTW : 5.65 %
  SLF.PR.E	Deemed-Retractible	-1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 5.84 %
  HSE.PR.A	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 4.17 %
  BMO.PR.W	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 3.79 %
  BAM.PF.A	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.73 Evaluated at bid price : 22.00 Bid-YTW : 4.33 %
  SLF.PR.D	Deemed-Retractible	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.31 Bid-YTW : 5.99 %
  TD.PR.Z	FloatingReset	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.45 Bid-YTW : 3.16 %
  PWF.PR.L	Perpetual-Discount	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 24.21 Evaluated at bid price : 24.50 Bid-YTW : 5.20 %
  CM.PR.O	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.41 Evaluated at bid price : 21.74 Bid-YTW : 3.72 %
  SLF.PR.G	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 7.32 %
  PWF.PR.R	Perpetual-Premium	-1.13 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-30 Maturity Price : 25.25 Evaluated at bid price : 25.46 Bid-YTW : 5.20 %
  MFC.PR.H	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 3.52 %
  CU.PR.F	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.67 Evaluated at bid price : 22.00 Bid-YTW : 5.16 %
  RY.PR.K	FloatingReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.93 Bid-YTW : 3.17 %
  BNS.PR.A	FloatingReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.95 Bid-YTW : 3.18 %
  BNS.PR.Y	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.26 Bid-YTW : 3.69 %
  BMO.PR.R	FloatingReset	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 3.12 %
  RY.PR.J	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.85 Evaluated at bid price : 24.15 Bid-YTW : 3.59 %
  PVS.PR.B	SplitShare	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.77 Bid-YTW : 4.78 %
  HSE.PR.G	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.84 Evaluated at bid price : 24.15 Bid-YTW : 4.47 %
  GWO.PR.N	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.70 Bid-YTW : 7.03 %
  FTS.PR.M	FixedReset	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.94 Evaluated at bid price : 22.40 Bid-YTW : 3.83 %

  Volume Highlights
  Issue	Index	Shares Traded	Notes
  BMO.PR.S	FixedReset	223,171	RBC crossed six blocks totalling 145,200 shares, all at 21.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.62 Evaluated at bid price : 21.90 Bid-YTW : 3.75 %
  TD.PF.D	FixedReset	146,020	Desjardins crossed 29,700 at 24.10; RBC crossed blocks of 50,000 and 25,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.77 Evaluated at bid price : 24.00 Bid-YTW : 3.62 %
  TRP.PR.D	FixedReset	131,131	RBC Crossed three blocks of 25,000 each, all at 21.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 3.88 %
  FTS.PR.M	FixedReset	82,714	RBC crossed blocks of 23,800 at 24,500, both at 22.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.94 Evaluated at bid price : 22.40 Bid-YTW : 3.83 %
  CM.PR.O	FixedReset	79,049	RBC crossed 46,700 at 21.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.41 Evaluated at bid price : 21.74 Bid-YTW : 3.72 %
  RY.PR.Z	FixedReset	70,757	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 21.38 Evaluated at bid price : 21.69 Bid-YTW : 3.67 %
  There were 70 other index-included issues trading in excess of 10,000 shares.

  Wide Spread Highlights
  Issue	Index	Quote Data and Yield Notes
  MFC.PR.K	FixedReset	Quote: 20.50 – 22.64 Spot Rate : 2.1400 Average : 1.2800 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 5.82 %
  SLF.PR.I	FixedReset	Quote: 24.03 – 24.90 Spot Rate : 0.8700 Average : 0.5897 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.03 Bid-YTW : 4.16 %
  TRP.PR.F	FloatingReset	Quote: 18.04 – 18.82 Spot Rate : 0.7800 Average : 0.5253 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 3.40 %
  PWF.PR.P	FixedReset	Quote: 17.13 – 17.70 Spot Rate : 0.5700 Average : 0.3623 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 3.50 %
  SLF.PR.H	FixedReset	Quote: 20.10 – 20.75 Spot Rate : 0.6500 Average : 0.4463 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 5.79 %
  RY.PR.J	FixedReset	Quote: 24.15 – 24.75 Spot Rate : 0.6000 Average : 0.4000 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-09 Maturity Price : 22.85 Evaluated at bid price : 24.15 Bid-YTW : 3.59 %

The NYSE was not open for much of the day:

A computer malfunction that knocked out trading at the New York Stock Exchange for more than three hours Wednesday probably stemmed from a software update that went awry, said two people briefed on a preliminary review.

The NYSE must now verify the cause and report its conclusions to the U.S. Securities and Exchange Commission, said the people who asked not to be named because the inquiry isn’t public. The SEC will use those findings to investigate whether any rule violations occurred, the people said.

Fortunately, the accidentally distributed architecture of US equity trading saved the day:

While often the focus of criticism, the fragmented nature of the U.S. equity market helped shares keep trading on NYSE competitors such as Nasdaq OMX Group Inc. and Bats Global Markets Inc. No single market handles more than 16 percent of overall volume. Farley used this as part of his decision-making today.

“My first concern was, do no harm during the day — those stocks continue to trade elsewhere — get the problem fixed and get it back up and running for the close,” he said. The exchange also chose not to shift operations to its disaster recovery center because that would’ve required customers to connect to that venue, [NYSE President Tom] Farley said.

“We chose the least disruptive option for customers,” he said.

Fortunately, the inherent robustness of distributed architecture has been noted:

The New York Stock Exchange halted trading for 3 1/2 hours because of a computer malfunction, forcing traders to route orders elsewhere in a drama that also highlighted the resilience of U.S. market structure.

The suspension, lasting from 11:32 a.m. to just after 3 p.m. New York time, dropped the largest U.S. share platform out of the network of trading systems that make up the American equity market. That network kept running, however, as exchanges such as the Nasdaq Stock Market and Bats Global Markets Inc. picked up the runoff.

“That’s one of the things to ponder from this, to see the robustness of how the system works when you knock out one critical component,” said Thomas Caldwell, chairman of Caldwell Securities Ltd. in Toronto. “We do have more than one exchange, and that means that if the major market is closed, the orders typically get rerouted to others.”

However, I do not expect the regulators to take any account of this lesson when considering bank holdings of other banks’ paper and central clearing; they will continue their headlong accentuation of vulnerability to single-point-failure because, you know, regulators are pretty damn stupid. And with a distributed system they have to send out more resumes when they seek to leave government employment.

Speaking of stupid policies, how about those electricity rates, eh?:

Soaring electricity rates in Ontario are threatening industries and businesses across the province, with one in 20 reporting they expect to shut down in the next five years, according to a major study by the Ontario Chamber of Commerce (OCC).

Businesses can’t grow, make improvements or investments or even hire new workers because of the increasing rates, which are among the highest in the country and expected to continue to rise over the next 20 years, says the report, Empowering Ontario: Constraining Costs & Staying Competitive in the Electricity Sector, released Wednesday.
…
Jamey Heaton employs 21 people at his North Bay business, Bavarian Link Meat Products Ltd., which he has owned for three years. They produce and sell premium deli meats, sausages, smoked items, specialty bacon and meat snacks.

His electricity costs are more than $110,000 a year – the second-largest cost after salaries. He calls the high electricity prices a “huge burden.”

He says the rates have “slowed our expansion.” “If we spent 50 per cent less, I would invest the $50,000 in new equipment, which would lead to new jobs,” he says. “We have already grown by 25 per cent a year every year over the last three years and could grow more if there were additional funds.”

To keep costs down, he says, they cook mostly with natural gas, but he still has to rely on electricity as the 15,000-square-foot plant is refrigerated.

“We also, as industrial consumers, don’t benefit from time-of-day usage, whereas, if you’re a consumer, you get that time-of-day usage,” he says. “I can switch some of my production to do things at nighttime but there is no advantage for me to do it.”

He wonders why he can’t take advantage of the lower costs.

But China wins the prize:

China’s securities regulator banned major shareholders, corporate executives and directors from selling stakes in listed companies for six months, its latest effort to stop the nation’s $3.5 trillion stock-market rout.

Investors with stakes exceeding 5 percent must maintain their positions, the China Securities Regulatory Commission said in a statement. The rule is intended to guard capital-market stability amid an “unreasonable plunge” in share prices, the CSRC said.

While China has already ordered government-owned institutions to maintain or boost their stock holdings, the CSRC’s directive expands the ban on sales to non-state companies and potentially foreign investors who own major stakes in mainland businesses.
…
Chinese authorities have also suspended initial public offerings, restricted bearish bets via stock-index futures and encouraged financial firms to buy shares. In perhaps the most dramatic effort to prevent investors from selling, local exchanges have allowed at least 1,331 companies to halt trading in their shares.

The new initiative was met with well-deserved scorn:

Templeton Emerging Markets Group calls it an act of “desperation.” UBS Wealth Management labels it “extreme.” And Wells Fargo Funds Management says it just “postpones the inevitable.”

China’s decision to ban major stockholders from selling stakes in listed companies has drawn skepticism from foreign investors. The money managers, with combined assets of almost $4 trillion, say the latest step to stem the country’s equity rout is just another measure to meddle in the market and won’t be enough to restore investors’ confidence.

“It suggests desperation,” Mark Mobius, chairman of Templeton Emerging Markets Group, said by phone. “It actually creates more fear because it shows that they’ve lost control.”
…
“The measure can be effective in the short term because you are not going to allow people to trade,” said Jorge Mariscal, the emerging-markets chief investment officer at UBS Wealth Management, which oversees $1 trillion in invested assets, said by phone. “But they are undermining the credibility on the soundness of the regulatory framework going forward. Things are a little extreme and counter-productive.”

As the record-breaking boom goes bust, President Xi Jinping is intervening in an attempt to prevent the rout from eroding confidence in his leadership. The moves have cast doubt on the Communist Party’s pledge less than two years ago to give market forces a bigger role in the economy, which is part of its largest reform drive since the 1990s.

Fed minutes show the FOMC was worried about this:

Federal Reserve officials in June saw the economy moving toward conditions that would support an interest-rate increase, while also expressing concern about weak consumer spending and risks from China and Greece that have since intensified.

Policy makers “saw economic conditions as continuing to approach those consistent with warranting” tighter monetary policy at some point, according to minutes of their June 16-17 meeting released Wednesday in Washington. All but one “indicated that they would need to see more evidence that economic growth was sufficiently strong.”
…
The minutes of the Federal Open Market Committee showed several officials “mentioned their uncertainty about whether Greece and its official creditors would reach an agreement and about the likely pace of economic growth abroad, particularly in China and other emerging-market economies.”

Separately, Fed Bank of San Francisco President John Williams Wednesday maintained his call for two rate increases this year.

“We will get greater clarity, hopefully, on what’s happening in Greece and the euro area,” by September, Williams, a voting member of the FOMC this year, told reporters after a speech in Los Angeles.

In the Canadian markets were affected by a slow pace of construction:

Canadian building permits fell more than economists forecast in May, with declines across all major types of projects from hospitals to condominiums and industrial sites.

The value of municipal permits fell 14.5 percent to C$6.7 billion ($5.27 billion), giving back part of the gains recorded over the prior two months, Statistics Canada said Wednesday in Ottawa. Economists forecast a 5 percent fall according to the median of 11 responses to a Bloomberg survey.

and there were calls for a policy rate cut:

Bank of Montreal’s Doug Porter and Royal Bank of Canada’s Mark Chandler joined a growing list of economists calling for Canada’s central bank to cut interest rates next week on signs of a faltering recovery.

Porter and Chandler predicted Wednesday the Bank of Canada will reduce its overnight rate to 0.5 percent at the next decision July 15. They changed their predictions after a report Tuesday showed a drop in non-energy exports pushed Canada’s trade deficit to the second-largest on record.

exacerbated by a flight to Treasuries:

Call it trading places in the financial markets. Treasuries are up for the year and U.S. shares are down — an about face from just a few weeks ago.

After a weeklong rally through Wednesday, the Bloomberg U.S. Treasury Bond Index has now returned 0.7 percent for 2015. That’s a relief for investors in the world’s biggest bond market following three months of losses from April through June. The Standard & Poor’s 500 Index is down 0.6 percent for the year, with the gauge falling from a record in May.

What changed? Greece is struggling to stay in the euro currency union and Chinese shares are plunging, driving demand for the relative safety of U.S. government debt. The Federal Reserve acknowledged the potential risks from overseas crises, boosting speculation it will delay increasing interest rates until next year.

Five year Canada’s dropped to 0.65% compared to 0.82% on July 2.

So according to the preferred share market …

IT’S THE END OF THE WORLD!!!!!

It was an appalling day for the Canadian preferred share market, with PerpetualDiscounts down 46bp, FixedResets losing an incredible 171bp and DeemedRetractibles off 10bp. The Performance Highlights table is as lengthy as one might expect given the overall numbers, dominated by losing FixedResets with ENB issues particularly notable amongst the worst of the losers. Volume was extremely high.

PerpetualDiscounts now yield 5.37%, equivalent to 6.98% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has rocketed up to about 305bp, an immense leap from the 260bp reported June 24.

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.A, which resets 2019-12-31 at +192, is bid at 19.60 to be $0.59 rich, while TRP.PR.D, resetting 2019-4-30 at +238, is $0.57 cheap at its bid price of 21.30.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 17.11 to be $0.64 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.05 to be $0.67 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 18.70 to be $0.88 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 22.07 and appears to be $1.05 rich.

FTS.PR.G, with a spread of +213bp, and bid at 21.53, looks $0.48 expensive and resets 2018-9-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 22.00 and is $0.66 cheap.

Note that there has been a very sharp rise in calculated implied volatility today; that is that the lower-spread issues strongly outperformed their higher-spread siblings. The current calculated level of implied volatility is currently unreasonably high; reversion to a lower level will imply underperformance of the lower-spread issues.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.21%, including the outliers BMO.PR.M / BMO.PR.R at -0.09%, BNS.PR.Q / BNS.PR.B at -0.24% and BNS.PR.R / BNS.PR.C at -0.12%. On the junk side, three of the six pairs are outliers, two pairs with break-even yields above 1.00%, and one below 0.00%.

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	0.00 %	0.00 %	0	0.00	0	-2.9538 %	2,108.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	-2.9538 %	3,687.0
Floater	3.67 %	3.71 %	59,105	18.07	3	-2.9538 %	2,241.7
OpRet	0.00 %	0.00 %	0	0.00	0	-0.7777 %	2,748.8
SplitShare	4.63 %	5.10 %	67,011	3.22	3	-0.7777 %	3,221.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.7777 %	2,513.5
Perpetual-Premium	5.50 %	3.71 %	66,921	0.08	13	0.0185 %	2,520.1
Perpetual-Discount	5.35 %	5.37 %	92,460	14.89	21	-0.4596 %	2,679.6
FixedReset	4.62 %	3.73 %	217,199	16.13	88	-1.7053 %	2,278.1
Deemed-Retractible	5.00 %	3.11 %	107,173	0.79	34	-0.0999 %	2,632.1
FloatingReset	2.49 %	2.99 %	53,571	6.08	10	0.1212 %	2,308.3

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.M	FixedReset	-7.17 %	Very misleading, as the low for the day was 23.01 on volume of 70,503 shares, so this is just more Toronto Stock Exchange nonsense. I have not checked whether this is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.66 Evaluated at bid price : 22.00 Bid-YTW : 3.91 %
ENB.PR.B	FixedReset	-5.07 %	This one, on the other hand, is quite real: the last twenty-five trades of the day (commencing at 3:43pm) were below 16.60 and it touched 16.47 at one point. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 16.47 Evaluated at bid price : 16.47 Bid-YTW : 5.00 %
ENB.PF.A	FixedReset	-4.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.98 %
MFC.PR.M	FixedReset	-4.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 5.14 %
ENB.PF.G	FixedReset	-4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 5.00 %
BMO.PR.W	FixedReset	-4.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.41 Evaluated at bid price : 21.41 Bid-YTW : 3.73 %
ENB.PR.D	FixedReset	-4.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.88 %
ENB.PR.J	FixedReset	-4.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 4.91 %
ENB.PR.F	FixedReset	-4.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 4.98 %
BMO.PR.S	FixedReset	-3.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.87 Evaluated at bid price : 22.25 Bid-YTW : 3.68 %
BAM.PR.T	FixedReset	-3.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 4.16 %
ENB.PF.E	FixedReset	-3.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.98 %
ENB.PR.T	FixedReset	-3.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 4.86 %
BMO.PR.T	FixedReset	-3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.51 Evaluated at bid price : 21.78 Bid-YTW : 3.67 %
ENB.PF.C	FixedReset	-3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.95 %
TD.PF.B	FixedReset	-3.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.59 Evaluated at bid price : 21.87 Bid-YTW : 3.61 %
CM.PR.P	FixedReset	-3.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 3.70 %
MFC.PR.L	FixedReset	-3.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 5.33 %
BIP.PR.A	FixedReset	-3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 22.12 Evaluated at bid price : 22.73 Bid-YTW : 4.80 %
BAM.PR.B	Floater	-3.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 13.79 Evaluated at bid price : 13.79 Bid-YTW : 3.64 %
MFC.PR.N	FixedReset	-3.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.91 Bid-YTW : 5.16 %
CM.PR.O	FixedReset	-3.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.68 Evaluated at bid price : 22.00 Bid-YTW : 3.67 %
ENB.PR.H	FixedReset	-3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 4.82 %
MFC.PR.K	FixedReset	-3.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 5.21 %
BAM.PR.R	FixedReset	-3.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.25 %
TD.PF.C	FixedReset	-3.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 3.68 %
RY.PR.H	FixedReset	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.76 Evaluated at bid price : 22.11 Bid-YTW : 3.63 %
TRP.PR.C	FixedReset	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 3.70 %
BAM.PR.C	Floater	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 13.45 Evaluated at bid price : 13.45 Bid-YTW : 3.73 %
NA.PR.W	FixedReset	-2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 3.61 %
TRP.PR.D	FixedReset	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 3.88 %
ENB.PR.P	FixedReset	-2.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 4.85 %
BAM.PR.K	Floater	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 3.71 %
BNS.PR.Z	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 3.80 %
ENB.PR.N	FixedReset	-2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.83 %
BAM.PR.X	FixedReset	-2.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.08 %
BAM.PF.B	FixedReset	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 4.32 %
PWF.PR.S	Perpetual-Discount	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 23.18 Evaluated at bid price : 23.52 Bid-YTW : 5.09 %
BAM.PF.C	Perpetual-Discount	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.80 %
BAM.PR.N	Perpetual-Discount	-2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.76 %
RY.PR.Z	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 22.18 Evaluated at bid price : 22.71 Bid-YTW : 3.48 %
HSE.PR.G	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 22.73 Evaluated at bid price : 23.90 Bid-YTW : 4.53 %
PVS.PR.B	SplitShare	-2.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 5.10 %
BAM.PF.D	Perpetual-Discount	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 5.76 %
ENB.PR.Y	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.85 %
HSE.PR.E	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 22.79 Evaluated at bid price : 24.00 Bid-YTW : 4.51 %
BAM.PF.A	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.97 Evaluated at bid price : 22.32 Bid-YTW : 4.26 %
TD.PF.A	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.70 Evaluated at bid price : 22.05 Bid-YTW : 3.59 %
TRP.PR.A	FixedReset	-1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 3.61 %
TRP.PR.E	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.37 Evaluated at bid price : 21.68 Bid-YTW : 3.84 %
FTS.PR.K	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 3.63 %
BAM.PR.M	Perpetual-Discount	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.74 %
HSE.PR.C	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 22.47 Evaluated at bid price : 23.30 Bid-YTW : 4.30 %
BNS.PR.Y	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 3.51 %
TRP.PR.B	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 3.53 %
BMO.PR.Q	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 3.37 %
MFC.PR.C	Deemed-Retractible	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.73 Bid-YTW : 5.81 %
IFC.PR.C	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 4.88 %
SLF.PR.A	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.67 Bid-YTW : 5.52 %
MFC.PR.F	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.11 Bid-YTW : 7.02 %
MFC.PR.I	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 3.81 %
BAM.PF.G	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 22.39 Evaluated at bid price : 23.21 Bid-YTW : 4.08 %
SLF.PR.G	FixedReset	1.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.59 Bid-YTW : 7.18 %
TRP.PR.H	FloatingReset	7.17 %	Basically a reversal of yesterday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 3.19 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.N	FixedReset	169,275	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.83 %
BNS.PR.L	Deemed-Retractible	87,850	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-04-27 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 3.11 %
TRP.PR.D	FixedReset	86,567	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 3.88 %
RY.PR.C	Deemed-Retractible	81,469	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-11-24 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 2.91 %
CU.PR.C	FixedReset	72,954	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 23.85 Evaluated at bid price : 24.17 Bid-YTW : 3.35 %
ENB.PR.F	FixedReset	64,324	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 4.98 %
There were 66 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.M	FixedReset	Quote: 22.00 – 23.70 Spot Rate : 1.7000 Average : 1.0370 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.66 Evaluated at bid price : 22.00 Bid-YTW : 3.91 %
RY.PR.H	FixedReset	Quote: 22.11 – 22.85 Spot Rate : 0.7400 Average : 0.4450 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 21.76 Evaluated at bid price : 22.11 Bid-YTW : 3.63 %
BAM.PF.G	FixedReset	Quote: 23.21 – 23.64 Spot Rate : 0.4300 Average : 0.2869 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 22.39 Evaluated at bid price : 23.21 Bid-YTW : 4.08 %
ENB.PR.F	FixedReset	Quote: 17.22 – 17.73 Spot Rate : 0.5100 Average : 0.3695 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 4.98 %
HSE.PR.G	FixedReset	Quote: 23.90 – 24.29 Spot Rate : 0.3900 Average : 0.2501 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-08 Maturity Price : 22.73 Evaluated at bid price : 23.90 Bid-YTW : 4.53 %
GWO.PR.H	Deemed-Retractible	Quote: 23.80 – 24.23 Spot Rate : 0.4300 Average : 0.2903 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 5.55 %

Pressure on the loonie may lead to pressure on Canadian policy rates:

The outlook for the Canadian dollar just got worse.

The currency has slumped to a three-month low amid declining prices for oil, the nation’s largest export. That’s adding to pressure on the Bank of Canada to cut interest rates after a report Tuesday showed the country posted its second-largest trade deficit ever, led by tumbling exports.
…
Twenty-eight percent of economists surveyed by Bloomberg June 30 to July 2 see the Bank of Canada lowering its benchmark rate from 0.75 percent when it meets next week. That up from 6 percent of participants in a survey conducted June 5-10.

Matt Levine complains that front-running is a phrase that is losing all meaning and points out that it is really … selling liquidity:

The people who bought the stock on Tuesday and sold it to the index funds on Friday performed a market-making function: They knew that there would be a lot of concentrated demand for stock on one day, they knew there wouldn’t be enough “natural” supply to meet that demand, and so they spread that demand backwards in time by buying ahead of the big demand event. They — it’s become a dirty phrase by now, but here it is — supplied liquidity. And they got paid for doing it.4 But trading ahead of anticipated demand looks a lot like front-running, for some definition of front-running,5 so they look a little like villains. Even if they actually helped their supposed victims.
…
One of my little stock-market obsessions is that index funds free-ride on the work done by active investors. Someone needs to make decisions that allocate capital to businesses. A world in which everyone indexes, and in which no one thinks that active managers should be able to charge for their services, is a world that will spend too little time and effort on allocating capital to the right businesses.
…
The index funds have the advantage of free-riding, but the disadvantage of being predictable. Stocks should go up when they join an index. That’s the price that the index funds pay to active traders for picking stocks. Stock picking is valuable; active investors pay for it in fees, while passive investors pay for it in, you know, front-running or whatever.

I have often written about a so-called ‘meta-index’ which would include issues on their announcement date, rather than their effective date. Stocks added to indices tend to rise during the interim period, while deletions fall. The purpose of having the intervening time is to smooth the trading through the change, in order to give index funds a better chance of equalling their benchmark; a side effect is that the index itself underperforms its meta-index through this period. And, it would seem, this has finally attracted some notice:

The traders are simply buying stocks before they’re added to the indexes that, by definition, index funds must track.

As the popularity of index investing soars to new heights, the emergence of index front-running is raising fundamental questions about so-called passive investment strategies, as well as how indexes are compiled and the role the funds themselves play in elevating costs. By one estimate, it gouges owners of funds tracking the Standard & Poor’s 500 Index to the tune of $4.3 billion a year, a sum that can double or even triple the cost of such investments.

“Portfolio managers are aware of it, but some of them will say ‘My clients demand an index fund, and I’m going to give it to them come hell or high water,’” Michael Rawson, an analyst at Morningstar Inc., said from Chicago. “Yes, you matched the index return, but the investor is now worse off. You don’t hear about that as much.”
…
Over a course of a year, front-running — of stocks going into and coming out of indexes — costs investors in S&P 500 tracker funds at least 0.2 percentage points, according to research published last year by Winton Capital Management Ltd., a quantitative hedge fund that analyzed data from 1990 to 2011. That’s equal to $4.3 billion in lost income in 2014.

A study in 2008 by Antti Petajisto, now a money manager at BlackRock Inc., estimated the impact could boost the expense of owning an index fund by as much as 0.28 percentage points.
…
Petajisto and Morningstar’s Rawson also suggest passive funds that buy the entire market can minimize the damage of front-running. By owning almost every stock, there’s barely anything for arbitragers to buy first.

Vanguard’s $411 billion Total Stock Market Index Fund is the most prominent example. In the past decade, it has returned 8.2 percent a year, beating the firm’s own S&P 500 tracker fund by 0.4 percentage points, data compiled by Morningstar show.

The Greek situation looks like it’s passed the table-thumping stage and has reached the ‘take it or leave it’ stage:

After five months of drama, false dawns and unpleasant surprises, Europe’s leaders are finally ready to show Alexis Tsipras the exit.

Behind the doors of the Justus Lipsius building in the heart of the political district in Brussels, the euro-region’s leaders rounded on the Greek prime minister for destabilizing the currency union before Germany’s Angela Merkel emerged to deliver an official ultimatum.

In a tense and at times emotional meeting, Tsipras’s European peers told him he’d failed to appreciate the efforts the continent’s voters and taxpayers had made to help the Greek people and blamed him for escalating tensions across the region.

The Chinese have developed a novel method of preventing stock market declines:

A wave of Chinese companies halted trading in their shares and regulators unveiled new measures to prop up the value of small-cap stocks in the latest attempts to stem a rout that’s wiped more than $3.5 trillion of value.

At least 1,249 companies have halted trading on mainland Chinese exchanges, locking up $2.2 trillion of shares, or about 33 percent of China’s market capitalization.

It didn’t help much:

China’s Shanghai Composite Index plunged amid concern a raft of measures to stabilize equities is failing to stop the bear-market rout as traders unwind margin bets at a record pace.

The Shanghai Composite tumbled as much as 8.2 percent, the most since 2007, before paring losses to 4.8 percent to trade at 3,549.92 at 9:56 a.m. local time. There were four gainers among the 1,106 stocks that trade on the benchmark gauge, which has slumped 28 percent since the June peak. PetroChina Co., the biggest stock, tumbled 4.9 percent as nine out of 10 industry gauges dropped at least 4 percent in the CSI 300 Index.

In the latest attempts to stem losses, the government raised margin requirements for CSI 500 Index futures, while the China Securities Finance Corp. will buy more shares of smaller companies. About 43 percent of the stock market is frozen after more than a thousand companies suspended their shares.

It was a violently mixed day for the Canadian preferred share market, with PerpetualDiscounts up 25bp, FixedResets off 53bp and DeemedRetractibles gaining 23bp. Floaters got hammered. The lengthy Performance Highlights table is dominated by losing FixedResets, with a few winning Straights mixed in. Volume was above average.

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.A, which resets 2019-12-31 at +192, is bid at 19.99 to be $0.59 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.47 cheap at its bid price of 16.27.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.60 to be $0.33 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 22.23 to be $0.29 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.31 to be $0.81 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 23.45 and appears to be $0.70 rich.

FTS.PR.G, with a spread of +213bp, and bid at 21.54, looks $0.19 cheap and resets 2018-9-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.34 and is $0.12 rich.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.15%, including the outliers TRP.PR.A / TRP.PR.F at -0.07%, BMO.PR.M / BMO.PR.R at -0.01%, BNS.PR.Q / BNS.PR.B at -0.21% and TRP.PR.B / TRP.PR.H at -0.67% (note that the bid price for TRP.PR.H is silly). On the junk side, three of the six pairs are outliers, two pairs with negative break-even yields, 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	0.00 %	0.00 %	0	0.00	0	-1.8700 %	2,172.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.8700 %	3,799.2
Floater	3.56 %	3.62 %	59,926	18.28	3	-1.8700 %	2,309.9
OpRet	0.00 %	0.00 %	0	0.00	0	0.0537 %	2,770.3
SplitShare	4.59 %	4.96 %	62,085	3.23	3	0.0537 %	3,246.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0537 %	2,533.2
Perpetual-Premium	5.46 %	3.61 %	64,464	0.31	13	0.1298 %	2,519.7
Perpetual-Discount	5.31 %	5.21 %	93,109	14.85	21	0.2454 %	2,691.9
FixedReset	4.54 %	3.58 %	213,378	16.30	88	-0.5323 %	2,317.6
Deemed-Retractible	4.99 %	3.15 %	106,291	0.79	34	0.2349 %	2,634.8
FloatingReset	2.50 %	2.95 %	52,719	6.09	10	-0.6437 %	2,305.5

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.H	FloatingReset	-7.99 %	Very misleading, as the low for the day was 14.35 on volume of 3,140 shares, so this is just more Toronto Stock Exchange nonsense. I have not checked whether this is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 3.42 %
ENB.PF.G	FixedReset	-3.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.77 %
BAM.PR.Z	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.41 Evaluated at bid price : 22.86 Bid-YTW : 4.23 %
TD.PF.A	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.00 Evaluated at bid price : 22.49 Bid-YTW : 3.50 %
MFC.PR.L	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.23 Bid-YTW : 4.87 %
BAM.PR.B	Floater	-2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 14.28 Evaluated at bid price : 14.28 Bid-YTW : 3.51 %
HSE.PR.A	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 15.92 Evaluated at bid price : 15.92 Bid-YTW : 4.07 %
ENB.PR.J	FixedReset	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.69 %
NA.PR.S	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.58 Evaluated at bid price : 23.40 Bid-YTW : 3.48 %
BAM.PR.C	Floater	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 3.62 %
MFC.PR.K	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.23 Bid-YTW : 4.78 %
VNR.PR.A	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.85 Evaluated at bid price : 23.15 Bid-YTW : 3.94 %
PWF.PR.P	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 3.43 %
ENB.PF.E	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.77 %
GWO.PR.N	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.58 Bid-YTW : 7.12 %
BAM.PF.A	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.27 Evaluated at bid price : 22.77 Bid-YTW : 4.16 %
BAM.PR.K	Floater	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 3.62 %
ENB.PR.P	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 4.72 %
BMO.PR.W	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 21.92 Evaluated at bid price : 22.37 Bid-YTW : 3.53 %
ENB.PR.F	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 17.94 Evaluated at bid price : 17.94 Bid-YTW : 4.78 %
BAM.PF.B	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 4.21 %
IFC.PR.C	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 4.73 %
ENB.PF.C	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 4.76 %
TRP.PR.G	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 23.02 Evaluated at bid price : 24.67 Bid-YTW : 3.71 %
BAM.PF.F	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.49 Evaluated at bid price : 23.30 Bid-YTW : 4.05 %
ENB.PR.N	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 4.71 %
BMO.PR.T	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.10 Evaluated at bid price : 22.62 Bid-YTW : 3.51 %
SLF.PR.J	FloatingReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.01 Bid-YTW : 7.21 %
TD.PF.D	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.85 Evaluated at bid price : 24.18 Bid-YTW : 3.58 %
CU.PR.C	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 23.31 Evaluated at bid price : 24.27 Bid-YTW : 3.29 %
ENB.PR.Y	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 17.76 Evaluated at bid price : 17.76 Bid-YTW : 4.75 %
MFC.PR.N	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.68 Bid-YTW : 4.71 %
CM.PR.O	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.19 Evaluated at bid price : 22.75 Bid-YTW : 3.53 %
RY.PR.N	Perpetual-Premium	1.04 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-11-24 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 4.79 %
HSE.PR.C	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.64 Evaluated at bid price : 23.62 Bid-YTW : 4.23 %
PWF.PR.S	Perpetual-Discount	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 23.99 Evaluated at bid price : 24.40 Bid-YTW : 4.98 %
TRP.PR.B	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 14.88 Evaluated at bid price : 14.88 Bid-YTW : 3.49 %
GWO.PR.I	Deemed-Retractible	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 5.52 %
CU.PR.E	Perpetual-Discount	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 23.63 Evaluated at bid price : 24.04 Bid-YTW : 5.14 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.A	FloatingReset	123,950	TD crossed 119,400 at 24.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 2.99 %
ENB.PR.H	FixedReset	78,000	TD crossed two blocks of 35,000 each, both at 16.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 4.66 %
RY.PR.G	Deemed-Retractible	46,951	RBC crossed 41,400 at 25.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-06 Maturity Price : 25.25 Evaluated at bid price : 25.47 Bid-YTW : 0.38 %
TD.PF.E	FixedReset	45,330	Raymond James bought two blocks of 10,000 each from TD, both at 25.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 23.14 Evaluated at bid price : 25.00 Bid-YTW : 3.51 %
CM.PR.Q	FixedReset	40,836	Raymond James bought 13,500 from anonymous at 24.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 23.06 Evaluated at bid price : 24.71 Bid-YTW : 3.48 %
RY.PR.J	FixedReset	38,473	Raymond James bought 16,300 from TD at 24.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 23.03 Evaluated at bid price : 24.60 Bid-YTW : 3.50 %
There were 39 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
SLF.PR.G	FixedReset	Quote: 16.29 – 16.70 Spot Rate : 0.4100 Average : 0.2874 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.29 Bid-YTW : 7.40 %
TRP.PR.E	FixedReset	Quote: 22.08 – 22.68 Spot Rate : 0.6000 Average : 0.4882 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 21.73 Evaluated at bid price : 22.08 Bid-YTW : 3.77 %
TD.PF.A	FixedReset	Quote: 22.49 – 22.85 Spot Rate : 0.3600 Average : 0.2482 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 22.00 Evaluated at bid price : 22.49 Bid-YTW : 3.50 %
BAM.PF.B	FixedReset	Quote: 21.22 – 21.64 Spot Rate : 0.4200 Average : 0.3126 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 4.21 %
PVS.PR.D	SplitShare	Quote: 24.52 – 24.85 Spot Rate : 0.3300 Average : 0.2292 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 4.96 %
TRP.PR.G	FixedReset	Quote: 24.67 – 25.00 Spot Rate : 0.3300 Average : 0.2312 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-07 Maturity Price : 23.02 Evaluated at bid price : 24.67 Bid-YTW : 3.71 %