Category: Market Action

Market Action

September 4, 2015

The Boston Fed published a paper by Eva Liebmann and Joe Peek titled Global Standards for Liquidity Regulation:

Liquidity risk has received increased attention recently, especially in light of the 2007 – 2009 financial crisis, when banks’ extensive reliance on short-term funding, maturity mismatches between assets and liabilities, and insufficient liquidity buffers made them quite susceptible to liquidity risk. To mitigate such risk, the Basel Committee on Banking Supervision (BCBS) introduced an improved global capital framework and new global liquidity standards for banks in December 2010 in the form of the new Basel Accord (Basel III). This brief offers insights from the crisis experience, identifies the problems that the new liquidity regulation aims to address, and summarizes underlying differences between the United States and Europe that may affect the ability to design and implement consistent global standards.

Regrettably, there is only a brief nod to the role of the central banks:

In addition, the U.S. Federal Reserve (like some other central banks) replaced funding normally provided in these money markets by using a mix of traditional and less traditional policy tools, including emergency liquidity facilities. Carlson et al. (2015) argue in this context that liquidity regulations combined with other regulatory tools are important complements to the LOLR tool and are particularly valuable in mitigating moral hazard. While the existence of the LOLR is important during a systemic shock such as the 2007–2009 financial crisis, it is as important to have in place at individual financial institutions liquidity buffers that can be run down in response to an idiosyncratic shock.

The referenced “Carlson et al.” paper is by Mark Carlson, Burcu Duygan-Bump, and William Nelson, titled Why Do We Need Both Liquidity Regulations and a Lender of Last Resort? A Perspective from Federal Reserve Lending during the 2007–09 U.S. Financial Crisis:

During the 2007–09 financial crisis, there were severe reductions in the liquidity of financial markets, runs on the shadow banking system, and destabilizing defaults and near-defaults of major financial institutions. In response, the Federal Reserve, in its role as lender of last resort (LOLR), injected extraordinary amounts of liquidity. In the aftermath, lawmakers and regulators have taken steps to reduce the likelihood that such lending would be required in the future, including the introduction of liquidity regulations. These changes were motivated in part by the argument that central bank lending entails extremely high costs and should be made unnecessary by liquidity regulations. By contrast, some have argued that the loss of liquidity was the result of market failures, and that central banks can solve such failures by lending, making liquidity regulations unnecessary. In this paper, we argue that LOLR lending and liquidity regulations are complementary tools. Liquidity shortfalls can arise for two very different reasons: First, sound institutions can face runs or a deterioration in the liquidity of markets they depend on for funding. Second, solvency concerns can cause creditors to pull away from troubled institutions. Using examples from the recent crisis, we argue that central bank lending is the best response in the former situation, while orderly resolution (by the institution as it gets through the problem on its own or via a controlled failure) is the best response in the second situation. We also contend that liquidity regulations are a necessary tool in both situations: They help ensure that the authorities will have time to assess the nature of the shortfall and arrange the appropriate response, and they provide an incentive for banks to internalize the externalities associated with any liquidity risks.

These authors acknowledge the politicized nature of the regulatory change:

The scale of Federal Reserve intervention in financial markets during the crisis generated considerable controversy, and U.S. lawmakers and regulators subsequently took various steps to reduce the chances of a future financial crisis and to reduce the likelihood that lending by the Federal Reserve would be required in the future even if there were a financial crisis. For example, as part of the Basel III liquidity and capital rules, liquidity regulations were implemented that require banks to maintain more liquid balance sheets. Additionally, to prevent Federal Reserve loans from being used to support failing institutions, the authority of the Federal Reserve to provide emergency liquidity to individual nonbank institutions was eliminated.

Part of the motivation for these regulatory and legal changes was the view that central bank lending was itself a bad thing—that the loans were bailouts of financial institutions that protected them from the consequences of their risky behavior. Within the economic literature, moral hazard is seen as the principle cost associated with central bank lending as it encourages institutions to take on more risk than they would otherwise.3 Some have also criticized this lending on the grounds that it pushed central bank policy into fiscal policy and threatened the independence of the Federal Reserve.4 These concerns have led to proposals by some to eliminate even the remaining emergency authority of the Federal Reserve to lend in “unusual and exigent circumstances.”5

The view that LOLR loans are “bailouts of financial institutions” is indeed common: it is held, for example, by Canadian Centre for Policy Alternatives senior economist David Macdonald:

“At some point during the crisis, three of Canada’s banks — CIBC, BMO, and Scotiabank — were completely under water, with government support exceeding the market value of the company,” Macdonald said.

“Without government supports to fall back on, Canadian banks would have been in serious trouble.”
…
One of the most well-known ways in which policymakers helped the banks during the crisis is through a $69-billion CMHC program whereby the housing agency took mortgages off the balance sheets of big Canadian banks. In contrast with other support facilities, all of the funds granted by the CMHC were through selling assets (in this case mortgages) to the housing agency. They were not funds that had to be paid back.
…
“The federal government claims it was offering the banks ‘liquidity support,’ but it looks an awful lot like a bailout to me,” says Macdonald.
…
“It would have been cheaper to buy every single share in these companies,” Macdonald said.

However, neither I nor any thinking person should be swayed by the screaming of slogan chanters with insufficient economic expertise to differentiate between insolvency and illiquidity. The fact that the Fed paper takes such pig-ignorant ravings into account for public policy purposes detracts from the credibility of the paper.

Getting back to the Fed paper, Assiduous Readers will recall that I subscribe to the classical view:

The literature on the LOLR similarly provides a long range of these alternative views, which are well summarized in Freixas et al. (1999) and Bordo (1990). The classical position, often attributed to Bagehot (1873) and Thornton (1802), is that the LOLR should provide funding freely to illiquid but solvent institutions against high-quality collateral and at a penalty rate to allay a panic. However, the literature is full of papers pointing to the difficulties of distinguishing between liquidity and solvency problems, especially during a crisis, as well as the potential problems with how to define and impose a penalty rate (see, for instance, Goodhart, 1999).

These issues lead, on the one extreme, to the view that the Federal Reserve should only provide liquidity to the market as a whole via open market operations, but not to individual banks, since liquidity would then be allocated to individual, creditworthy banks via the interbank market (see Goodfriend and King, 1988; Bordo, 1990; and Schwartz, 1992 and 1995). On the other extreme is the view that the LOLR will have to assist illiquid and insolvent institutions at times, and that lending should not be at a penalty rate because the elevated rate could worsen the problems of a bank receiving support (see Goodhart, 1985 and 1987; Goodhart and Schoenmaker, 1995). The literature also has a long discussion of the moral hazard consequences as a cost that offsets the benefit of central bank lending as noted in Freixas et al. (1999), though there is also a range of perspectives that point out that the collapse of liquidity is a market failure and the central bank provision of liquidity is a public good. For instance, Holmstrom and Tirole (1998) note that public insurance against aggregate risks should allow firms to undertake more profitable activities with higher social return. Others note that there is no moral hazard as long as central banks provide the liquidity against properly priced collateral (for example, Buiter, 2007) or that moral hazard can be managed by various policies, such as constructive ambiguity (for example, Freixas, 1999) and regulations (for example, Cao and Illing, 2011).

Our paper’s main contribution to the literature is to reconcile these different perspectives by thinking of central bank lending as encompassing two very different types of liquidity demands and using that as a guide to think about the right mix of LOLR and regulatory tools. Moreover, our discussion on the Federal Reserve’s experience during the crisis also illustrates some of the key real-time issues faced by a LOLR that arise during a crisis and the associated limitations of a
LOLR as a policy tool.

I’ll keep reading and keep thinking … but currently I lean towards the view that the liquidity regulations largely exist as a politicized response to criticism from the ignorant and those who cynically manipulate the ignorant to serve their other political interests.

So I’ll take solace in the growing recognition that circuit-breakers do not work as intended. Sadly, the response to ‘rules not working’ appears to be ‘more rules’:

When stocks were halted on Aug. 24, the result caused mayhem for many large ETFs because they became unmoored from their underlying share prices. The result was exaggerated swings in ETF prices, in excess of 40 per cent in some cases.
…
This week, securities officials said they were considering changes to the measures meant to control extreme volatility. “Everything is on the table,” said Steve Crutchfield, head of exchange-traded products at the New York Stock Exchange. In Canada, the Investment Industry Regulatory Organization of Canada recently produced new guidance on stock price thresholds to reduce unexplained volatility. The new guidance is designed to prevent orders from being executed at prices more than 10 per cent different from market prices on ETFs and actively traded stocks.

Meanwhile, the US jobs number was entertainingly ambiguous:

Data today showed U.S. employers added 173,000 workers in August and the jobless rate dropped to 5.1 percent. The gain in payrolls, while less than forecast, followed advances in July and June that were stronger than previously reported. The unemployment rate is the lowest since April 2008. Average hourly earnings climbed more than forecast and workers put in a longer workweek, the report also showed.

The jobs report is the last major data point before the Fed meets later this month on Sept. 16-17 to discuss the timing of its first increase in interest rates in nearly a decade. Investors raised bets on a September liftoff to 30 percent from 26 percent before the jobs data, while that’s still less than the 48 percent odds predicted before China devalued the yuan on Aug. 11.
…
Fed Bank of Richmond President Jeffrey Lacker said the central bank should end the era of record-low interest rates, now that the impacts from winter weather and energy prices have passed. He said labor-market slack has been reduced to pre-recession levels, and shorter-term inflation measures are tracking the U.S. central bank’s 2 percent target.

“It’s time to align our monetary policy with the significant progress we have made,” Lacker said in the text of a speech in Richmond.

The Canadian number was considered encouraging by some:

For months now, Mr. Poloz has been anxiously waiting for lower interest rates, the cheaper dollar and a resurgent U.S. economy to take the sting out of the oil-price collapse.

Mr. Poloz finally got a hint of that in the July trade numbers. Canadian merchandise exports grew 2.3 per cent, paced by double-digit gains in autos and aircraft. That helped shrink the trade deficit to its lowest level since last November.

And on Friday there was more evidence that Canada’s slump was fleeting, and distinctly unrecession-like. The economy generated another 12,000 jobs in August, proving the country’s labour market remains surprisingly resilient. The gains were paced by new full-time and government jobs.

… and less encouraging by others:

The Canadian dollar closed at 75.39 cents (U.S.) on Friday, down 0.40 cents from Thursday.

The loonie was under pressure after a lacklustre Labour Force Survey was released from Statistics Canada. The jobs report shows employment in Canada was little changed in August. Last month, Canada added a mere 12,000 jobs or an increase of 0.1 per cent to the labour force. Despite the increase, national unemployment ticked up 0.2 percentage points to 7.0 per cent, as more people in Canada searched for a job.
…
The loonie was also dragged by lower oil prices. West Texas Intermediate (WTI) crude closed down 70 cents (U.S.) at $46.05 (U.S.).

Markets on both sides of the border will be closed on Monday to mark Labour Day. An announcement from the Bank of Canada on interest rates and a release Wednesday, from Statistics Canada, of key housing starts and building permits data for July could affect the Canadian dollar next week.

R Split III Corp, proud issuer of RBS.PR.B, was confirmed at Pfd-2 by DBRS:

The main form of credit enhancement available to the Preferred Shares is a buffer of downside protection. Downside protection corresponds to the percentage decline in the market value of the Portfolio that must be experienced before the Preferred Shares would be in a loss position. The amount of downside protection available to the Preferred Shares as of August 27, 2015, is 72.3%.

The dividend coverage ratio is approximately 3.1 times. Other key rating factors include the downside protection stability in recent months, the credit quality and concentration of the Portfolio in one asset and the approaching maturity date of the Preferred Shares. Based on these considerations and aforementioned performance metrics, DBRS has confirmed the Pfd-2 rating of the Preferred Shares.

Dividend 15 Split Corp., proud issuer of DFN.PR.A, was confirmed at Pfd-3 by DBRS:

The payment of the Class A Share distributions results in an average annual grind on the Portfolio NAV of approximately 6.2% over the next four years. No monthly distributions to the Class A Shares will be made if the dividends of the Preferred Shares are in arrears or if the NAV of the Company falls below 1.5 times the principal amount of the outstanding Preferred Shares. Furthermore, no special distributions will be made if the NAV of the Company is below $25.

The amount of downside protection available to the Preferred Shares as of August 28, 2015, is 52.1%. The Preferred Share dividend coverage ratio is approximately 1.1 times.

One particular strength of the Portfolio is the consistency of dividend distributions of the underlying companies to date. Some potential areas of concern include the Portfolio concentration in the financial services and insurance industry. In addition, volatility of prices and possible future changes in the dividend policies of the underlying companies in the Portfolio may result in reductions in downside protection and dividend coverage.

Based on these considerations and the aforementioned performance metrics, DBRS confirms the Pfd-3 rating of the Dividend 15 Split Corp. Preferred Shares.

It was another good day for the Canadian preferred share market, with PerpetualDiscounts up 24bp, FixedResets winning 52bp and DeemedRetractibles gaining 4bp. The Performance Highlights table is suitably long. Volume was infinitesimal, as practitioners of the highest paid profession on earth took the day off enjoy the sunshine and complain about the poor service at patio bars.

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.E, which resets 2019-10-30 at +235, is bid at 19.70 to be $0.86 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $0.97 cheap at its bid price of 13.13.

Click for Big

Another good fit today for MFC, with Implied Volatility dropping a bit again today.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 24.18 to be 0.44 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 22.75 to be 0.27 cheap.

Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.40 to be $0.93 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 20.80 and appears to be $0.97 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 18.85, 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 18.45 and is $0.49 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.01%, with no outliers; not only that, but all data points are negative! Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -1.28% and the unregulated issues averaging -0.64%. There are two junk outliers below -1.80% and one above +0.20%.

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	-1.6225 %	1,632.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.6225 %	2,853.5
Floater	4.50 %	4.56 %	58,007	16.22	3	-1.6225 %	1,734.9
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0948 %	2,771.5
SplitShare	4.64 %	5.05 %	65,008	3.10	3	-0.0948 %	3,248.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0948 %	2,534.3
Perpetual-Premium	5.73 %	2.71 %	58,767	0.08	8	-0.0445 %	2,489.0
Perpetual-Discount	5.45 %	5.50 %	74,244	14.61	30	0.2441 %	2,595.3
FixedReset	4.70 %	4.14 %	181,049	16.09	74	0.5248 %	2,161.4
Deemed-Retractible	5.15 %	5.22 %	101,067	5.52	33	0.0379 %	2,577.5
FloatingReset	2.43 %	3.80 %	52,532	5.95	9	0.0487 %	2,174.8

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 10.36 Evaluated at bid price : 10.36 Bid-YTW : 4.62 %
MFC.PR.F	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.75 Bid-YTW : 7.99 %
CU.PR.F	Perpetual-Discount	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 5.47 %
BAM.PR.B	Floater	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 10.66 Evaluated at bid price : 10.66 Bid-YTW : 4.49 %
IFC.PR.A	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.65 Bid-YTW : 8.37 %
HSE.PR.C	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 4.81 %
CU.PR.G	Perpetual-Discount	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 5.43 %
BAM.PF.C	Perpetual-Discount	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 5.77 %
RY.PR.M	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 22.25 Evaluated at bid price : 22.97 Bid-YTW : 3.68 %
RY.PR.Z	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.46 Evaluated at bid price : 21.81 Bid-YTW : 3.58 %
TD.PF.B	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.42 Evaluated at bid price : 21.75 Bid-YTW : 3.63 %
TD.PF.C	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.35 Evaluated at bid price : 21.65 Bid-YTW : 3.64 %
BMO.PR.W	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 3.68 %
RY.PR.H	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.54 Evaluated at bid price : 21.81 Bid-YTW : 3.63 %
VNR.PR.A	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 20.04 Evaluated at bid price : 20.04 Bid-YTW : 4.60 %
NA.PR.W	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 3.81 %
RY.PR.J	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 22.51 Evaluated at bid price : 23.40 Bid-YTW : 3.69 %
BAM.PR.N	Perpetual-Discount	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.68 %
BMO.PR.T	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 3.61 %
CU.PR.C	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 3.76 %
TRP.PR.B	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 12.38 Evaluated at bid price : 12.38 Bid-YTW : 4.13 %
HSE.PR.E	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 22.00 Evaluated at bid price : 22.50 Bid-YTW : 4.81 %
NA.PR.S	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.45 Evaluated at bid price : 21.80 Bid-YTW : 3.79 %
MFC.PR.N	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 5.88 %
BMO.PR.S	FixedReset	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.98 Evaluated at bid price : 22.39 Bid-YTW : 3.59 %
MFC.PR.M	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.06 Bid-YTW : 5.69 %
FTS.PR.F	Perpetual-Discount	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 22.43 Evaluated at bid price : 22.69 Bid-YTW : 5.42 %
BAM.PR.R	FixedReset	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.59 %
FTS.PR.H	FixedReset	2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 3.78 %
TRP.PR.F	FloatingReset	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 3.90 %
CM.PR.P	FixedReset	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 3.72 %
TRP.PR.A	FixedReset	2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 4.14 %
HSE.PR.A	FixedReset	2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 4.44 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.B	Deemed-Retractible	55,869	RBC crossed blocks of 25,000 and 24,800, both at 25.04. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-10-04 Maturity Price : 25.00 Evaluated at bid price : 25.06 Bid-YTW : 3.52 %
PWF.PR.P	FixedReset	55,398	RBC crossed blocks of 32,500 and 13,000, both at 16.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.73 %
BAM.PR.R	FixedReset	41,849	RBC bought 16,800 from Scotia at 16.93. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.59 %
IAG.PR.G	FixedReset	31,657	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.89 Bid-YTW : 4.28 %
MFC.PR.F	FixedReset	30,165	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.75 Bid-YTW : 7.99 %
HSE.PR.A	FixedReset	15,329	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 4.44 %
There were 7 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.A	FixedReset	Quote: 16.65 – 17.80 Spot Rate : 1.1500 Average : 0.6845 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.65 Bid-YTW : 8.37 %
NA.PR.W	FixedReset	Quote: 21.06 – 21.84 Spot Rate : 0.7800 Average : 0.5364 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 3.81 %
RY.PR.J	FixedReset	Quote: 23.40 – 24.00 Spot Rate : 0.6000 Average : 0.3739 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 22.51 Evaluated at bid price : 23.40 Bid-YTW : 3.69 %
HSE.PR.E	FixedReset	Quote: 22.50 – 23.20 Spot Rate : 0.7000 Average : 0.4961 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 22.00 Evaluated at bid price : 22.50 Bid-YTW : 4.81 %
CU.PR.F	Perpetual-Discount	Quote: 20.71 – 21.20 Spot Rate : 0.4900 Average : 0.3122 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 5.47 %
ELF.PR.G	Perpetual-Discount	Quote: 21.40 – 21.93 Spot Rate : 0.5300 Average : 0.3574 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-04 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.64 %

Market Action

September 3, 2015

So, are the oil sands now a white elephant?

The last place oil producers want to be when prices plummet to profit-demolishing lows is midstream on a billion-dollar project in one of the costliest parts of the planet to extract crude.

Yet that’s exactly where half a dozen oil sands operators from Suncor Energy Inc. to Brion Energy Corp. find themselves with prices for Canadian oil now hovering around $30 a barrel. While all around them projects have been postponed or canceled, their investments were judged too far along when the oil game suddenly moved from offense to defense.

These projects will add at least another 500,000 barrels a day — roughly a 25 percent increase from Alberta — to an oversupplied North American market by 2017.
…
A general rule of thumb says new plants require a West Texas Intermediate price of $80 a barrel to break even. Western Canada Select, a blend of heavy Alberta crude, is currently selling at a discount of about $14 a barrel to the WTI benchmark, which closed at $46.75 Thursday in New York.
…
Returns on capital invested by Canada’s largest oil-sands producers reached 20 percent at some points over the past five years, according to data compiled by Bloomberg. That figure is now closer to zero or negative for companies such as Athabasca Oil Co. and Cenovus.

There are two things you can sell in this world: entertainment and things. Don’t sell things:

In most AT&T, Sprint, or T-Mobile stores, it takes a while to find the ZTE phones, buried in the back, past the latest from Apple and Samsung. But they’re there. In AT&T stores it’s the ZTE Maven, which has a screen, speakers, and a processor with capabilities somewhere between the iPhone 5 and 6. As Tony Greco, ZTE’s head of U.S. retail marketing, puts it, “These were state-of-the-art features two years ago.” The Maven’s draw, really, is price. Without any subsidies from a wireless carrier, the phone costs just $60. And it’s not even one of the company’s cheaper models.
…
ZTE is quietly becoming a force in the U.S. by selling good enough phones at low prices—smaller prepaid smartphones for $30, basic phones with QWERTY keyboards for about the same, and so on. The Chinese company’s products are among the cheap phones of choice at three of the big four U.S. carriers. (Verizon doesn’t carry them.) ZTE claimed about 8 percent of America’s smartphone market in the second quarter of this year, says researcher IDC, up from 4.2 percent in the first quarter of 2014. That ranks the company fourth among smartphone makers overall, behind Apple, Samsung, and LG. “We came from nowhere, and now we are a solid force,” says Lixin Cheng, head of ZTE’s U.S. operations.

So the question of the day is: if you pay quintuple price, can you really say you’ve bought a “smart” ‘phone?

Thanks to a new thesaurus, I now have many more words to describe the preferred share market:

Let’s let Rajna Gibson Brandon and Christopher Hemmens from the University of Geneva and the University of St. Gallen’s Mathieu Trepanier explain:

“We find that market irrationality has a signicantly negative effect on subsequent stock market returns — proxied by the S&P 500 and the Dow Jones Industrial Average — and exacerbates stock market volatility,” they write in a new research paper. “The full impact takes time to manifest with small downturns at first culminating in a significant negative impact after three days followed by a weak reversal almost a week later.”

By “market irrationality” they are referring specifically to the types of words appearing in the financial press that, to use some fancy words, may prove to be parlous augers for stock prices. They list 141 words, but some of the favorites around here are “bonkers,” “barbarous,” “berserk,” “daft,” “perverse” and “psycho.” (Yes, a lot of words beginning with “b,” the Greek equivalent of which is “beta.”)

Brompton Split Banc Corp., proud issuer of SBC.PR.A was confirmed at Pfd-3(high) by DBRS:

The main form of credit enhancement available to the Preferred Shares is a buffer of downside protection. Downside protection corresponds to the percentage decline in market value of the Portfolio that must be experienced before the Preferred Shares would be in a loss position. The amount of downside protection available to the Preferred Shares as of August 6, 2015, is 55.8%.

In the past year, the performance of the Company has been stable. Current dividend coverage is 1.65 times. Quarterly Preferred Share and monthly Capital Share distributions have remained unchanged since 2013. Other key rating considerations include the credit quality, volatility and diversification of the Portfolio as well as changes in the dividend policies of the underlying companies in the Portfolio.

Based on the aforementioned considerations and performance metrics, DBRS confirms the Pfd-3 (high) rating of the Preferred Shares issued by Brompton Split Banc Corp.

Canadian Banc Corp., proud issuer of BK.PR.A, was confirmed at Pfd-3(high) by DBRS:

The main form of credit enhancement available to the Preferred Shares is a buffer of downside protection. The amount of downside protection available to the Preferred Shares as of August 26, 2015, is 53.4%. The Preferred Share dividend coverage ratio is approximately 1.18 times.

Although the credit quality of the underlying assets of the Portfolio is strong, the Portfolio is concentrated in the financial services industry. As a result, its value has recently seen a slight deterioration due to the weak performance of common shares of the six Canadian Banks since the beginning of 2015. The floating nature of dividend distributions to Preferred Shares and Class A Shares, although mitigated by predetermined ranges of dividend yields, may potentially increase the volatility of the protection available to holders of the Preferred Shares in a high interest rate environment.

Based on these considerations and aforementioned performance metrics, DBRS confirms the Pfd-3 (high) rating of the Canadian Banc Corp. Preferred Shares.

It was another fine day for the Canadian preferred share market, with PerpetualDiscounts gaining 12bp, FixedResets winning 45bp and DeemedRetractibles up 16bp. The Performance Highlights table is notable for having very few losers today. Volume was very low.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.67 to be $0.93 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $0.83 cheap at its bid price of 13.10.

Click for Big

Another good fit today for MFC, with Implied Volatility dropping a bit again today.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 24.00 to be 0.30 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 19.77 to be 0.31 cheap.

Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.07 to be $1.26 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 20..85 and appears to be $1.02 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 18.80, looks $0.46 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.30 and is $0.50 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.94%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -1.25% and the unregulated issues averaging -0.51%. There is one junk outlier below -1.80% and one above +0.20%.

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	-0.2490 %	1,658.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2490 %	2,900.5
Floater	4.42 %	4.50 %	56,166	16.34	3	-0.2490 %	1,763.5
OpRet	0.00 %	0.00 %	0	0.00	0	0.1221 %	2,774.2
SplitShare	4.64 %	4.87 %	66,031	3.10	3	0.1221 %	3,251.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1221 %	2,536.7
Perpetual-Premium	5.72 %	5.42 %	59,641	2.01	8	0.0594 %	2,490.1
Perpetual-Discount	5.46 %	5.52 %	75,759	14.63	30	0.1244 %	2,589.0
FixedReset	4.73 %	4.20 %	178,014	16.09	74	0.4543 %	2,150.1
Deemed-Retractible	5.15 %	5.08 %	102,708	5.52	33	0.1619 %	2,576.5
FloatingReset	2.43 %	3.80 %	49,700	5.95	9	-0.0216 %	2,173.7

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.F	FloatingReset	-2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 14.16 Evaluated at bid price : 14.16 Bid-YTW : 3.98 %
SLF.PR.H	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 6.55 %
FTS.PR.F	Perpetual-Discount	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.52 %
SLF.PR.C	Deemed-Retractible	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.06 Bid-YTW : 6.73 %
TD.PF.E	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 22.95 Evaluated at bid price : 24.45 Bid-YTW : 3.63 %
BAM.PR.R	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 4.68 %
CM.PR.Q	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 22.45 Evaluated at bid price : 23.30 Bid-YTW : 3.77 %
BAM.PF.C	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.83 %
BMO.PR.Y	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 22.62 Evaluated at bid price : 23.65 Bid-YTW : 3.72 %
SLF.PR.D	Deemed-Retractible	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.90 Bid-YTW : 6.83 %
TRP.PR.B	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 12.21 Evaluated at bid price : 12.21 Bid-YTW : 4.19 %
BAM.PR.M	Perpetual-Discount	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.77 %
NA.PR.S	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 3.89 %
TRP.PR.G	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.35 %
MFC.PR.M	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.70 Bid-YTW : 5.91 %
BAM.PR.T	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 4.59 %
HSE.PR.C	FixedReset	1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 4.75 %
MFC.PR.H	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.51 %
TD.PR.T	FloatingReset	1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 3.53 %
TRP.PR.C	FixedReset	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 4.45 %
BAM.PF.D	Perpetual-Discount	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 5.76 %
HSE.PR.E	FixedReset	2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.76 Evaluated at bid price : 22.15 Bid-YTW : 4.89 %
NA.PR.W	FixedReset	2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 3.85 %
BMO.PR.W	FixedReset	2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 3.72 %
PWF.PR.P	FixedReset	3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.73 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.K	FixedReset	99,506	RBC crossed blocks of 47,200 and 30,000, both at 19.95. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.77 Bid-YTW : 6.24 %
RY.PR.Z	FixedReset	72,000	RBC crossed 50,000 at 21.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.28 Evaluated at bid price : 21.56 Bid-YTW : 3.63 %
BNS.PR.O	Deemed-Retractible	69,410	RBC sold 12,200 to anonymous at 25.62; 10,000 to TD at 25.62, and another 20,000 to TD at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-04-27 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : 4.14 %
IAG.PR.G	FixedReset	55,881	RBC crossed 50,000 at 23.95. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.78 Bid-YTW : 4.34 %
BAM.PF.B	FixedReset	42,250	Desjardins crossed 36,800 at 20.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 20.24 Evaluated at bid price : 20.24 Bid-YTW : 4.44 %
MFC.PR.G	FixedReset	34,467	RBC crossed 30,000 at 22.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.53 Bid-YTW : 5.07 %
There were 18 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
RY.PR.M	FixedReset	Quote: 22.72 – 24.00 Spot Rate : 1.2800 Average : 1.0892 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 22.10 Evaluated at bid price : 22.72 Bid-YTW : 3.73 %
RY.PR.H	FixedReset	Quote: 21.55 – 22.25 Spot Rate : 0.7000 Average : 0.5119 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 3.67 %
TRP.PR.F	FloatingReset	Quote: 14.16 – 15.14 Spot Rate : 0.9800 Average : 0.8062 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 14.16 Evaluated at bid price : 14.16 Bid-YTW : 3.98 %
FTS.PR.F	Perpetual-Discount	Quote: 22.30 – 22.85 Spot Rate : 0.5500 Average : 0.3983 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.52 %
HSE.PR.G	FixedReset	Quote: 22.31 – 22.90 Spot Rate : 0.5900 Average : 0.4392 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 21.86 Evaluated at bid price : 22.31 Bid-YTW : 4.84 %
VNR.PR.A	FixedReset	Quote: 19.80 – 20.37 Spot Rate : 0.5700 Average : 0.4658 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-03 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.66 %

Market Action

September 2, 2015

Here’s a sign of the times from Pengrowth:

Pengrowth’s (TSX:PGF)(NYSE:PGH) Board of Directors has approved a change to the Company’s dividend policy, moving to a quarterly payment at a rate of $0.01 per share per quarter ($0.04 per share annually), as a result of the continued weakness in commodity prices. With the macro environment continuing to deteriorate and given the outlook for a prolonged weakness in commodity prices, the Company believes that it is prudent to preserve capital and accelerate its efforts to reduce overall indebtedness.

The new dividend policy will take effect following the payment of the $0.02 per share dividend payable on September 15, 2015 with the first quarterly payment expected to be paid on December 15, 2015.
…
Pengrowth remains committed to taking actions to ensure the Company lives within its cash flow and looking at all options to reduce its overall indebtedness. Today’s dividend reduction is consistent with all of the measures the Company has taken in 2015 to counter the impact of falling prices and preserve its financial liquidity.

These measures include:

•A 78 percent reduction in anticipated 2015 capital spending compared to 2014.
•Targeted non-core asset sales of $600 million in 2015.
•Continued focus on capital cost reductions, resulting in a 20 to 25 percent reduction for most types of services.
•Ongoing staffing re-alignments with a seven percent reduction in head office full-time staff in the last nine months.
•Commitment to ongoing hedging efforts to protect future cash flows and capital programs.

In the absence of stronger commodity prices, Pengrowth would expect 2016 capital spending to be under $100 million.

And here’s another sign of the times from Rob Carrick:

If you think the stock market has been nasty lately, you should check out what preferred shares have gone through.

It’s a slaughter, really. These supposedly low-risk widow-and-orphan stocks are in a bear market that looks much worse than what the broader market has been through. The S&P/TSX composite index was down 11.3 per cent for the 12 months to Aug. 31, while the S&P/TSX preferred share index was down 19.5 per cent. The composite has made 15.5 per cent in total for the five years to Aug. 31, while the pref share index is down about 21 per cent.

Regrettably, the piece states:

What will bring the pref market back this time? Possibly the 5.5 per cent yield now being generated by the preferred share index. At a time when five-year Government of Canada bonds yield 0.75 per cent, that’s quite the value proposition.

The 5.5% yield must be Current Yield; while I consider the conclusion reasonable enough, the use of inapplicable data to support it detracts from the article. It should also be noted that Mr. Carrick’s quoted returns are based on price indices, rather than total return, which makes a bit of a difference! The following table by no means changes the conclusion, but is a bit more precise:

Comparison of ^SPTSX and ^TXPR
Index	1-Year	5-Year Cumulative
Price Indices
^SPTSX	-11.31%	+16.33%
^TXPR	-19.50%	-20.71
Total Return Indices
^SPTSX	-8.28	+34.4%
^TXPR	-15.44%	+1.88%

The IMF brings happy news and analysis:

Global growth in the first half of 2015 was lower than in the second half of 2014, reflecting a further slowdown in emerging economies and a weaker recovery in advanced economies … Financial conditions for emerging economies have tightened … Risks are tilted to the downside, and a simultaneous realization of some of these risks would imply a much weaker outlook.

So what should we do?

Advanced economies should maintain supportive policies. In most advanced economies substantial output gaps and below-target inflation suggest that the monetary stance must stay accommodative. Fiscal policy should remain growth friendly and be anchored in credible medium-term plans. Managing high public debt in a low-growth and low-inflation environment remains a key challenge.

It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 47bp, FixedResets up 33bp and DeemedRetractibles gaining 7bp. Floaters did really well! The Performance Highlights table is its usual extremely lengthy self. Volume was on the low side of average.

PerpetualDiscounts now yield 5.49%, equivalent to 7.14% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread is now about 300bp, a sharp narrowing from the 325bp reported August 26.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.75 to be $1.12 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $1.02 cheap at its bid price of 12.85.

Click for Big

Another good fit today for MFC, with Implied Volatility dropping a bit again today.

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 16.00 to be 0.30 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 19.61 to be 0.37 cheap.

Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.89 to be $1.42 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.60 and appears to be $1.03 rich.

Click for Big

Implied Volatility eased a little today, but there are perils in relying too heavily on a four-point curve.

FTS.PR.K, with a spread of +205bp, and bid at 18.91, looks $0.46 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.39 and is $0.52 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.91%, with no outliers although I had to change the scale of the graph. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -1.30% and the unregulated issues averaging -0.37%. There are two junk outliers below -1.80% and one above +0.20%.

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	2.7502 %	1,663.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	2.7502 %	2,907.8
Floater	4.41 %	4.49 %	56,917	16.36	3	2.7502 %	1,767.9
OpRet	0.00 %	0.00 %	0	0.00	0	0.2311 %	2,770.8
SplitShare	4.64 %	4.95 %	65,834	3.10	3	0.2311 %	3,247.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2311 %	2,533.6
Perpetual-Premium	5.73 %	3.09 %	58,849	0.08	8	0.1240 %	2,488.7
Perpetual-Discount	5.47 %	5.49 %	76,420	14.65	30	0.4722 %	2,585.8
FixedReset	4.75 %	4.21 %	178,396	16.07	74	0.3278 %	2,140.4
Deemed-Retractible	5.16 %	5.08 %	100,744	5.54	33	0.0658 %	2,572.4
FloatingReset	2.43 %	3.83 %	46,075	5.95	9	-0.3451 %	2,174.2

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.M	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 6.10 %
GWO.PR.I	Deemed-Retractible	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.43 Bid-YTW : 6.54 %
HSE.PR.G	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 21.85 Evaluated at bid price : 22.30 Bid-YTW : 4.84 %
TD.PR.T	FloatingReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 3.83 %
MFC.PR.G	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.31 Bid-YTW : 5.20 %
SLF.PR.I	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 5.60 %
BMO.PR.W	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 3.84 %
FTS.PR.H	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 14.74 Evaluated at bid price : 14.74 Bid-YTW : 3.84 %
BNS.PR.C	FloatingReset	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.61 Bid-YTW : 3.89 %
NA.PR.W	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 3.96 %
RY.PR.H	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 3.73 %
BNS.PR.B	FloatingReset	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.56 Bid-YTW : 3.73 %
IAG.PR.G	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.84 Bid-YTW : 4.31 %
SLF.PR.H	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 6.31 %
BAM.PF.C	Perpetual-Discount	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 5.90 %
TD.PF.D	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 22.57 Evaluated at bid price : 23.54 Bid-YTW : 3.72 %
CU.PR.E	Perpetual-Discount	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 22.07 Evaluated at bid price : 22.38 Bid-YTW : 5.49 %
CU.PR.D	Perpetual-Discount	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 22.07 Evaluated at bid price : 22.38 Bid-YTW : 5.49 %
FTS.PR.J	Perpetual-Discount	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 21.78 Evaluated at bid price : 22.12 Bid-YTW : 5.38 %
ENB.PR.A	Perpetual-Discount	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 24.16 Evaluated at bid price : 24.41 Bid-YTW : 5.66 %
FTS.PR.G	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 18.39 Evaluated at bid price : 18.39 Bid-YTW : 4.12 %
BAM.PR.C	Floater	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 10.57 Evaluated at bid price : 10.57 Bid-YTW : 4.53 %
TRP.PR.D	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 4.37 %
MFC.PR.I	FixedReset	1.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 5.01 %
HSE.PR.C	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 4.83 %
BMO.PR.Q	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.37 Bid-YTW : 4.88 %
TRP.PR.E	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.27 %
BAM.PF.D	Perpetual-Discount	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 21.17 Evaluated at bid price : 21.17 Bid-YTW : 5.90 %
MFC.PR.H	FixedReset	2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 4.73 %
RY.PR.M	FixedReset	2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 22.18 Evaluated at bid price : 22.85 Bid-YTW : 3.70 %
BAM.PR.R	FixedReset	2.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 4.73 %
FTS.PR.K	FixedReset	2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 3.98 %
CU.PR.F	Perpetual-Discount	2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.39 %
BAM.PR.K	Floater	2.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 10.67 Evaluated at bid price : 10.67 Bid-YTW : 4.49 %
MFC.PR.J	FixedReset	3.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 5.34 %
BAM.PR.B	Floater	3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 10.89 Evaluated at bid price : 10.89 Bid-YTW : 4.40 %
TRP.PR.F	FloatingReset	4.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 14.57 Evaluated at bid price : 14.57 Bid-YTW : 3.87 %
GWO.PR.N	FixedReset	4.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.45 Bid-YTW : 7.93 %
BIP.PR.A	FixedReset	5.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 22.08 Evaluated at bid price : 22.65 Bid-YTW : 4.76 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.S	FixedReset	85,388	Desjardins crossed 80,000 at 22.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 21.63 Evaluated at bid price : 21.90 Bid-YTW : 3.68 %
MFC.PR.L	FixedReset	75,700	Nesbitt crossed 75,000 at 19.85. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.47 Bid-YTW : 6.54 %
MFC.PR.M	FixedReset	66,200	Nesbitt crossed 60,000 at 20.85. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 6.10 %
RY.PR.L	FixedReset	61,200	Desjardins crossed 60,000 at 25.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.59 Bid-YTW : 3.50 %
BNS.PR.R	FixedReset	58,200	TD crossed 45,400 at 25.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 3.34 %
NA.PR.M	Deemed-Retractible	57,404	Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-10-02 Maturity Price : 25.50 Evaluated at bid price : 25.79 Bid-YTW : -4.34 %
There were 29 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.L	FixedReset	Quote: 19.47 – 21.30 Spot Rate : 1.8300 Average : 1.1618 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.47 Bid-YTW : 6.54 %
MFC.PR.J	FixedReset	Quote: 21.70 – 22.67 Spot Rate : 0.9700 Average : 0.5706 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 5.34 %
RY.PR.M	FixedReset	Quote: 22.85 – 24.00 Spot Rate : 1.1500 Average : 0.8801 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 22.18 Evaluated at bid price : 22.85 Bid-YTW : 3.70 %
BMO.PR.W	FixedReset	Quote: 20.50 – 21.04 Spot Rate : 0.5400 Average : 0.3800 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-02 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 3.84 %
GWO.PR.I	Deemed-Retractible	Quote: 21.43 – 21.89 Spot Rate : 0.4600 Average : 0.3156 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.43 Bid-YTW : 6.54 %
PWF.PR.O	Perpetual-Premium	Quote: 25.43 – 25.84 Spot Rate : 0.4100 Average : 0.2765 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-10-31 Maturity Price : 25.25 Evaluated at bid price : 25.43 Bid-YTW : 5.67 %

Market Action

September 1, 2015

It was kind of an interesting day, with US equities getting smacked:

U.S. stocks joined a worldwide selloff, after equities’ worst month in more than three years, amid continuing concerns that China’s slowdown will weigh on the global economy.
…
The Standard & Poor’s 500 Index slid 3 percent to 1,913.85 at 4 p.m. in New York, the third-worst drop this year. … The Dow Jones Industrial Average sank 469.68 points, or 2.8 percent, to 16,058.35. The Nasdaq Composite Index lost 2.9 percent.
…
Equities dropped in Asia, with the Shanghai Composite Index slumping as much as 4.8 percent, after manufacturing reports pointed to a deepening Chinese economic slowdown.
…
International Monetary Fund Managing Director Christine Lagarde said Tuesday the global expansion outlook is worse than the lender anticipated less than two months ago. “This reflects two forces: a weaker than expected recovery in advanced economies, and a further slowdown in emerging economies, especially in Latin America,” Lagarde said in a speech in Jakarta.

A report today showed U.S. factories expanded in August at the slowest pace since May 2013 as anemic demand from emerging markets such as China translated into leaner factory order books. A measure of exports matched the weakest reading since April 2009. The weak manufacturing data surface ahead of the Federal Reserve’s September policy meeting in which they will debate whether the economy is strong enough to withstand an increase in interest rates in the face of fragile overseas economies.

In somewhat related news, it looks like the deal with Iran will survive not just US Congress, but a very noticeable surge in sponsored content for pro-Israeli groups in my Facebook feed:

President Barack Obama all but wrapped up enough U.S. Senate votes to protect the Iran nuclear deal in Congress as two more Democratic senators said Tuesday they will support the agreement.

The backing from Senators Chris Coons of Delaware and Bob Casey of Pennsylvania brings the president within one vote of the 34 he needs. Eleven Democrats haven’t declared a position, including West Virginia’s Joe Manchin, who said in July he was leaning toward supporting the agreement. An aide has said Manchin remains undecided.

Which is somewhat related because of the effects on the oil market:

The Americas will take the brunt of any cuts in oil production as Iran increases output once international sanctions are lifted, according to a report by A.T. Kearney Inc.’s oil and gas consulting practice in Dubai.

North, South and Central American oil production could fall 1.1 million barrels a day by 2020 because of higher costs as Iran’s output climbs, starting with an increase of 800,000 barrels a day next year, Chicago-based A.T. Kearney said in a report to be issued this week. Brent crude prices are seen trading at $45 to $65 a barrel next year, according to the report. The international benchmark was about $47 a barrel on Tuesday.

So slow economic growth and subdued pricing for oil add up to one thing:

Treasury market analysts are scaling back their forecasts for a selloff as yields show traders expect almost no inflation for the next two years.

Benchmark 10-year yields will hold below 3 percent through September 2016, based on Bloomberg surveys of economists, with the most recent forecasts given the heaviest weightings. In June, the projection was for 3.15 percent.

A bond-market gauge called the break-even rate shows traders expect the average annual rate of inflation to be 0.3 percent over the coming 24 months. The figure has tumbled from more than 1 percent as recently as July. Federal Reserve Bank of Boston President Eric Rosengren said uncertainty over inflation and global growth justifies a modest pace of interest-rate increases, regardless of when the central bank begins.

‘What’s in it for me’, you ask? How about more vacations in Canada?

Canada’s economy shrank again in the second quarter as plunging oil prices triggered a drop in investment, with fresh debate about a recession dealing a blow to Prime Minister Stephen Harper’s bid for re-election.

Gross domestic product declined at a 0.5 percent annualized pace from April to June, Statistics Canada said Tuesday in Ottawa. The agency revised the first-quarter contraction to 0.8 percent from 0.6 percent.

The Group of Seven’s biggest crude oil exporter is struggling as a global commodity slump guts business spending.
…
Canada’s dollar depreciated 0.3 percent to C$1.3173 per U.S. dollar at 11:55 a.m. Toronto time. The currency is down about 12 percent this year. Swaps trading showed the odds of a rate cut next week fell to about 21 percent after Tuesday’s report, down from 24 percent Monday and 36 percent a week ago.

The consecutive GDP declines are milder than any back-to-back contractions since at least 1981, including the last recession in 2009 which saw drops of 3.6 percent and 8.7 percent. The job market also suggests there’s no broad-based slump in the world’s 11th largest economy. The jobless rate of 6.8 percent for July is down from 7 percent a year ago. August labor data is due Sept. 4.

Fortunately, all this gloom is alleviated by more news from the highly entertaining battle between Sprott and the bullion trusts. Sprott recently announced:

the filing of notices of change (the “Notices of Change”) in connection with the offers (together, the “Sprott offers”) by Sprott Asset Management Gold Bid LP and Sprott Asset Management Silver Bid LP to acquire all of the outstanding units of Central GoldTrust (“GTU”) and Silver Bullion Trust (“SBT”), respectively, for units of Sprott Physical Gold Trust and units of Sprott Physical Silver Trust, in each case on a Net Asset Value (“NAV”) to NAV exchange basis.

We can find, after a bit of difficulty, the document on SEDAR, filed under “Silver Bullion Trust Aug 28 2015 17:49:05 ET Notice of change or variation – English PDF 73 K”, a public document that the regulators consider so critical to the efficient and fair functioning of the public markets that they prohibit investor scum and other interested parties from linking to it directly. After accepting the regulators’ terms of use and offering a little prayer of thanksgiving for our transparent capital markets, we find:

The Offeror has (subject to the next two sentences) agreed to pay to each Soliciting Dealer a fee of U.S.$0.0448 for each SBT Unit deposited through such Soliciting Dealer and either: (i) taken-up and paid for by the Offeror under the Offer; or (ii) provided the Merger Transaction is completed, deemed to be withdrawn from the Offer under the Merger Election, based on, among other things, the claims submitted, CDS and DTC participant deposits and the CDS and DTC participant list as at the Expiry Time. The aggregate amount payable with respect to any single beneficial holder of SBT Units will not be less than U.S.$50.00 and not be more than U.S.$1,500.00, provided that no fee will be payable in respect of deposits of less than 1,000 SBT Units per beneficial holder. When SBT Units deposited are beneficially owned by more than one person, only one minimum and maximum amount will be applied. The Offeror may require the Soliciting Dealers to furnish evidence of beneficial ownership satisfactory to the Offeror before payment of such solicitation fees.

Silver Bullion Trust has a NAVPU of USD 8.38 as of September 1, so this payment comes to a little over 50bp on unit value, which is nice work if you can get it. The target has this to say:

The Trustees note the recent announcement by Sprott that they intend to pay financial advisors and brokers to secure tenders to their Offer, a clear indication that the Sprott Offer has thus far been unable to attract sufficient Unitholder support. The Trustees caution Unitholders regarding any advice or recommendations they may receive from their financial advisors or brokers, which may be biased and based on their desire to collect solicitation fees from Sprott. Sprott is paying your broker to convince you to tender. Don’t be talked into tendering!

I continue to scan the news for mention of solicitation fees and new issue commissions being discussed in connection with potential bans on mutual fund trailer commissions, but there’s nothing. The regulators are too busy coming up with new ways to restrict public access to public documents, while self-proclaimed investor advocates concentrate on trying to get their heads out of their asses.

You know what’s good about the internet? This is what’s good about the internet:

Click for Big

In other other news (about chess), Lev Aronian won the 2015 Sinquefield Cup (a ridiculously strong tournament), but the highlights reel has to include So – Nakamura in round 6 and Nakamura – Grischuk in round 9. Fighting chess! Those with a taste for it may wish to watch the Thoresen Chess Engine Competition Season 8, which brings the world’s strongest chess programmes together on some rather high-end hardware.

The Canadian preferred share market commenced the new month on a mixed note, with PerpetualDiscounts gaining 12bp, FixedResets down 6bp and DeemedRetractibles off 2bp. Reported yields for the FixedReset subindex dropped significantly from yesterday due to the mass migration of ENB issues from FixedResets into Scraps due to credit concerns. The Performance Highlights table continues to show a lot of churn amongst the FixedResets. Volume was extremely low.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.40 to be $0.88 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $1.00 cheap at its bid price of 12.75.

Click for Big

Another good fit today for MFC, with Implied Volatility dropping a bit again today.

Most expensive is MFC.PR.M, resetting at +236bp on 2019-12-19, bid at 20.85 to be 0.39 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, is bid at 21.00 to be 0.44 cheap.

Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.51 to be $1.68 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.60 and appears to be $1.15 rich.

Click for Big

Implied Volatility reversed yesterday’s precipitous decline, illustrating the perils of relying too heavily on a four-point curve.

FTS.PR.M, with a spread of +248bp, and bid at 20.65, looks $0.26 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.12 and is $0.60 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.94%, with no outliers. Note that the distribution is bimodal (although less than recently), with NVCC non-compliant bank issues averaging -1.05% and the unregulated issues averaging -0.78%. There are four junk outliers below -1.60% and two above +0.40%.

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	-1.6976 %	1,618.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.6976 %	2,829.9
Floater	4.53 %	4.60 %	57,627	16.15	3	-1.6976 %	1,720.6
OpRet	0.00 %	0.00 %	0	0.00	0	-0.3791 %	2,764.4
SplitShare	4.66 %	5.11 %	60,978	3.11	3	-0.3791 %	3,239.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3791 %	2,527.8
Perpetual-Premium	5.73 %	5.53 %	61,765	0.08	8	-0.0397 %	2,485.6
Perpetual-Discount	5.49 %	5.55 %	76,999	14.56	30	0.1164 %	2,573.6
FixedReset	4.76 %	4.21 %	180,656	16.09	74	-0.0607 %	2,133.4
Deemed-Retractible	5.17 %	5.29 %	98,575	5.52	33	-0.0152 %	2,570.7
FloatingReset	2.42 %	3.58 %	44,365	5.96	9	-0.4563 %	2,181.7

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.E	FixedReset	-3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 5.06 %
FTS.PR.M	FixedReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.14 %
BAM.PR.B	Floater	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.56 %
HSE.PR.C	FixedReset	-2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 4.92 %
TRP.PR.F	FloatingReset	-2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 13.98 Evaluated at bid price : 13.98 Bid-YTW : 4.03 %
BAM.PF.F	FixedReset	-2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 22.10 Evaluated at bid price : 22.61 Bid-YTW : 4.21 %
PWF.PR.P	FixedReset	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 15.47 Evaluated at bid price : 15.47 Bid-YTW : 3.85 %
BMO.PR.Q	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 5.18 %
BAM.PR.X	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 14.76 Evaluated at bid price : 14.76 Bid-YTW : 4.74 %
BAM.PF.A	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 4.43 %
BAM.PR.C	Floater	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 10.41 Evaluated at bid price : 10.41 Bid-YTW : 4.60 %
TRP.PR.G	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 4.39 %
ENB.PR.A	Perpetual-Discount	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 23.75 Evaluated at bid price : 24.06 Bid-YTW : 5.74 %
PVS.PR.D	SplitShare	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 5.22 %
GWO.PR.G	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 6.03 %
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 : 22.71 Bid-YTW : 3.56 %
RY.PR.N	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 24.27 Evaluated at bid price : 24.64 Bid-YTW : 5.06 %
MFC.PR.K	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.58 Bid-YTW : 6.36 %
BAM.PR.R	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.84 %
MFC.PR.G	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.63 Bid-YTW : 5.01 %
PWF.PR.S	Perpetual-Discount	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 22.25 Evaluated at bid price : 22.61 Bid-YTW : 5.35 %
IFC.PR.C	FixedReset	2.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.62 Bid-YTW : 6.08 %
BAM.PF.E	FixedReset	2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.37 %
MFC.PR.M	FixedReset	2.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.85 Bid-YTW : 5.81 %
PWF.PR.L	Perpetual-Discount	2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 23.30 Evaluated at bid price : 23.56 Bid-YTW : 5.46 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.T	FloatingReset	90,200	Nesbitt crossed 70,000 at 22.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.62 Bid-YTW : 3.58 %
PWF.PR.I	Perpetual-Premium	30,100	TD crossed two blocks of 15,000 each, both at 25.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-10-01 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 0.22 %
BAM.PF.C	Perpetual-Discount	21,299	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 5.97 %
PVS.PR.D	SplitShare	18,810	Scotia crossed 10,000 at 24.33. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 5.22 %
TD.PF.A	FixedReset	18,175	TD crossed 11,500 at 21.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 3.72 %
BMO.PR.T	FixedReset	17,120	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 3.68 %
There were 11 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BIP.PR.A	FixedReset	Quote: 21.50 – 25.00 Spot Rate : 3.5000 Average : 1.8989 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.06 %
TRP.PR.F	FloatingReset	Quote: 13.98 – 15.00 Spot Rate : 1.0200 Average : 0.7095 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 13.98 Evaluated at bid price : 13.98 Bid-YTW : 4.03 %
HSE.PR.E	FixedReset	Quote: 21.55 – 22.50 Spot Rate : 0.9500 Average : 0.6500 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 5.06 %
IFC.PR.A	FixedReset	Quote: 16.83 – 17.55 Spot Rate : 0.7200 Average : 0.4259 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.83 Bid-YTW : 8.22 %
PWF.PR.S	Perpetual-Discount	Quote: 22.61 – 23.48 Spot Rate : 0.8700 Average : 0.6252 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 22.25 Evaluated at bid price : 22.61 Bid-YTW : 5.35 %
FTS.PR.J	Perpetual-Discount	Quote: 21.82 – 22.90 Spot Rate : 1.0800 Average : 0.8775 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-01 Maturity Price : 21.48 Evaluated at bid price : 21.82 Bid-YTW : 5.46 %

Market Action

August 31, 2015

“It doesn’t matter whether a cat is white or black, as long as it throws financial guys in jail after a crash“:

China’s brokerages tumbled after Citic Securities Co. executives were detained and people familiar with the matter said the industry was told to contribute another 100 billion yuan ($15.7 billion) to a market rescue fund.

Four executives of Citic including managing directors Xu Gang and Liu Wei, admitted alleged insider trading, the state-run Xinhua News Agency said. The nation’s largest brokerage fell as much as 8.6 percent in Shanghai and slid to the lowest since May 2014 in Hong Kong. A Citic press officer declined to comment.

The China Securities Regulatory Commission ordered the rescue-fund contributions at a meeting with 50 brokerages on Saturday that was attended by CSRC Chairman Xiao Gang, said the people, who asked not to be identified because the meeting hasn’t been made public. The regulator encouraged listed brokerages to buy back shares worth as much as 10 percent of their total market value, the people said.

Central bankers are feeling some angst:

Mario Draghi may have skipped the Federal Reserve’s Jackson Hole symposium this year, but he can’t dodge its conclusion: central banks can’t steer inflation as well as they thought.

Less than six months into a stimulus program that the European Central Bank president promised would revive consumer-price growth, the euro area is facing renewed disinflationary pressure as China’s economy slows and commodity prices slump. Inflation failed to pick up this month, data showed on Monday, and Draghi may have to downgrade the institution’s forecasts on Thursday.

The newest risk to prices highlights how in the 19-nation currency bloc — as in the U.S., the U.K. and other industrialized nations — headline inflation is still far below target even as the economy recovers.
…
At Jackson Hole, academics effectively delivered a beating to central banks’ confidence in their ability to predict and manage their key variable, by pointing out wide gaps in knowledge about how inflation works.

Harvard University’s Gita Gopinath argued that the relationship between prices and exchange rates isn’t well understood. Boston University’s Simon Gilchrist said that strict inflation targeting can worsen economic outcomes.

Worse still, trying to influence inflation while not understanding it is a “recipe for disaster,” according to MIT Sloan School of Management professor Athanasios Orphanides, himself a former ECB Governing Council member.

I knew American universities were venal, but I didn’t know just how venal they could be:

Bank of America’s relationship with the university extends well beyond marketing at sports events. The bank has an $8.4 million, seven-year contract with Michigan State giving it access to students’ names and addresses and use of the university’s logo. The more students who take the banks’ credit cards, the more money the university gets. Under certain circumstances, Michigan State even stands to receive more money if students carry a balance on these cards.
…
The relationships are reminiscent of those uncovered two years ago between student loan companies and universities. In those, some lenders offered universities an incentive to steer potential borrowers their way.

In Friday’s post I mentioned some interesting things that are happening with barcodes and smartphones … these were interesting enough that I did some poking around.

The Global Food Safety Resource published an interesting article titled Food Regulatory Trends in 2015, which included the interesting note:

In December 2014, Guangdong province piloted an e-traceability system for baby formula. Consumers can use a mobile app and scan a barcode to get information about the product including it’s provenance. But it’s unique to Guangdong and doesn’t translate nationally.

The Grower, a specialty newsletter billing itself as ‘Canada’s Premier Horticultural Publication’, published an article titled How a celery swizzle stick meets its bar code in the field, which contains a bit of insight into Canada’s laws regarding food traceability and how this is implemented at the farm level.

GS1 Canada (the worldwide GS1 organization is mentioned in the Reuters article that got me interested) issued a statement titled Update On Loblaw And Wal-Mart GS1 DataBar™ Pilots (the GS1 Databar was used in one of the examples in the article) that stated:

In June 2006, Loblaw Companies Limited (Loblaw) and Wal-Mart Stores inc. (Wal-Mart) selected several suppliers to pilot the GS1 DataBar™ … on apples and bananas …

To date, Loblaw and Wal-Mart have attributed the following business benefits to their DataBar pilots:
•Decreased out-of-stocks
•Improved shrink control
•Enhanced product replenishment
•Increased customer satisfaction at self-checkouts

So on Saturday evening I visited my local Loblaws and looked at the apples and bananas and lo and behold! They all had GS1 Databars on them!

So it may be concluded that all the data is in place for consumer access to provenance information for apples and bananas at Loblaws. All that is needed is a smartphone App that will read and interpret the information and possibly access to Loblaw’s database – I’m not sure how much, if any, of the data is proprietary.

So you can bet that as soon as Loblaws thinks they can make a dollar out the proposition this traceability will be available – at least as far as Loblaw’s apples and bananas are concerned.

However, I’m not holding my breath waiting for the roll-out. As the comments to the Globe’s republished article so convincingly demonstrate, Canadians as a group are both mentally deficient and terrified of anything developed after 1973. But maybe there’s an App Developer out there who might like to steal a march on the big boys …

I was hoping for some definitive news today on the all-but-certain extensions of NPI.PR.A, FFH.PR.G and ALA.PR.A, which reset 2015-9-30, but there’s nothing.

The Canadian preferred share market closed the month with a good strong day, with PerpetualDiscounts gaining 13bp, FixedResets winning 56bp and DeemedRetractibles up 21bp. There is still a lot of churn in the market, as is demonstrated by yet another lengthy Performance Highlights table. Volume was extremely low.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.46 to be $0.82 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $1.00 cheap at its bid price of 12.85.

Click for Big

Another good fit today for MFC, with Implied Volatility dropping a bit again today.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.55 to be 0.48 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 19.37 to be 0.42 cheap.

Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.27 to be $2.00 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 23.15 and appears to be $1.54 rich.

Click for Big

Implied Volatility declined precipitously today, illustrating the perils of relying too heavily on a four-point curve.

FTS.PR.H, with a spread of +145bp, and bid at 14.95, looks $0.50 expensive and resets 2020-6-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.28 and is $0.60 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.68%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.82% and the unregulated issues averaging -0.49%. There are two junk outliers below -1.60% and one two above +0.40%..

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	0.9201 %	1,646.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.9201 %	2,878.8
Floater	4.46 %	4.53 %	58,030	16.29	3	0.9201 %	1,750.3
OpRet	0.00 %	0.00 %	0	0.00	0	0.3260 %	2,774.9
SplitShare	4.64 %	5.01 %	58,636	3.11	3	0.3260 %	3,252.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3260 %	2,537.4
Perpetual-Premium	5.72 %	5.67 %	61,999	14.03	9	0.3319 %	2,486.6
Perpetual-Discount	5.50 %	5.57 %	77,670	14.54	29	0.1270 %	2,570.6
FixedReset	4.95 %	4.35 %	195,597	15.56	87	0.5555 %	2,134.7
Deemed-Retractible	5.17 %	5.26 %	97,775	5.54	34	0.2128 %	2,571.1
FloatingReset	2.36 %	3.51 %	45,996	5.95	9	0.2358 %	2,191.7

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.L	Perpetual-Discount	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 22.63 Evaluated at bid price : 22.88 Bid-YTW : 5.63 %
SLF.PR.I	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.72 Bid-YTW : 5.37 %
BMO.PR.Y	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 22.39 Evaluated at bid price : 23.20 Bid-YTW : 3.81 %
MFC.PR.L	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.33 Bid-YTW : 6.63 %
IFC.PR.C	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.15 Bid-YTW : 6.39 %
PWF.PR.S	Perpetual-Discount	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.88 Evaluated at bid price : 22.16 Bid-YTW : 5.47 %
FTS.PR.G	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 4.15 %
ELF.PR.H	Perpetual-Discount	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 23.57 Evaluated at bid price : 24.02 Bid-YTW : 5.79 %
BMO.PR.K	Deemed-Retractible	1.02 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-09-30 Maturity Price : 25.50 Evaluated at bid price : 25.85 Bid-YTW : -10.17 %
TRP.PR.F	FloatingReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 3.93 %
BMO.PR.W	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 3.79 %
GWO.PR.L	Deemed-Retractible	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 5.65 %
ENB.PF.C	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 5.17 %
ENB.PF.A	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 5.24 %
BAM.PR.N	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.82 %
PWF.PR.T	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 22.72 Evaluated at bid price : 23.59 Bid-YTW : 3.44 %
ENB.PR.J	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 5.11 %
TD.PF.A	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 3.75 %
W.PR.H	Perpetual-Discount	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 24.05 Evaluated at bid price : 24.30 Bid-YTW : 5.74 %
HSE.PR.C	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 4.78 %
W.PR.J	Perpetual-Discount	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 24.06 Evaluated at bid price : 24.32 Bid-YTW : 5.84 %
BAM.PR.B	Floater	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 4.43 %
PVS.PR.D	SplitShare	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 5.01 %
TD.PF.B	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 3.74 %
FTS.PR.F	Perpetual-Discount	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 5.44 %
TRP.PR.C	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 12.85 Evaluated at bid price : 12.85 Bid-YTW : 4.53 %
NA.PR.S	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 3.92 %
NA.PR.W	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 3.90 %
BMO.PR.T	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 3.69 %
BAM.PF.B	FixedReset	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 4.45 %
BAM.PR.X	FixedReset	1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.66 %
RY.PR.K	FloatingReset	2.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.33 Bid-YTW : 3.39 %
ENB.PR.P	FixedReset	2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 5.26 %
HSE.PR.G	FixedReset	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 22.14 Evaluated at bid price : 22.75 Bid-YTW : 4.73 %
FTS.PR.J	Perpetual-Discount	2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.69 Evaluated at bid price : 22.00 Bid-YTW : 5.41 %
ENB.PR.H	FixedReset	2.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 5.16 %
MFC.PR.G	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.29 Bid-YTW : 5.21 %
TRP.PR.G	FixedReset	2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 4.31 %
GWO.PR.S	Deemed-Retractible	2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.31 %
ENB.PR.Y	FixedReset	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 15.91 Evaluated at bid price : 15.91 Bid-YTW : 5.24 %
FTS.PR.M	FixedReset	2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 4.02 %
TRP.PR.A	FixedReset	2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 4.25 %
ENB.PR.F	FixedReset	2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 15.99 Evaluated at bid price : 15.99 Bid-YTW : 5.29 %
ENB.PR.B	FixedReset	3.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 5.36 %
BAM.PF.F	FixedReset	3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 22.42 Evaluated at bid price : 23.15 Bid-YTW : 4.09 %
MFC.PR.N	FixedReset	3.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 5.93 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSB.PR.D	Deemed-Retractible	261,800	Scotia crossed blocks of 50,000 and 210,700, both at 24.95. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 5.26 %
TRP.PR.D	FixedReset	26,010	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 18.83 Evaluated at bid price : 18.83 Bid-YTW : 4.40 %
TD.PF.C	FixedReset	23,150	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 3.73 %
ENB.PR.N	FixedReset	19,420	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 5.31 %
ENB.PF.C	FixedReset	19,180	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 5.17 %
ENB.PR.J	FixedReset	18,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 5.11 %
There were 14 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: 20.25 – 22.30 Spot Rate : 2.0500 Average : 1.2798 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 6.19 %
BAM.PF.G	FixedReset	Quote: 22.70 – 24.12 Spot Rate : 1.4200 Average : 0.8188 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 22.11 Evaluated at bid price : 22.70 Bid-YTW : 4.21 %
BAM.PF.E	FixedReset	Quote: 20.27 – 21.80 Spot Rate : 1.5300 Average : 1.0370 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 4.47 %
RY.PR.M	FixedReset	Quote: 22.40 – 23.85 Spot Rate : 1.4500 Average : 1.0600 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 21.90 Evaluated at bid price : 22.40 Bid-YTW : 3.79 %
TRP.PR.E	FixedReset	Quote: 19.46 – 20.25 Spot Rate : 0.7900 Average : 0.5126 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 19.46 Evaluated at bid price : 19.46 Bid-YTW : 4.33 %
PWF.PR.L	Perpetual-Discount	Quote: 22.88 – 23.65 Spot Rate : 0.7700 Average : 0.5216 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-31 Maturity Price : 22.63 Evaluated at bid price : 22.88 Bid-YTW : 5.63 %

Market Action

August 28, 2015

Strange goings-on in FundLand:

Since July, American households — which account for almost all mutual fund investors — have pulled money both from mutual funds that invest in stocks and those that invest in bonds. It’s the first time since 2008 that both asset classes have recorded back-to-back monthly withdrawals, according to a report by Credit Suisse.

Credit Suisse estimates $6.5 billion left equity funds in July as $8.4 billion was pulled from bond funds, citing weekly data from the Investment Company Institute as of Aug. 19. Those outflows were followed up in the first three weeks of August, when investors withdrew $1.6 billion from stocks and $8.1 billion from bonds, said economist Dana Saporta.

Meanwhile, US incomes are ticking up:

Consumer purchases climbed in July as incomes grew, showing the biggest part of the U.S. economy was off to a good start to the quarter.

The 0.3 percent advance matched the prior month’s gain, a Commerce Department report showed Friday in Washington. The median forecast in a Bloomberg survey of 77 economists called for a 0.4 percent increase. Wages rose by the most this year.
…
Total incomes rose 0.4 percent in July for a fourth month, matching the median forecast in the Bloomberg survey. Wages and salaries increased 0.5 percent, the biggest gain since November.

Because spending increased less than incomes, the saving rate rose to 4.9 percent from 4.7 percent.
…
The report showed inflation remained tame. The price gauge based on the personal consumption expenditures index increased 0.1 percent from the prior month and was up 0.3 percent from a year earlier.

The core price measure, which excludes food and fuel, also rose 0.1 percent from the prior month and was up 1.2 percent from July 2014, the smallest year-to-year gain in four years.

If it doesn’t continue, they’ll blame Canada:

“When Canada hurts, U.S. exporters do, too,” Bricklin Dwyer, an economist at BNP Paribas in New York, wrote in an Aug. 27 note to clients titled “Canada (not China) matters more.”

Economy-watchers and investors have been spooked by fears of a worse-than-expected Chinese slowdown after the nation devalued its currency Aug. 11 in a surprise move. Yet the direct effects on U.S. trade from slowing Chinese growth and the yuan move are probably fairly contained — far more so than the potential fallout from faltering Canadian demand.

Canada counts for 19 percent of total U.S. exports, followed by Mexico at 16 percent, each more than double China’s 7 percent share. And the Canadian dollar is sliding much faster: It has fallen about 12 percent against the U.S. dollar since the start of the year, while China’s yuan has dropped just about 3 percent.

And, too bad for Canada, we have a high domestic sensitivity to FX rate changes:

The central banker’s task of keeping inflation just right has become a permanent tussle with the global currency markets. Too weak a currency equals too rapid price gains. Too strong, and disinflation looms.

That’s the well-worn argument under the microscope Friday at the Jackson Hole Symposium, the U.S. Federal Reserve’s annual policy getaway. Gita Gopinath, a scholar at Harvard University, says that it just isn’t that simple.

“The greater the fraction of a country’s imports invoiced in a foreign currency, the greater its inflation sensitivity to exchange rate fluctuations at both short and long horizons,” she says. Because the dollar is by far the dominant currency in world trade, “U.S. inflation is consequently more insulated from exchange rate shocks, while other countries are highly sensitive to it.”

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The Ukraine has issued GDP warrants:

The warrants included in a debt deal reached between Ukraine and its biggest creditors on Thursday offer bondholders annual payments for 20 years if economic growth crosses certain thresholds, Finance Minister Natalie Jaresko said at a briefing with journalists late on Thursday.

How are payments determined?

•No payment will be made if growth is less than 3 percent
•For growth between 3-4 percent, the payment will be 15 percent of the real GDP growth exceeding 3 percent
•For growth faster than 4 percent, Ukraine will pay holders 40 percent of the expansion beyond 4 percent, in addition to amount for 3-4 percent growth

And today’s technology news is a pending revolution in bar codes:

The most ubiquitous barcodes allow an eight to 14 digit number to be read by a laser scanner. For example, barcode 4-003994-111000 identifies a box as being a 375 gram pack of Kellogg’s Corn Flakes.

However, that number does not directly capture any other information that might interest a shopper – such as ingredients, allergens or country of origin – nor does it provide a retailer with useful details such as the batch number or sell-by date.

That data is usually printed on the pack, but consumers increasingly want to read it online, or with a smartphone app such as one that measures calories. Retailers want data that can be scanned for tasks such as quickly locating faulty goods for recall or about-to-expire products for mark downs.

GS1, the non-profit organization that assigns the unique numbers in barcodes, has developed a double-layered barcode it calls the “data bar” which can carry some extra details such as expiry date, quantity, batch or lot number.

That has allowed German retailer Metro MEOG.DE to launch PRO Trace, a smartphone app that shows, for example, that a filet of salmon on sale at a store in Berlin on Aug. 25 was caught at the Bremnes Seashore fish farm off the coast of Norway on Aug. 17 and processed in Germany on Aug. 21.

The app also displays a map highlighting the fishing area of the catch and a detailed description of the Atlantic salmon.

Metro says the app helps customers at its cash-and-carry stores such as professional chefs from hotels and restaurants, as they can now embellish their menus with information about the exact origin of pricey delicacies such as wagyu beef.

It was a very strong day for the Canadian preferred share market, with PerpetualDiscounts gaining 12bp, FixedResets winning 81bp and DeemedRetractibles up 50bp. The Performance Highlights table is again very lengthy, but this time there are only a handful of losers. Volume was below average.

Here’s TRP:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.40 to be $1.01 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $1.02 cheap at its bid price of 12.65.

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Another good fit today for MFC, with Implied Volatility dropping a bit again today.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.01 to be 0.36 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 21.76 to be 0.26 cheap.

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The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.30 to be $1.75 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.50 and appears to be $1.24 rich.

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Implied Volatility increased a bit today and remains unreasonably high.

FTS.PR.K, with a spread of +205bp, and bid at 18.55, looks $0.14 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.50 and is $0.34 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.63%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.84% and the unregulated issues averaging -0.35%. There is one junk outlier below -1.60%.

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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	0.1907 %	1,631.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.1907 %	2,852.6
Floater	4.50 %	4.57 %	57,945	16.21	3	0.1907 %	1,734.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0679 %	2,765.9
SplitShare	4.65 %	5.19 %	57,953	3.12	3	-0.0679 %	3,241.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0679 %	2,529.1
Perpetual-Premium	5.74 %	5.67 %	62,665	14.03	9	-0.1591 %	2,478.3
Perpetual-Discount	5.50 %	5.57 %	78,408	14.56	29	0.1241 %	2,567.4
FixedReset	4.98 %	4.28 %	200,504	15.76	87	0.8109 %	2,122.9
Deemed-Retractible	5.16 %	5.32 %	101,213	5.56	34	0.4990 %	2,565.6
FloatingReset	2.38 %	3.52 %	47,730	5.96	9	0.4220 %	2,186.6

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.C	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.73 %
MFC.PR.F	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.11 Bid-YTW : 7.53 %
TRP.PR.B	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 12.10 Evaluated at bid price : 12.10 Bid-YTW : 4.03 %
PVS.PR.D	SplitShare	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 5.27 %
TD.PR.Y	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 3.21 %
BAM.PF.B	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.41 %
RY.PR.N	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 24.23 Evaluated at bid price : 24.60 Bid-YTW : 5.06 %
TD.PF.A	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.04 Evaluated at bid price : 21.04 Bid-YTW : 3.67 %
MFC.PR.I	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.09 Bid-YTW : 5.26 %
PWF.PR.T	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 22.57 Evaluated at bid price : 23.31 Bid-YTW : 3.38 %
HSE.PR.G	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.82 Evaluated at bid price : 22.25 Bid-YTW : 4.75 %
FTS.PR.K	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 3.92 %
PVS.PR.B	SplitShare	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 4.60 %
GWO.PR.H	Deemed-Retractible	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.63 Bid-YTW : 6.35 %
TD.PF.B	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 3.67 %
SLF.PR.A	Deemed-Retractible	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 6.57 %
ENB.PR.H	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 5.11 %
MFC.PR.C	Deemed-Retractible	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.96 Bid-YTW : 6.85 %
NA.PR.S	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 3.87 %
ENB.PR.J	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 17.09 Evaluated at bid price : 17.09 Bid-YTW : 5.03 %
RY.PR.M	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.97 Evaluated at bid price : 22.50 Bid-YTW : 3.67 %
FTS.PR.H	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 3.64 %
BMO.PR.S	FixedReset	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.65 Evaluated at bid price : 21.93 Bid-YTW : 3.56 %
GWO.PR.R	Deemed-Retractible	1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 6.44 %
RY.PR.Z	FixedReset	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 3.56 %
CM.PR.Q	FixedReset	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 22.29 Evaluated at bid price : 23.01 Bid-YTW : 3.73 %
GWO.PR.G	Deemed-Retractible	1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.93 Bid-YTW : 5.95 %
GWO.PR.Q	Deemed-Retractible	1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.04 Bid-YTW : 5.84 %
BIP.PR.A	FixedReset	1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.44 Evaluated at bid price : 21.72 Bid-YTW : 4.88 %
ENB.PR.Y	FixedReset	1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 5.22 %
TD.PF.E	FixedReset	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 22.80 Evaluated at bid price : 24.08 Bid-YTW : 3.60 %
HSE.PR.A	FixedReset	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 4.33 %
MFC.PR.M	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.26 Bid-YTW : 6.11 %
MFC.PR.N	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.81 Bid-YTW : 6.34 %
ENB.PF.A	FixedReset	2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.16 %
ENB.PF.C	FixedReset	2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 5.10 %
TD.PF.C	FixedReset	2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 3.61 %
ENB.PR.F	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 15.53 Evaluated at bid price : 15.53 Bid-YTW : 5.28 %
TRP.PR.G	FixedReset	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.08 Evaluated at bid price : 21.08 Bid-YTW : 4.33 %
ENB.PF.E	FixedReset	2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 17.44 Evaluated at bid price : 17.44 Bid-YTW : 5.15 %
MFC.PR.K	FixedReset	2.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.41 Bid-YTW : 6.37 %
ENB.PR.B	FixedReset	2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 14.66 Evaluated at bid price : 14.66 Bid-YTW : 5.33 %
TRP.PR.F	FloatingReset	2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 3.98 %
ENB.PR.P	FixedReset	2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.22 %
GWO.PR.I	Deemed-Retractible	3.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 6.32 %
ENB.PF.G	FixedReset	3.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 5.11 %
TRP.PR.A	FixedReset	3.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.22 %
ENB.PR.N	FixedReset	3.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 16.48 Evaluated at bid price : 16.48 Bid-YTW : 5.18 %
HSE.PR.E	FixedReset	4.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 22.00 Evaluated at bid price : 22.50 Bid-YTW : 4.70 %
ENB.PR.D	FixedReset	4.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 15.12 Evaluated at bid price : 15.12 Bid-YTW : 5.20 %
ENB.PR.T	FixedReset	5.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 5.04 %

Volume Highlights
Issue	Index	Shares Traded	Notes
SLF.PR.I	FixedReset	106,543	TD crossed 100,000 at 22.26. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.26 Bid-YTW : 4.94 %
CM.PR.P	FixedReset	83,470	TD crossed 49,800 at 20.80; Scotia crossed 15,000 at 20.81. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 3.71 %
TRP.PR.D	FixedReset	36,364	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.28 %
ENB.PR.Y	FixedReset	31,011	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 5.22 %
BAM.PR.T	FixedReset	28,650	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 4.60 %
MFC.PR.F	FixedReset	24,347	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.11 Bid-YTW : 7.53 %
There were 26 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.K	Floater	Quote: 10.40 – 13.24 Spot Rate : 2.8400 Average : 1.6026 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 10.40 Evaluated at bid price : 10.40 Bid-YTW : 4.60 %
FTS.PR.J	Perpetual-Discount	Quote: 21.51 – 22.90 Spot Rate : 1.3900 Average : 0.8039 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.55 %
TRP.PR.G	FixedReset	Quote: 21.08 – 23.00 Spot Rate : 1.9200 Average : 1.3507 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.08 Evaluated at bid price : 21.08 Bid-YTW : 4.33 %
RY.PR.M	FixedReset	Quote: 22.50 – 23.50 Spot Rate : 1.0000 Average : 0.6325 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 21.97 Evaluated at bid price : 22.50 Bid-YTW : 3.67 %
MFC.PR.G	FixedReset	Quote: 21.76 – 22.79 Spot Rate : 1.0300 Average : 0.6957 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.76 Bid-YTW : 5.40 %
NA.PR.W	FixedReset	Quote: 20.20 – 21.15 Spot Rate : 0.9500 Average : 0.6260 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-28 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 3.85 %

Market Action

August 27, 2015

Remember all that gloomy stuff posted for the past week? Well, don’t. We’re rich!

What you need to know about Thursday’s [US] economic data:

GROSS DOMESTIC PRODUCT (2Q REVISED)

•Climbed at a revised 3.7 percent annualized rate, exceeding all forecasts in a Bloomberg survey and up from an initial estimate of 2.3 percent
•All four components — consumer spending, business investment, trade and government outlays — contributed more to growth than first estimated
•Inventories showed biggest back-to-back quarterly increases on record
•Gross domestic income grew at a 0.6 percent pace in second quarter

…
JOBLESS CLAIMS (WEEK ENDED AUG. 22)

•Applications fell by 6,000 to 271,000 with Michigan and Kansas posting biggest drops
•Claims hovering close to mid-July level of 255,000 that was fewest since 1973

Just ignore the inevitable carpers:

The federal government today released two very different estimates of the U.S. economy’s growth rate in the second quarter. The one that got all the attention was the robust 3.7 percent annual rate of increase in gross domestic product. Not many people noticed that gross domestic income increased at an annual rate of just 0.6 percent.

That’s a big discrepancy for two numbers that should theoretically be the same, since they’re two ways of measuring the same thing: the size of the economy. If you believe the GDP number, you’re happy. If you believe the GDI number, you’re thinking the U.S. is skating close to a recession.

The Bureau of Economic Analysis always gives more prominence to the GDP number in its quarterly press release. But today, for the second time in a quarterly report, it released an average of GDP and GDI growth rates. That average came in at 2.1 percent after rounding—and in this case, that’s probably closer to the truth than either number alone.

So oil popped:

Oil jumped the most in more than six years, caught up in a relief rally that swept the globe as the U.S. economy grew more than predicted.

West Texas Intermediate futures rose 10 percent, the biggest gain since March 2009. U.S. gross domestic product grew at a 3.7 percent annualized rate in the second quarter, exceeding all estimates of economists surveyed by Bloomberg. The Standard & Poor’s 500 Index headed for its biggest two-day gain since 2009 as Chinese shares snapped a five-day losing streak.

Prices extended gains after Royal Dutch Shell Plc issued a force majeure on Bonny Light exports from Nigeria as it worked to repair two crude pipelines shut because of thefts and a leak.

And everybody was happy, happy, happy:

A relief rally swept around the globe, with the Dow Jones Industrial Average capping its biggest two-day gain since 2008 and Chinese shares snapping a five-day tumble. Oil jumped the most in more than six years after data showed the U.S. economy grew more than forecast in the second quarter.

American stocks briefly spiked lower in late afternoon trading, as the Standard & Poor’s 500 Index cut an advance of as much as 2.5 percent to less than 0.5 percent before reversing course and rallying again, indicating markets are still vulnerable to sudden swings.

Shares surged from Asia to the U.S. after the biggest advance in the S&P 500 in four years on Wednesday helped restore some appetite for riskier assets. The rally halted the selloff that’s engulfed markets since China devalued its currency on Aug. 11, an unexpected move that ignited concern that the slowdown in the world’s second largest economy may threaten global growth.

… except maybe bond investors:

Treasury notes fell for a third straight day on a report showing U.S. economic growth exceeded forecasts last quarter and as global stocks rallied.
…
The benchmark two-year yield rose two basis points, or 0.02 percentage point, to 0.69 percent as of 5 p.m. in New York, according to Bloomberg Bond Trader data. The 0.625 percent security due in August 2017 fell 1/32, or 31 cents per $1,000 face amount, to 99 7/8.

The 30-year bond advanced, halting a three-day decline. The prospect of the Fed’s first interest-rate increase in nearly a decade damped expectations for inflation, and can erode longer-maturity bonds’ fixed payments.
…
Traders are pricing in a 53 percent chance of a Fed boost before the end of this year, up from 46 percent two days ago, assuming the benchmark will average 0.375 percent after the first rise.

Here’s a story a like for a lot of reasons. First, the little gal sticks it to the big boys. Second, it’s an illustration of a trend I predict towards customization and personal services (since “things” are so easy to make in a mechanical way nowadays). And, of course, pictures of women in underwear, which is always pleasant. Indie lingerie in Canada:

Uncomfortable watching intimates being developed cheaply and in a rush, and fatigued by taking direction from “men talking about what’s really hot on a woman and what women want… and then [asking me] to cut the ass out of a panty,” Russell broke out on her own in 2010. After careful planning and with strong connections in her pocket, she decided to make underwear on her own terms – and to make it better.

As it turns out, Russell is one of several young indie entrepreneurs in Canada who are applying a slow-living, small-batch ethic to underwear and, in the process, overturning established ideas about what lingerie is, how it should fit and who it’s really for.

Alesha Frederickson started March & August Underthings on January 1, 2014, with a resolution to shift the panty paradigm. She believed the lingerie available in her hometown, Winnipeg, left a lot to be desired: It was off-the-rack, unflattering and there wasn’t much variety between babydoll-style teen-focused items and the offerings from fast-fashion brands. Both, according to Frederickson, were “designed to be like a present to unwrap, like a gift to the person who was viewing, not wearing, it.”
…
In 2011, [former La Senza technical designer Sofia Sokoloff] started Sokoloff Lingerie for the middle market. She was 23 years old at the time and studying industrial management at the École supérieur de mode de Montréal. In the past four years, her brand has grown quickly: She now has two seamstresses and her own production floor that regularly makes more than 1,000 units per month. She went from two points of sale in 2011 to nearly 30 today, and most recently found a distributor in Dubai to sell her collections come fall.
…
Sokoloff was recently recognized as an industry leader when she was named the Les Offices jeunesse internationaux du Québec 2015 prizewinner – a provincial award for young entrepreneurs who are helping to make a name for Quebec on the international market. She also represented Canada earlier this month at the Curve Expo lingerie and swimwear showcase in New York City.

It was a fine day for the Canadian preferred share market, with PerpetualDiscounts up 41bp, FixedResets winning 63bp and DeemedRetractibles gaining 21bp. Yet another very lengthy Performance Highlights table is dominated by FixedReset winners with ENB issues at the top of the pile. Volume was average.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.21 to be $1.04 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $0.82 cheap at its bid price of 12.75.

Click for Big

Another good fit today for MFC, with Implied Volatility dropping a bit today.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.22 to be 0.78 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, bid at 18.92 to be 0.65 cheap.

Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.40 to be $1.61 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.41 and appears to be $1.20 rich.

Click for Big

Implied Volatility fell substantially today but remains unreasonably high.

FTS.PR.M, with a spread of +248bp, and bid at 20.65, looks $0.16 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.45 and is $0.25 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.65%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -1.00% and the unregulated issues averaging -0.15%. There are no junk outliers.

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	1.5822 %	1,628.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.5822 %	2,847.1
Floater	4.51 %	4.58 %	58,478	16.20	3	1.5822 %	1,731.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.3269 %	2,767.8
SplitShare	4.65 %	5.04 %	57,880	3.12	3	0.3269 %	3,243.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3269 %	2,530.8
Perpetual-Premium	5.73 %	5.56 %	63,094	2.03	9	0.2436 %	2,482.3
Perpetual-Discount	5.51 %	5.57 %	78,914	14.55	29	0.4087 %	2,564.2
FixedReset	5.02 %	4.30 %	197,369	15.62	87	0.6251 %	2,105.8
Deemed-Retractible	5.18 %	5.27 %	104,080	5.56	34	0.2125 %	2,552.9
FloatingReset	2.39 %	3.61 %	47,921	5.96	9	-0.2059 %	2,177.4

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.E	FixedReset	-3.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.34 Evaluated at bid price : 21.63 Bid-YTW : 4.99 %
TRP.PR.G	FixedReset	-2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.44 %
FTS.PR.H	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 14.66 Evaluated at bid price : 14.66 Bid-YTW : 3.70 %
TRP.PR.B	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 12.25 Evaluated at bid price : 12.25 Bid-YTW : 3.98 %
IAG.PR.A	Deemed-Retractible	-1.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 6.59 %
MFC.PR.K	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.92 Bid-YTW : 6.71 %
PWF.PR.P	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.57 Evaluated at bid price : 15.57 Bid-YTW : 3.63 %
BMO.PR.Q	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.41 Bid-YTW : 4.73 %
TRP.PR.D	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.30 %
GWO.PR.N	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.15 Bid-YTW : 8.20 %
TD.PR.Y	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 3.02 %
W.PR.H	Perpetual-Discount	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 23.63 Evaluated at bid price : 23.90 Bid-YTW : 5.83 %
MFC.PR.B	Deemed-Retractible	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.77 %
PWF.PR.K	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.39 Evaluated at bid price : 22.65 Bid-YTW : 5.51 %
PVS.PR.D	SplitShare	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 5.04 %
W.PR.J	Perpetual-Discount	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 23.63 Evaluated at bid price : 23.90 Bid-YTW : 5.94 %
POW.PR.B	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 23.54 Evaluated at bid price : 23.81 Bid-YTW : 5.69 %
ELF.PR.F	Perpetual-Discount	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.66 Evaluated at bid price : 22.90 Bid-YTW : 5.86 %
CM.PR.Q	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.04 Evaluated at bid price : 22.60 Bid-YTW : 3.81 %
PWF.PR.T	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.42 Evaluated at bid price : 23.05 Bid-YTW : 3.43 %
TRP.PR.A	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.42 Evaluated at bid price : 15.42 Bid-YTW : 4.38 %
BAM.PR.X	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 4.55 %
NA.PR.S	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 3.92 %
RY.PR.M	FixedReset	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.73 Evaluated at bid price : 22.15 Bid-YTW : 3.74 %
ELF.PR.H	Perpetual-Discount	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 23.78 Evaluated at bid price : 24.25 Bid-YTW : 5.73 %
PWF.PR.F	Perpetual-Discount	1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 24.00 Evaluated at bid price : 24.25 Bid-YTW : 5.46 %
ENB.PR.B	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 14.27 Evaluated at bid price : 14.27 Bid-YTW : 5.48 %
HSE.PR.C	FixedReset	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.13 Evaluated at bid price : 21.13 Bid-YTW : 4.73 %
MFC.PR.N	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.40 Bid-YTW : 6.62 %
ENB.PR.D	FixedReset	2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 14.41 Evaluated at bid price : 14.41 Bid-YTW : 5.46 %
RY.PR.H	FixedReset	2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 3.63 %
FTS.PR.G	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 3.96 %
BAM.PR.C	Floater	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 10.45 Evaluated at bid price : 10.45 Bid-YTW : 4.58 %
BAM.PR.T	FixedReset	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 17.03 Evaluated at bid price : 17.03 Bid-YTW : 4.60 %
BAM.PR.K	Floater	2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 10.40 Evaluated at bid price : 10.40 Bid-YTW : 4.60 %
BIP.PR.A	FixedReset	2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.00 %
ENB.PR.F	FixedReset	2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 5.41 %
ENB.PR.P	FixedReset	2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 5.37 %
ENB.PF.A	FixedReset	3.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 5.28 %
ENB.PF.C	FixedReset	3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 5.22 %
MFC.PR.G	FixedReset	3.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 5.38 %
FTS.PR.M	FixedReset	3.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.02 %
ENB.PF.E	FixedReset	3.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.28 %
ENB.PR.N	FixedReset	3.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.39 %
ENB.PR.T	FixedReset	3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 5.30 %
ENB.PR.J	FixedReset	4.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 5.10 %
ENB.PR.H	FixedReset	5.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 5.18 %

Volume Highlights
Issue	Index	Shares Traded	Notes
GWO.PR.P	Deemed-Retractible	121,057	Nesbitt crossed 120,000 at 24.55. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 5.81 %
PWF.PR.L	Perpetual-Discount	119,900	Nesbitt crossed 119,900 at 23.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 23.25 Evaluated at bid price : 23.51 Bid-YTW : 5.47 %
BNS.PR.Q	FixedReset	82,500	TD crossed blocks of 39,900 and 40,000, both at 24.87. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 3.16 %
TD.PF.B	FixedReset	65,490	TD crossed 40,000 at 20.73. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 20.74 Evaluated at bid price : 20.74 Bid-YTW : 3.72 %
ENB.PR.Y	FixedReset	62,688	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 5.33 %
ENB.PF.C	FixedReset	54,355	RBC crossed 40,000 at 17.02. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 5.22 %
There were 34 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.B	Deemed-Retractible	Quote: 21.35 – 22.22 Spot Rate : 0.8700 Average : 0.5029 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.77 %
IAG.PR.A	Deemed-Retractible	Quote: 21.50 – 22.18 Spot Rate : 0.6800 Average : 0.3913 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 6.59 %
RY.PR.J	FixedReset	Quote: 22.62 – 23.41 Spot Rate : 0.7900 Average : 0.5158 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.06 Evaluated at bid price : 22.62 Bid-YTW : 3.74 %
HSE.PR.C	FixedReset	Quote: 21.13 – 22.05 Spot Rate : 0.9200 Average : 0.6783 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.13 Evaluated at bid price : 21.13 Bid-YTW : 4.73 %
IFC.PR.C	FixedReset	Quote: 20.55 – 21.20 Spot Rate : 0.6500 Average : 0.4603 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 6.00 %
PWF.PR.S	Perpetual-Discount	Quote: 22.65 – 23.26 Spot Rate : 0.6100 Average : 0.4409 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.28 Evaluated at bid price : 22.65 Bid-YTW : 5.34 %

Market Action

August 26, 2015

Well, it was another day-and-a-half for equities:

Two things that have supported U.S. stocks in the past, dovish words from the Federal Reserve and improving economic data, triggered the biggest rally since 2011 and halted a plunge that erased $2.2 trillion from share values.

Technology companies led the gains with Apple Inc., Google Inc. and Intel Inc. rising at least 5.5 percent. Amazon.com Inc. surged 7.4 percent, and Netflix Inc. posted a two-day gain of 14 percent. JPMorgan Chase & Co. and Citigroup Inc. increased more than 4.8 percent. Cameron International Corp. soared 41 percent after agreeing to be bought by Schlumberger Ltd. in a $14.8 billion deal.

Gains in equities accelerated in the final hour as the Standard & Poor’s 500 Index climbed 3.9 percent to 1,940.51 at 4 p.m. in New York, halting a six-day slide that was its steepest in four years. The Dow Jones Industrial Average added 619.07 points, or 4 percent, to 16,285.51. The Nasdaq Composite Index rose 4.2 percent for its strongest increase since August 2011. About 10.7 billion shares traded hands on U.S. exchanges, 55 percent above the three-month average.

Dovish words from the Fed? Dudley pointed out that financial markets are important:

Global stock-market turmoil has weakened the case for raising interest rates in September, Federal Reserve Bank of New York President William C. Dudley said, cautioning it’s important not to overreact to short-term developments.

“From my perspective, at this moment, the decision to begin the normalization process at the September FOMC meeting seems less compelling to me than it was a few weeks ago,” Dudley told a news conference Wednesday at the New York Fed.

“Normalization could become more compelling by the time of the meeting as we get additional information on how the U.S. economy is performing, and more information on international and financial market developments.”

Treasuries got whacked:

Treasuries suffered their biggest two-day tumble in six weeks as an unexpected jump in durable-goods orders and a recovery in stocks suppressed demand.

Losses deepened after an auction of five-year Treasuries drew the least interest since 2009, signaling that investors’ safe-haven appetite may have waned.

Debt found only temporary support after Federal Reserve Bank of New York President William Dudley said the case for increasing interest rates in September is less compelling because of worldwide market turmoil. Buyers demurred without evidence that the turbulence will slow the U.S. economy.

Real world effects of financial markets? There are fears that oil prices and currency turmoil are favouring ISIS:

Any currency crisis usually comes with dire consequences for a country, and the threat of one in Iraq shows how the impact can go beyond the economy and markets.

A foreign-exchange crunch because of a drop in oil prices could force a devaluation of the dinar and risk making the fight against Islamic State militants even tougher. The nation, currently OPEC’s biggest producer after Saudi Arabia, is dependent on oil revenue to fund its operations on the battlefield and quell growing unrest over the economy.

Dollar reserves tumbled about 20 percent to $59 billion as of July 23 since the fighting escalated a year before, and the losses are accelerating. In the first 25 days of August, the central bank sold $4.6 billion of currency to keep the dinar at a pegged rate, a daily outflow of about $184 million, data compiled by Bloomberg show.
…
Saudi Arabia’s central bank this week said it’s committed to the riyal’s dollar peg, the Saudi-owned Al Arabiya television reported, amid speculation the country would devalue its currency after the plunge in oil prices.

Canadian Utilities Limited, proud issuer of CU.PR.C, CU.PR.D, CU.PR.E, CU.PR.F, CU.PR.G and CU.PR.H, has been confirmed at Pfd-2(high) by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating and Unsecured Debentures rating of Canadian Utilities Limited (CU or the Company) at “A,” the Commercial Paper rating at R-1 (low), and the Cum. Preferred Shares rating at Pfd-2 (high). All trends are Stable. The ratings of CU are supported by predictable earnings from its regulated subsidiaries, which are expected to account for approximately 80% of consolidated earnings over the next several years. However, the ratings assume that earnings contribution from the regulated business will gradually decrease to around 70% (but still higher than its historical weighting of 60%) of consolidated earnings over the long term with (1) the downshifting of Alberta’s economy and expected completion of the “big build” associated with electric transmission infrastructure over the next two years and (2) the Company’s focus on contracted, non-regulated business opportunities in Canada, Mexico and Australia. Although CU’s non-regulated segment provides a source of earnings growth and diversification benefits, it also entails higher business risk than that of the regulated utility business. CU’s non-regulated business is challenged by lower long-term earnings visibility and recontracting risk.

The Canadian preferred share market had a bit of rebound today, with both PerpetualDiscounts and FixedResets gaining 10bp and DeemedRetractibles up 28bp. Floaters got hammered again though, so at least something is familiar! The Performance Highlights table continues to show a lot of churning, with 21 losers and 22 winners. Volume was on the low side of average.

PerpetualDiscounts now yield 5.57%, equivalent to 7.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.0%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a sharp rise from the 310bp reported August 12.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.20 to be $0.82 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $0.81 cheap at its bid price of 12.84.

Click for Big

Another good fit today for MFC, while the series maintains its high level of Implied Volatility.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.31 to be 1.07 rich, while MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 19.00 to be 0.81 cheap.

Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.45 to be $1.51 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.23 and appears to be $1.05 rich.

Click for Big

Implied Volatility jumped today and is unreasonably high.

FTS.PR.K, with a spread of +205bp, and bid at 18.26, looks $0.26 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.01 and is $0.37 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.60%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.88% and the unregulated issues averaging -0.22%. There is one junk outlier below -1.60%.

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	-2.4567 %	1,603.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-2.4567 %	2,802.8
Floater	4.58 %	4.69 %	58,355	15.99	3	-2.4567 %	1,704.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.0272 %	2,758.8
SplitShare	4.66 %	5.26 %	57,966	3.12	3	0.0272 %	3,233.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0272 %	2,522.6
Perpetual-Premium	5.74 %	5.71 %	63,469	14.06	9	0.0754 %	2,476.2
Perpetual-Discount	5.53 %	5.57 %	79,770	14.54	29	0.1050 %	2,553.8
FixedReset	5.05 %	4.30 %	199,096	15.50	87	0.1005 %	2,092.7
Deemed-Retractible	5.19 %	5.29 %	99,660	5.56	34	0.2804 %	2,547.4
FloatingReset	2.38 %	3.52 %	47,501	5.96	9	-0.3427 %	2,181.9

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.N	FixedReset	-4.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.89 %
BAM.PR.K	Floater	-3.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 10.12 Evaluated at bid price : 10.12 Bid-YTW : 4.73 %
BAM.PR.C	Floater	-3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 10.20 Evaluated at bid price : 10.20 Bid-YTW : 4.69 %
NA.PR.S	FixedReset	-2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 3.98 %
TRP.PR.F	FloatingReset	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 4.10 %
MFC.PR.K	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.21 Bid-YTW : 6.51 %
FTS.PR.J	Perpetual-Discount	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 5.53 %
IAG.PR.G	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 4.34 %
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 : 20.14 Bid-YTW : 4.89 %
RY.PR.H	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 3.72 %
BAM.PR.X	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 4.62 %
VNR.PR.A	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.58 %
BMO.PR.Y	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 22.59 Evaluated at bid price : 23.60 Bid-YTW : 3.62 %
NA.PR.W	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 3.88 %
BIP.PR.A	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.16 %
GWO.PR.N	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.32 %
MFC.PR.G	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.07 Bid-YTW : 5.82 %
BAM.PF.E	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 4.34 %
MFC.PR.L	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.42 %
POW.PR.B	Perpetual-Discount	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 23.21 Evaluated at bid price : 23.51 Bid-YTW : 5.76 %
MFC.PR.J	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.74 Bid-YTW : 5.82 %
FTS.PR.M	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 4.17 %
HSE.PR.G	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.61 Evaluated at bid price : 21.95 Bid-YTW : 4.82 %
BAM.PR.M	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.38 Evaluated at bid price : 20.38 Bid-YTW : 5.93 %
BAM.PF.F	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.86 Evaluated at bid price : 22.25 Bid-YTW : 4.18 %
CM.PR.Q	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.85 Evaluated at bid price : 22.30 Bid-YTW : 3.87 %
IFC.PR.A	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.43 Bid-YTW : 8.42 %
HSE.PR.E	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.86 Evaluated at bid price : 22.30 Bid-YTW : 4.83 %
PWF.PR.P	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 15.79 Evaluated at bid price : 15.79 Bid-YTW : 3.58 %
ENB.PR.J	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 5.32 %
BAM.PF.A	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.29 Evaluated at bid price : 21.58 Bid-YTW : 4.30 %
ENB.PR.B	FixedReset	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 14.03 Evaluated at bid price : 14.03 Bid-YTW : 5.57 %
TRP.PR.A	FixedReset	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 4.47 %
ENB.PR.A	Perpetual-Discount	1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 24.25 Evaluated at bid price : 24.55 Bid-YTW : 5.62 %
BAM.PR.R	FixedReset	2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 4.67 %
HSE.PR.A	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 4.57 %
ENB.PR.Y	FixedReset	2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 15.06 Evaluated at bid price : 15.06 Bid-YTW : 5.38 %
ENB.PF.G	FixedReset	3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.33 %
ENB.PF.C	FixedReset	3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.40 %
SLF.PR.B	Deemed-Retractible	3.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 6.68 %
TD.PF.E	FixedReset	3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 22.69 Evaluated at bid price : 23.82 Bid-YTW : 3.65 %
PWF.PR.S	Perpetual-Discount	4.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 22.16 Evaluated at bid price : 22.50 Bid-YTW : 5.37 %
FTS.PR.H	FixedReset	5.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 14.99 Evaluated at bid price : 14.99 Bid-YTW : 3.62 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.M	Deemed-Retractible	184,940	Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-09-25 Maturity Price : 25.50 Evaluated at bid price : 25.77 Bid-YTW : -4.76 %
RY.PR.B	Deemed-Retractible	168,722	RBC crossed two blocks of 50,000 each and one of 49,900, all at 25.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.94 Bid-YTW : 4.77 %
RY.PR.J	FixedReset	68,048	RBC crossed 50,000 at 22.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 22.11 Evaluated at bid price : 22.70 Bid-YTW : 3.72 %
ENB.PF.E	FixedReset	45,964	TD crossed 18,000 at 16.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 5.49 %
ENB.PF.G	FixedReset	35,530	TD crossed 18,600 at 16.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.33 %
TRP.PR.B	FixedReset	31,097	Nesbitt crossed 25,000 at 12.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 3.93 %
There were 29 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.G	FixedReset	Quote: 21.07 – 21.99 Spot Rate : 0.9200 Average : 0.6245 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.07 Bid-YTW : 5.82 %
VNR.PR.A	FixedReset	Quote: 19.50 – 20.35 Spot Rate : 0.8500 Average : 0.6013 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.58 %
BAM.PR.X	FixedReset	Quote: 14.50 – 14.95 Spot Rate : 0.4500 Average : 0.2670 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 4.62 %
MFC.PR.N	FixedReset	Quote: 19.00 – 19.80 Spot Rate : 0.8000 Average : 0.6283 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.89 %
POW.PR.B	Perpetual-Discount	Quote: 23.51 – 23.96 Spot Rate : 0.4500 Average : 0.2919 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 23.21 Evaluated at bid price : 23.51 Bid-YTW : 5.76 %
RY.PR.H	FixedReset	Quote: 20.73 – 21.30 Spot Rate : 0.5700 Average : 0.4125 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 3.72 %

Market Action

August 25, 2015

David Parkinson of the Globe offers up some threads of hope for the Canadian economy:

Statistics Canada reported that, month-over-month, retail sales rose 0.6 per cent in June, adding to May’s 0.9-per-cent rise. While the gain was entirely a result of price increases – on a volume basis, sales were flat in the month – the solid retail performance caps a run of impressive growth from several key components of the Canadian economy. Together, they add up to a rebound in gross domestic product in June, after the first-quarter GDP contraction of 0.6 per cent annualized was followed by further negative readings in April and May.

Forecasters are now pegging June’s month-over-month GDP growth in a range of 0.2 to 0.4 per cent, which would make it the first month of positive GDP since the end of 2014.
…
The impressive run of June growth indicators started with the merchandise trade report released early this month, which showed a stellar 6.3-per-cent surge in exports over May – a gain so big it wiped out all the declines from the first five months of the year. Since then, the prospects for a strong June GDP number were bolstered by last week’s report of a 1.2-per-cent month-over-month rise in manufacturing sales, and news this week that wholesale sales gained 1.3 per cent.

Equity markets were very nervous today:

Stock bulls looking for a respite from the worst declines since 2011 instead had to watch as a 442-point rally in the Dow Jones Industrial Average vanished in the final hour. The tumble, stretching to 4 percent from the day’s highest level, dashed hopes that China’s interest-rate cut would put a floor under U.S. equities.

Concern bubbled over as the day progressed that fresh stimulus in China wouldn’t be enough to prop up its stock market, where the Shanghai Composite Index has lost 22 percent in four days. Exchange-traded funds tracking China’s A-shares pared gains of as much as 5.2 percent in U.S. trading, halting a rally earlier in the day spurred by policy makers cutting interest rates for a fifth time since November.
…
At the same time, the rout is occurring at a time of deteriorating market sentiment and stagnant earnings. Owners of mutual and exchange-traded funds yanked $78.8 billion from U.S. shares in the first seven months of 2015, more than in any full year since at least 1993. Profits reported by S&P 500 companies in the second quarter fell 2 percent from a year ago and are projected to slip 5.5 percent in the current period.

Never mind US equity funds, look at how much has been taken off the table in China!

China’s margin debt has plunged by 1 trillion yuan ($156 billion) from its June peak as stock traders close out bets using borrowed money amid a $5 trillion rout.

Outstanding margin loans on the Shanghai and Shenzhen exchanges fell to about 1.25 trillion yuan on Monday from a record high of 2.27 trillion yuan on June 18. The Shanghai Composite Index has plunged 45 percent from its June peak amid concern that the highest valuations among major world markets are unjustified given the outlook for slowing economic growth.

Chinese authorities have taken a page from the western political response and are desperately seeking scapegoats:

Authorities announced a probe of allegations of market malpractice involving the stocks regulator on Tuesday, while the official Xinhua News Agency called for efforts to “purify” the capital markets. The news service also carried remarks by a central bank researcher attributing the global rout to an expected Federal Reserve rate increase.

The Shanghai Composite Index has plunged more than 40 percent from its peak, after concerns over the Chinese economy helped snap a months-long rally encouraged by state-run media. Authorities have repeatedly blamed market manipulators and foreign forces since the sell off began in June and led officials to launch an unprecedented stocks-support program.

Now, after suspending that program, the administration has embarked on a new round of allegations and fault-finding.

And all this is affecting speculation regarding the timing of ‘lift-off’:

Traders see a 28 percent probability that the Fed will raise its target next month, according to data compiled by Bloomberg. That probability rises to 34 percent by the end of October, and jumps to 51 percent by the December gathering.

Yellen holds press conferences after every other Federal Open Market Committee meeting.

Some traders see the lack of an October press conference as a dealbreaker. Yet Yellen has indicated that rate decisions wouldn’t depend on when press conferences are scheduled.

So the September probability, charted on August 19 continues to gyrate.

Liberty Street Economics, a vehicle of the New York Fed, has released a series of posts on market liquidity.

The first is titled Has U.S. Treasury Market Liquidity Deteriorated? which emphasizes that there are many ways to define and measure liquidity and that definitions matter:

As shown in the chart below, bid-ask spreads widened markedly during the crisis, but have been relatively narrow and stable since.
…
The chart below plots order book depth, measured as the average quantity of securities available for sale or purchase at the best bid and offer prices. Depth rebounded healthily after the crisis, but declined markedly during the 2013 taper tantrum and around the October 15, 2014 flash rally. It is not unusually low at present by recent historical standards.

Click for Big

The next chart plots the estimated price impact per $100 million net order flow as calculated weekly over five-minute intervals; higher impacts suggest reduced liquidity. Price impact rose sharply during the crisis, declined markedly after, and then increased some during the taper tantrum and in the week including October 15, 2014. The measure remained somewhat elevated after October 15, but is not now especially high by recent historical standards.

Click for Big

The decline in trade size compared with the precrisis period may merely reflect the increasing prevalence of high frequency trading in the interdealer market, so may be a less reliable indicator of reduced liquidity than the preceding measures.

Click for Big

While the high-frequency liquidity measures provide a mixed message regarding the state of Treasury liquidity, the daily measures we consider next are more consistent. We first look at the dispersion of yields around a smoothed yield curve as estimated by the average absolute difference between actual yields and predicted yields (Hu, Pan, and Wang [2013] construct a similar measure).

Click for Big

If average liquidity is generally good by historical standards, then why all the liquidity concerns? One possibility is that the unease is not so much about on-the-run Treasury securities, but about less liquid Treasury securities or other fixed-income securities such as corporate debt securities, which we have not examined here (and for which there is less detailed data to assess liquidity).

Or perhaps the concerns are not so much about average liquidity levels, as we examined, but about liquidity risk. Indeed the events of October 15 and similar episodes of sharp, seemingly unexplained price changes in the dollar-euro and German Bund markets have heightened worry about tail events in which liquidity suddenly evaporates. Liquidity risk, or really illiquidity risk, is harder to measure than liquidity itself, but we attempt to do so in a future post.

Finally, it might be that liquidity concerns reflect anxiety about future liquidity conditions, with a possible imbalance between liquidity supply and demand. On the demand side, the share of Treasuries owned by mutual funds, which may demand daily liquidity, has increased. On the supply side, the primary dealers have pared their financing activities sharply since the crisis and shown no growth in their gross positions despite the sharp increase in Treasury debt outstanding. Market commentators point to these factors and the current environment of low volatility and worry about what will happen when monetary policy is normalized and volatility rises.

The second post, titled Liquidity during Flash Events, concludes:

In particular, all three events exhibited strained liquidity conditions during periods of extreme price volatility but the Treasury market event arguably exhibited a greater degree of price continuity, consistent with descriptions of the flash rally as “slow-moving.”

The third post, High-Frequency Cross-Market Trading in U.S. Treasury Markets, states:

The cash market platform (in Secaucus, New Jersey) and the futures market exchange (in Aurora, Illinois) exhibit very pronounced cross-market trading activity at an offset of +/-5 milliseconds, strikingly consistent with the time it takes to transmit information between the two trading venues using current microwave tower technology. Spikes occur at both negative and positive offsets, suggesting that sometimes Treasury futures lead cash Treasuries (+5 millisecond offset) and other times the cash market leads futures (-5 millisecond offset), a remarkable fact since it indicates that price discovery takes place in both markets as they can both lead each other.
…
Cross-market trading by now accounts for a significant portion of trading in Treasury instruments in both the cash and futures markets. This reflects improvements in trading technology that allow for high-frequency trading within and across platforms. In particular, nearly simultaneous trading between the cash and futures platforms now accounts for up to 20 percent of cash market activity on many days.

Market participants often presume that price discovery happens in Treasury futures. However, our findings show that this is not always the case: Although futures usually lead cash, the reverse is also often true. Therefore, from a price discovery point of view, the two markets can effectively be seen as one.

The fourth post is a highly technical piece titled The Evolution of Workups in the U.S. Treasury Securities Market. It’s really only comprehensible if you read the associated staff report on Workups, Order Flow Segmentation and the Role of Dark Pool Trading in the Price Discovery of U.S. Treasury Securities.

The last post, What’s Driving Dealer Balance Sheet Stagnation? investigates the issue of the reason for relatively small dealer balance sheets:

The growing role of electronic trading has likely narrowed bid-ask spreads and reduced dealers’ profits from intermediating customer order flow, causing dealers to step back from making markets and reducing their need for large balance sheets. The changing competitive landscape of market making, as manifested by the entry of nondealer firms since the early 2000s, may therefore also play a role in the post-crisis dealer balance sheet dynamics.

The picture that emerges is that post-crisis dealer asset growth represents the confluence of several issues. Our findings suggest that business-cycle factors (the hangover from the housing boom and bust and subsequent risk aversion) and secular trends (electronification and competitive entry) should be considered alongside tighter regulation in explaining stagnating dealer balance sheets.

Meanwhile, it was a positive day for the Canadian preferred share market with PerpetualDiscounts winning 92bp (due largely to a reversal of yesterday‘s nonsense with ELF.PR.G), FixedResets up 16bp and DeemedRetractibles gaining 10bp. The Performance Highlights table is enormous; there is a huge pool of losers (25 issues) balancing a slightly larger pool of winners (33 issues). Volume was average.

Here’s TRP:

Click for Big

Implied volatility dropped sharply to more normal, but still elevated, levels aided by a more rational quotation for TRP.PR.G (see discussion in the Performance Highlights table).

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.26 to be $0.84 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $0.79 cheap at its bid price of 12.77.

Click for Big

Another good fit today, while the series maintains its high level of Implied Volatility.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.40 to be 0.91 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, bid at 21.30 to be 0.67 cheap.

Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.10 to be $1.72 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 20.55 and appears to be $1.21 rich.

Click for Big

Implied Volatility dropped today, but remains unreasonably high.

FTS.PR.K, with a spread of +205bp, and bid at 18.25, looks $0.47 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.00 and is $0.21 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.45%, with one outlier above +0.80%. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.91% and the unregulated issues averaging +0.18%. There are three junk outliers below -1.20%.

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	2.2874 %	1,643.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	2.2874 %	2,873.4
Floater	4.46 %	4.53 %	57,332	16.29	3	2.2874 %	1,747.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.9906 %	2,758.0
SplitShare	4.67 %	5.27 %	55,947	3.13	3	0.9906 %	3,232.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.9906 %	2,521.9
Perpetual-Premium	5.75 %	5.67 %	64,403	14.08	9	0.5796 %	2,474.4
Perpetual-Discount	5.54 %	5.58 %	78,687	14.54	29	0.9179 %	2,551.1
FixedReset	5.05 %	4.24 %	200,589	15.44	87	0.1568 %	2,090.6
Deemed-Retractible	5.21 %	5.35 %	97,635	5.57	34	0.1031 %	2,540.3
FloatingReset	2.37 %	3.59 %	48,243	5.97	9	0.2358 %	2,189.4

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.H	FixedReset	-4.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 3.81 %
CM.PR.Q	FixedReset	-3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.66 Evaluated at bid price : 22.02 Bid-YTW : 3.93 %
BAM.PR.X	FixedReset	-3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 4.55 %
PWF.PR.P	FixedReset	-2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 15.56 Evaluated at bid price : 15.56 Bid-YTW : 3.63 %
SLF.PR.B	Deemed-Retractible	-2.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.02 Bid-YTW : 7.12 %
GWO.PR.N	FixedReset	-2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.17 Bid-YTW : 8.18 %
BAM.PF.G	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.72 Evaluated at bid price : 22.11 Bid-YTW : 4.23 %
ENB.PR.Y	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 5.51 %
ENB.PF.C	FixedReset	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.58 %
MFC.PR.G	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.30 Bid-YTW : 5.68 %
W.PR.J	Perpetual-Discount	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.27 Evaluated at bid price : 23.57 Bid-YTW : 6.02 %
ENB.PR.A	Perpetual-Discount	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.82 Evaluated at bid price : 24.07 Bid-YTW : 5.73 %
BMO.PR.T	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 3.65 %
MFC.PR.N	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.86 Bid-YTW : 6.30 %
BAM.PF.F	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.68 Evaluated at bid price : 22.00 Bid-YTW : 4.23 %
MFC.PR.L	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.70 Bid-YTW : 6.29 %
ENB.PF.G	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.50 %
MFC.PR.M	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 6.38 %
NA.PR.S	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 3.87 %
RY.PR.M	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.42 Evaluated at bid price : 21.71 Bid-YTW : 3.82 %
ENB.PR.F	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 14.63 Evaluated at bid price : 14.63 Bid-YTW : 5.61 %
MFC.PR.K	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.62 Bid-YTW : 6.23 %
PWF.PR.L	Perpetual-Discount	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.27 Evaluated at bid price : 23.53 Bid-YTW : 5.46 %
RY.PR.H	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 3.67 %
TD.PF.C	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.75 %
RY.PR.O	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.68 Evaluated at bid price : 24.01 Bid-YTW : 5.15 %
FTS.PR.G	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.07 %
PWF.PR.R	Perpetual-Premium	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 24.19 Evaluated at bid price : 24.68 Bid-YTW : 5.61 %
FTS.PR.J	Perpetual-Discount	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.69 Evaluated at bid price : 22.00 Bid-YTW : 5.41 %
RY.PR.N	Perpetual-Discount	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 24.09 Evaluated at bid price : 24.45 Bid-YTW : 5.09 %
BAM.PF.E	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.29 %
ENB.PR.B	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 13.81 Evaluated at bid price : 13.81 Bid-YTW : 5.66 %
SLF.PR.E	Deemed-Retractible	1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.53 Bid-YTW : 7.11 %
POW.PR.D	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 22.32 Evaluated at bid price : 22.59 Bid-YTW : 5.60 %
CU.PR.C	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 3.68 %
PVS.PR.C	SplitShare	1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.27 %
RY.PR.I	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 3.24 %
PWF.PR.F	Perpetual-Discount	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.51 %
BAM.PR.K	Floater	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.56 %
HSE.PR.A	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 13.26 Evaluated at bid price : 13.26 Bid-YTW : 4.67 %
ELF.PR.F	Perpetual-Discount	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.96 %
RY.PR.W	Perpetual-Discount	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.97 Evaluated at bid price : 24.22 Bid-YTW : 5.07 %
BAM.PR.N	Perpetual-Discount	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.96 %
POW.PR.B	Perpetual-Discount	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 5.70 %
BMO.PR.S	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 3.67 %
POW.PR.G	Perpetual-Premium	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 24.45 Evaluated at bid price : 24.95 Bid-YTW : 5.67 %
HSE.PR.C	FixedReset	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 4.78 %
BAM.PR.C	Floater	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 10.55 Evaluated at bid price : 10.55 Bid-YTW : 4.53 %
MFC.PR.J	FixedReset	2.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 5.69 %
ENB.PR.T	FixedReset	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 5.50 %
BAM.PR.B	Floater	2.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.47 %
BAM.PR.R	FixedReset	3.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.78 %
BAM.PF.B	FixedReset	4.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 4.36 %
TRP.PR.B	FixedReset	4.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 12.55 Evaluated at bid price : 12.55 Bid-YTW : 3.95 %
HSE.PR.E	FixedReset	4.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.66 Evaluated at bid price : 22.00 Bid-YTW : 4.90 %
TRP.PR.C	FixedReset	5.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 12.77 Evaluated at bid price : 12.77 Bid-YTW : 4.32 %
TRP.PR.G	FixedReset	12.17 %	Simply a correction of yesterday‘s nonsensical quote. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 4.32 %
ELF.PR.G	Perpetual-Discount	17.97 %	Simply a correction of yesterday‘s nonsensical quote. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.63 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSB.PR.D	Deemed-Retractible	115,500	RBC crossed 112,400 at 24.99. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.28 %
BNS.PR.Q	FixedReset	71,649	Nesbitt crossed 25,000 at 25.00; TD sold 13,000 to anonymous at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.10 %
BMO.PR.T	FixedReset	55,912	Scotia crossed 24,500 at 21.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 3.65 %
RY.PR.F	Deemed-Retractible	52,083	Nesbitt crossed 50,000 at 24.98. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 4.50 %
TD.PF.C	FixedReset	46,503	TD crossed 25,000 at 20.78. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.75 %
ENB.PR.T	FixedReset	40,812	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 5.50 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.C	FixedReset	Quote: 20.51 – 22.00 Spot Rate : 1.4900 Average : 0.8454 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.75 %
HSE.PR.G	FixedReset	Quote: 22.05 – 23.69 Spot Rate : 1.6400 Average : 1.0798 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.68 Evaluated at bid price : 22.05 Bid-YTW : 4.89 %
TRP.PR.A	FixedReset	Quote: 15.15 – 16.20 Spot Rate : 1.0500 Average : 0.6557 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 15.15 Evaluated at bid price : 15.15 Bid-YTW : 4.54 %
BAM.PF.F	FixedReset	Quote: 22.00 – 22.90 Spot Rate : 0.9000 Average : 0.5698 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.68 Evaluated at bid price : 22.00 Bid-YTW : 4.23 %
ENB.PR.A	Perpetual-Discount	Quote: 24.07 – 24.80 Spot Rate : 0.7300 Average : 0.4483 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.82 Evaluated at bid price : 24.07 Bid-YTW : 5.73 %
CM.PR.Q	FixedReset	Quote: 22.02 – 22.95 Spot Rate : 0.9300 Average : 0.6495 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.66 Evaluated at bid price : 22.02 Bid-YTW : 3.93 %

Market Action

August 24, 2015

It was a day and a half for the equities markets:

The Standard & Poor’s 500 Index fell into a correction for the first time since 2011 in one of the most volatile trading days ever, as a rout in global equity markets deepened.

It was a day of wild swings as equities plunged at the open before staging a sharp rebound, with the Nasdaq 100 Index by midday nearly erasing a 9.8 percent drop. The Dow Jones Industrial Average dropped 1,000 points in the opening minutes of trading, while the S&P 500 tumbled 5.3 percent and then pared declines before an afternoon wave of renewed selling.

The S&P 500 dropped 3.9 percent to 1,893.21 at 4 p.m. in New York, and closed 11 percent below its May record. The Dow lost 588.40 points, or 3.6 percent, to 15,871.35, after sliding as much as 6.6 percent. The Nasdaq Composite Index retreated 3.8 percent to its lowest level since Oct. 27, trimming an early 8.8 percent skid.

Oil got clobbered:

West Texas intermediate oil (WTI) on Monday crashed below $40 (U.S.) a barrel in its biggest one-day drop in almost two months, extending losses as concerns over the health of China’s economy triggered a broad selloff in everything from metals to health and finance.
…
On Monday, WTI oil posted another loss, tumbling more than 5 per cent to $38.24 a barrel. Brent, the global benchmark, fell 6.1 per cent to $42.69 a barrel.

So Canadian equities and the loonie got smacked:

The S&P/TSX index dropped more than 420.9 points or 3.12 per cent to 13,052.74, the worst in almost plunge in almost four years. All 10 main groups fell at least 1 per cent, with the energy sector off 4.3 per cent as WTI crude oil prices slumped near the $38 (U.S.) level. The benchmark Canadian equity gauge has fallen 9.8 per cent this month, headed for a fourth straight monthly decline, the longest such streak since September, 2011.

The Canadian dollar was down nearly half a cent at 75.40 cents (U.S.).

And the news was being talked about even by those with no interest in economics:

The Prime Minister’s Office announced that Stephen Harper spoke with Bank of Canada Governor Stephen Poloz Monday about the latest upheaval in financial markets.
…
The notice made no mention of Finance Minister Joe Oliver, who would normally be the government’s main point of contact with the Bank of Canada.

And so there was an unwelcome guest in the preferred share market today:

Click for Big

At press time, a Bloomberg story timestamped 2:21am reported:

U.S. and European equity-index futures advanced after Monday’s $2.7 trillion global equity wipeout, while the yen retreated with government bonds. Chinese shares headed for the biggest four-day drop in almost 19 years.

Futures on the Standard & Poor’s 500 Index rose 1.2 percent after the U.S. benchmark entered a correction for the first time since 2011. The Shanghai Composite Index took its loss since Wendnesday beyond 20 percent as investors question the government’s ability to stem losses. The dollar strengthened versus major peers as 10-year Treasury yields rose for the first time in five days. Oil climbed 1.4 percent in New York after falling to $38.24 a barrel.

It was a thoroughly appalling day for the Canadian preferred share market; there may have been worse ones during the depths of the Credit Crunch nearly seven years ago, but I can’t think of any offhand. PerpetualDiscounts were down 217bp, FixedResets lost 274bp and DeemedRetractibles were off 94bp. Huge losses in Floaters and SplitShares that would normally be worth special mention are today mere bagatelles. With all that, it may come as a surprise that there was one winner in today’s extraordinarily lengthy Performance Highlights table; but this table also contains fourteen issues losing more than 5%, a level that is usually indicative of a grievous error. Volume was very high, but block action was subdued.

Here’s TRP:

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A big jump in Implied Volatility today, but whether it’s meaningful in the light of such poorly fitting data is another question!

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.20 to be $1.58 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.60 cheap at its nonsensical bid price of 18.81 (see discussion in the Performance Highlights table).

Click for Big

Another good fit today! There was another massive increase in Implied Volatility today. Two MFC issues had sufficiently poor bid/bid performances over the day to be discussed further in the Performance Highlights table, but those bids were deemed to be reasonable.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.27 to be 0.63 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 20.41 to be 0.81 cheap.

Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.62 to be $2.16 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.60 and appears to be $1.49 rich.

Click for Big

A big jump in Implied Volatility to an unreasonably high level today.

FTS.PR.K, with a spread of +205bp, and bid at 18.20, 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 17.80 and is $0.43 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.52%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.87% and the unregulated issues averaging -0.02%. There is one junk outlier above +0.80% and three below -1.20%.

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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	-2.5738 %	1,606.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	-2.5738 %	2,809.1
Floater	4.57 %	4.62 %	56,066	16.12	3	-2.5738 %	1,708.0
OpRet	0.00 %	0.00 %	0	0.00	0	-1.4508 %	2,731.0
SplitShare	4.71 %	5.47 %	56,283	3.13	3	-1.4508 %	3,200.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-1.4508 %	2,497.2
Perpetual-Premium	5.78 %	5.80 %	63,425	14.11	9	-0.9975 %	2,460.1
Perpetual-Discount	5.59 %	5.59 %	79,394	14.48	29	-2.1685 %	2,527.9
FixedReset	5.06 %	4.26 %	195,595	15.30	87	-2.7381 %	2,087.4
Deemed-Retractible	5.21 %	5.34 %	98,904	5.56	34	-0.9440 %	2,537.7
FloatingReset	2.38 %	3.63 %	48,654	5.96	9	-1.0250 %	2,184.2

Performance Highlights
Issue	Index	Change	Notes
ELF.PR.G	Perpetual-Discount	-16.71 %	This is ridiculous. The issue traded 4,000 shares today in a range of 21.50-74, making it one of the better behaved issues, and still the TMX quotes it with a nonsensical bid. I have not checked whether this lamentable state of affairs 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 : 2045-08-24 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 6.65 %
TRP.PR.G	FixedReset	-8.91 %	Another ridiculous misquotation from the Toronto Exchange. The issue traded 9,120 shares today in a range of 18.47-22.04, which sounds quite exciting, but the VWAP was 20.62 – only a nickel below yesterday’s closing price – and the closing price was 21.20; so on a close/close basis, the issue is actually a winner! I have not checked whether this lamentable state of affairs 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 : 2045-08-24 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.85 %
FTS.PR.M	FixedReset	-8.46 %	The issue traded 10,515 shares today in a range of 19.63-21.51 (!) before closing at a quote of 19.70-00. The VWAP was 20.02, so this quotations is actually quite reasonable. Hurray! Send a thank-you card to the Toronto Exchange and bake them a cake! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.22 %
BAM.PR.T	FixedReset	-8.15 %	The issue traded 15,481 shares today in a range of 16.50-17.91 before closing with a quote of 16.45-21. The VWAP was 17.20, but the last twenty-four trades of the day, commencing at 2:48pm, were all at 16.69 and below, so again we can rejoice that the Exchange has not made an obvious error this time. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 4.77 %
FTS.PR.K	FixedReset	-6.67 %	The issue traded 11,870 shares today in a range of 18.08-75 before closing with a quote of 18.20-55. There were eight trades after 3pm, all executed at 18.32 and below, so we’ll give the Exchange a pass on this one as well. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.00 %
TD.PF.E	FixedReset	-6.65 %	The issue traded 2,770 shares in a range of 23.97-57 before closing with a quote of 23.02-24.25. The VWAP was 24.17. I have not checked whether this lamentable state of affairs 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 : 2045-08-24 Maturity Price : 22.28 Evaluated at bid price : 23.02 Bid-YTW : 3.81 %
MFC.PR.M	FixedReset	-6.19 %	The issue traded 10,467 shares in a range of 19.58-21.46 before closing with a quote of 20.14-35. VWAP was 20.29. There were a lot of 100-lots traded after 3pm, some as low as 19.58 but most closer to 20.00, so we can call this a reasonable quote. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.14 Bid-YTW : 6.18 %
BAM.PF.B	FixedReset	-5.67 %	The issue traded 18,965 shares today in an extraordinary range of 17.67-20.50 (I don’t think we’ve seen anything like that, at least for a non-special-situation company, since the Credit Crunch!) before closing with a quote of 19.15-20.16. The VWAP was 19.84. All twenty-five trades executed after 3:26pm were at or below the closing bid – some, like four trades totalling 600 shares at 17.67, well below! – so this is a decent bid. Given the day’s action, I’ll cut the market maker a little slack on the closing offer and consequent wide spread. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.56 %
ENB.PR.B	FixedReset	-5.54 %	This issue traded 8,250 shares today in a range of 13.20-11, with a VWAP of 13.74, before closing with a quote of 13.64-89, which is quite reasonable. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 13.64 Evaluated at bid price : 13.64 Bid-YTW : 5.74 %
MFC.PR.N	FixedReset	-5.39 %	The issue traded 5,925 shares today in a range of 19.80-21.40, with a VWAP of 20.47, before closing with a quote of 20.18-21.45. The last twelve trades of the day, commencing at 3:05pm, were al below 20.00, so the closing bid of 20.18 is reasonable; or, should I say, a reasonable reflection of market conditions! YTW SCENARIO Maturity Type : Hard Maturity1 Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.18 Bid-YTW : 6.09 %
ENB.PF.A	FixedReset	-5.34 %	The issue traded 8,491 shares today in a range of 15.34-16.97, with a VWAP of 16.23, before closing with a quote of 16.13-28 – a surprisingly tight quote! Additionally, each of the last 23 trades, commencing at 1:54pm, were inside the closing quote, so for this one we should actually give the market maker a pat on the back. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.13 Evaluated at bid price : 16.13 Bid-YTW : 5.53 %
HSE.PR.C	FixedReset	-5.34 %	The issue traded 7,290 shares today in a range of 20.00-21.08, with a VWAP of 20.65, before closing with a quote of 20.40-80. The last trade for the day, 100 shares at 1:17pm, was executed at 20.27. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 4.90 %
FTS.PR.G	FixedReset	-5.32 %	The issue traded 4,560 shares today in a range of 16.62-18.57, with a VWAP of 18.07, before closing with a quote of 17.80-50. The last fourteen trades of the day, commencing at 12:12pm, were all inside the closing quote. So it’s OK … kind of a wide spread, but that’s what happens when the devil comes to town! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.11 %
TRP.PR.F	FloatingReset	-5.22 %	The issue traded 4,750 shares today in a range of 12.01-14.28 (!), with a VWAP of 13.74, before closing with a quote of 14.33-50. So the closing bid was above the day high; I think we can call this, if anything, a rather sunny quote! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.33 Evaluated at bid price : 14.33 Bid-YTW : 4.00 %
ENB.PR.T	FixedReset	-4.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 5.65 %
NA.PR.W	FixedReset	-4.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 3.85 %
BAM.PR.N	Perpetual-Discount	-4.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.97 Evaluated at bid price : 19.97 Bid-YTW : 6.06 %
TRP.PR.C	FixedReset	-4.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 12.16 Evaluated at bid price : 12.16 Bid-YTW : 4.54 %
RY.PR.M	FixedReset	-4.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.63 Evaluated at bid price : 22.00 Bid-YTW : 3.77 %
MFC.PR.J	FixedReset	-4.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 6.03 %
IFC.PR.A	FixedReset	-4.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.25 Bid-YTW : 8.56 %
RY.PR.J	FixedReset	-4.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.99 Evaluated at bid price : 22.50 Bid-YTW : 3.76 %
FTS.PR.H	FixedReset	-4.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 3.65 %
BMO.PR.Q	FixedReset	-4.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.46 Bid-YTW : 4.68 %
HSE.PR.E	FixedReset	-4.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.16 %
BAM.PR.C	Floater	-4.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 10.28 Evaluated at bid price : 10.28 Bid-YTW : 4.65 %
BNS.PR.Z	FixedReset	-4.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 5.19 %
ENB.PF.C	FixedReset	-4.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.31 Evaluated at bid price : 16.31 Bid-YTW : 5.47 %
ELF.PR.F	Perpetual-Discount	-3.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.94 Evaluated at bid price : 22.18 Bid-YTW : 6.05 %
BNS.PR.Y	FixedReset	-3.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.87 Bid-YTW : 4.81 %
ENB.PR.N	FixedReset	-3.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 15.12 Evaluated at bid price : 15.12 Bid-YTW : 5.66 %
GWO.PR.R	Deemed-Retractible	-3.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.82 Bid-YTW : 6.79 %
NA.PR.S	FixedReset	-3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 3.82 %
ENB.PR.F	FixedReset	-3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.82 Evaluated at bid price : 14.82 Bid-YTW : 5.53 %
MFC.PR.I	FixedReset	-3.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.81 Bid-YTW : 5.42 %
BAM.PR.R	FixedReset	-3.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 15.62 Evaluated at bid price : 15.62 Bid-YTW : 4.93 %
ENB.PF.E	FixedReset	-3.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 5.48 %
BMO.PR.S	FixedReset	-3.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 3.74 %
PWF.PR.S	Perpetual-Discount	-3.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.65 %
BNS.PR.D	FloatingReset	-3.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.46 Bid-YTW : 4.62 %
BMO.PR.W	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 3.73 %
MFC.PR.G	FixedReset	-3.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.69 Bid-YTW : 5.44 %
GWO.PR.H	Deemed-Retractible	-3.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 6.70 %
ENB.PF.G	FixedReset	-3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.41 %
BAM.PF.C	Perpetual-Discount	-2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.10 %
ENB.PR.P	FixedReset	-2.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.88 Evaluated at bid price : 14.88 Bid-YTW : 5.56 %
IFC.PR.C	FixedReset	-2.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.30 Bid-YTW : 6.15 %
FTS.PR.F	Perpetual-Discount	-2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.56 %
BAM.PR.M	Perpetual-Discount	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 6.01 %
SLF.PR.I	FixedReset	-2.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.00 %
ENB.PR.J	FixedReset	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.36 %
BAM.PR.K	Floater	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 10.35 Evaluated at bid price : 10.35 Bid-YTW : 4.62 %
W.PR.H	Perpetual-Discount	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.42 Evaluated at bid price : 23.71 Bid-YTW : 5.87 %
BAM.PF.D	Perpetual-Discount	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.07 %
SLF.PR.H	FixedReset	-2.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 6.23 %
SLF.PR.E	Deemed-Retractible	-2.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 7.28 %
SLF.PR.D	Deemed-Retractible	-2.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.13 Bid-YTW : 7.32 %
POW.PR.B	Perpetual-Discount	-2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.10 Evaluated at bid price : 23.36 Bid-YTW : 5.80 %
MFC.PR.L	FixedReset	-2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.09 %
PWF.PR.R	Perpetual-Premium	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.92 Evaluated at bid price : 24.40 Bid-YTW : 5.67 %
POW.PR.G	Perpetual-Premium	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.92 Evaluated at bid price : 24.40 Bid-YTW : 5.80 %
TD.PF.B	FixedReset	-2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 3.71 %
CM.PR.P	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.76 %
TD.PF.D	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.29 Evaluated at bid price : 23.01 Bid-YTW : 3.72 %
FTS.PR.J	Perpetual-Discount	-2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.43 Evaluated at bid price : 21.75 Bid-YTW : 5.47 %
ENB.PR.H	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 13.60 Evaluated at bid price : 13.60 Bid-YTW : 5.46 %
BAM.PF.E	FixedReset	-2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.34 %
POW.PR.D	Perpetual-Discount	-2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.67 %
SLF.PR.A	Deemed-Retractible	-2.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.32 Bid-YTW : 6.87 %
GWO.PR.L	Deemed-Retractible	-2.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.68 Bid-YTW : 5.99 %
BAM.PF.A	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 4.36 %
BMO.PR.T	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 3.58 %
TRP.PR.A	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 15.13 Evaluated at bid price : 15.13 Bid-YTW : 4.55 %
MFC.PR.H	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 4.79 %
BIP.PR.A	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.14 %
ENB.PR.Y	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 15.03 Evaluated at bid price : 15.03 Bid-YTW : 5.39 %
GWO.PR.G	Deemed-Retractible	-2.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 6.34 %
CM.PR.O	FixedReset	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.61 Evaluated at bid price : 21.90 Bid-YTW : 3.57 %
MFC.PR.K	FixedReset	-1.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.87 Bid-YTW : 6.06 %
GWO.PR.I	Deemed-Retractible	-1.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 6.82 %
SLF.PR.B	Deemed-Retractible	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.57 Bid-YTW : 6.76 %
PWF.PR.P	FixedReset	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.53 %
SLF.PR.C	Deemed-Retractible	-1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 7.24 %
ENB.PR.D	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 5.52 %
HSE.PR.G	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.64 Evaluated at bid price : 22.00 Bid-YTW : 4.90 %
PWF.PR.F	Perpetual-Discount	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.38 Evaluated at bid price : 23.67 Bid-YTW : 5.59 %
CM.PR.Q	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.16 Evaluated at bid price : 22.79 Bid-YTW : 3.77 %
TD.PF.A	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.89 Evaluated at bid price : 20.89 Bid-YTW : 3.70 %
PVS.PR.C	SplitShare	-1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.42 Bid-YTW : 5.89 %
POW.PR.A	Perpetual-Premium	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 24.25 Evaluated at bid price : 24.55 Bid-YTW : 5.77 %
TD.PF.C	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.74 Evaluated at bid price : 20.74 Bid-YTW : 3.71 %
GWO.PR.S	Deemed-Retractible	-1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.51 Bid-YTW : 5.67 %
RY.PR.I	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.46 Bid-YTW : 3.48 %
PWF.PR.K	Perpetual-Discount	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.57 %
PVS.PR.B	SplitShare	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.51 Bid-YTW : 4.96 %
RY.PR.W	Perpetual-Discount	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.59 Evaluated at bid price : 23.86 Bid-YTW : 5.15 %
RY.PR.N	Perpetual-Discount	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.82 Evaluated at bid price : 24.16 Bid-YTW : 5.16 %
PWF.PR.E	Perpetual-Discount	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.99 Evaluated at bid price : 24.24 Bid-YTW : 5.72 %
W.PR.J	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.90 %
GWO.PR.Q	Deemed-Retractible	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 6.04 %
BAM.PR.Z	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 4.42 %
TRP.PR.B	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 4.13 %
GWO.PR.M	Deemed-Retractible	-1.29 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 5.72 %
MFC.PR.C	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 7.15 %
RY.PR.L	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.63 %
CU.PR.G	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 5.53 %
BMO.PR.Y	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.73 Evaluated at bid price : 23.89 Bid-YTW : 3.57 %
TD.PR.Z	FloatingReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 3.63 %
RY.PR.H	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 3.63 %
CU.PR.F	Perpetual-Discount	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.52 %
IAG.PR.G	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.08 Bid-YTW : 4.21 %
VNR.PR.A	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.52 %
PVS.PR.D	SplitShare	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 5.47 %
GWO.PR.N	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.55 Bid-YTW : 7.86 %
GWO.PR.P	Deemed-Retractible	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.89 %
TRP.PR.D	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 4.23 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.E	FixedReset	94,877	RBC bought two blocks of 25,000 each from Scotia, both at 19.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.26 %
BMO.PR.L	Deemed-Retractible	37,430	Nesbitt crossed 21,500 at 25.56. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-09-23 Maturity Price : 25.50 Evaluated at bid price : 25.56 Bid-YTW : 2.64 %
CM.PR.O	FixedReset	32,005	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.61 Evaluated at bid price : 21.90 Bid-YTW : 3.57 %
IGM.PR.B	Perpetual-Premium	27,800	Nesbitt crossed 25,000 at 25.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 5.88 %
SLF.PR.A	Deemed-Retractible	27,791	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.32 Bid-YTW : 6.87 %
RY.PR.Z	FixedReset	27,499	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 3.61 %
There were 48 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ELF.PR.G	Perpetual-Discount	Quote: 18.14 – 21.50 Spot Rate : 3.3600 Average : 1.9784 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 6.65 %
TRP.PR.G	FixedReset	Quote: 18.81 – 22.05 Spot Rate : 3.2400 Average : 1.9794 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.85 %
TD.PF.E	FixedReset	Quote: 23.02 – 24.25 Spot Rate : 1.2300 Average : 0.6641 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.28 Evaluated at bid price : 23.02 Bid-YTW : 3.81 %
MFC.PR.N	FixedReset	Quote: 20.18 – 21.45 Spot Rate : 1.2700 Average : 0.7800 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.18 Bid-YTW : 6.09 %
BAM.PF.B	FixedReset	Quote: 19.15 – 20.16 Spot Rate : 1.0100 Average : 0.6249 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.56 %
BAM.PR.T	FixedReset	Quote: 16.45 – 17.21 Spot Rate : 0.7600 Average : 0.4528 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 4.77 %

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