Category: Market Action

Market Action

July 9, 2015

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

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

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

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

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

Our recommendations:

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

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

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

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

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

Meanwhile the IMF has cut growth projections:

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

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

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

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

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

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

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

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

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

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

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

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

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

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

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

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

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

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

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

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

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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 -6.9710 % 1,961.7

FixedFloater 0.00 % 0.00 % 0 0.00 0 -6.9710 % 3,429.9

Floater 3.95 % 3.98 % 59,130 17.50 3 -6.9710 % 2,085.4

OpRet 0.00 % 0.00 % 0 0.00 0 0.4324 % 2,760.7

SplitShare 4.61 % 4.90 % 68,816 3.22 3 0.4324 % 3,235.4

Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4324 % 2,524.4

Perpetual-Premium 5.51 % 3.74 % 66,320 0.08 13 -0.2673 % 2,513.4

Perpetual-Discount 5.42 % 5.35 % 92,475 14.84 21 -1.3662 % 2,643.0

FixedReset 4.70 % 3.82 % 219,660 16.10 88 -1.7469 % 2,238.3

Deemed-Retractible 5.02 % 3.68 % 106,150 0.79 34 -0.3477 % 2,623.0

FloatingReset 2.53 % 3.18 % 56,355 6.07 10 -1.3034 % 2,278.2

Performance Highlights

Issue Index Change Notes

BAM.PR.B Floater -7.25 % This is reasonably accurate; the low for the day was equal to the close at 12.95, with most of the last twenty-five trades being a few pennies above 13.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 3.92 %

BAM.PR.C Floater -7.06 % This is also reasonable, as late-afternoon weakness took almost all of the last twenty-five trades of the day to or below 12.75.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.01 %

BAM.PR.K Floater -6.59 % Reasonable, given that the low was also the close for the day at 12.82, although there were few trades in the afternoon when the price of Floaters (see above) simply collapsed.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 3.98 %

NA.PR.S FixedReset -5.46 % Nothing wrong with the closing bid of 21.98; a lot of trades in the late afternoon were well below this figure, with a low for the day of 21.76.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.68
Evaluated at bid price : 21.98
Bid-YTW : 3.76 %

ENB.PR.N FixedReset -5.42 % Yep, there were lots of trades in the last two minutes near the closing bid of 17.45, and the low for the day was 17.22.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.12 %

ENB.PR.P FixedReset -4.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.10 %

TD.PF.A FixedReset -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.80 %

NA.PR.W FixedReset -4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 3.82 %

MFC.PR.K FixedReset -4.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 5.82 %

ENB.PR.Y FixedReset -4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.10 %

BAM.PR.M Perpetual-Discount -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.02 %

BAM.PF.E FixedReset -4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.28 %

RY.PR.Z FixedReset -4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 3.67 %

MFC.PR.J FixedReset -4.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 4.44 %

BAM.PF.D Perpetual-Discount -4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 6.01 %

CU.PR.E Perpetual-Discount -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.78
Evaluated at bid price : 23.11
Bid-YTW : 5.35 %

RY.PR.H FixedReset -3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.81 %

BAM.PR.N Perpetual-Discount -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.99 %

BAM.PF.C Perpetual-Discount -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.03 %

CU.PR.D Perpetual-Discount -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.81
Evaluated at bid price : 23.14
Bid-YTW : 5.35 %

ENB.PR.T FixedReset -3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.06 %

VNR.PR.A FixedReset -3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.12 %

BAM.PF.B FixedReset -3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 4.49 %

BAM.PF.G FixedReset -3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.91
Evaluated at bid price : 22.39
Bid-YTW : 4.27 %

BAM.PR.R FixedReset -3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.41 %

HSE.PR.E FixedReset -3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.39
Evaluated at bid price : 23.17
Bid-YTW : 4.70 %

TRP.PR.A FixedReset -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 3.74 %

TD.PF.E FixedReset -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.81
Evaluated at bid price : 24.11
Bid-YTW : 3.69 %

BAM.PR.X FixedReset -3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 4.22 %

PWF.PR.P FixedReset -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.50 %

TD.PF.B FixedReset -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 3.76 %

TRP.PR.F FloatingReset -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 3.40 %

HSE.PR.C FixedReset -2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.07
Evaluated at bid price : 22.61
Bid-YTW : 4.46 %

IFC.PR.A FixedReset -2.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 6.49 %

ENB.PR.H FixedReset -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.97 %

ENB.PR.F FixedReset -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.13 %

ENB.PF.C FixedReset -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 5.10 %

SLF.PR.H FixedReset -2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 5.79 %

MFC.PR.M FixedReset -2.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.48
Bid-YTW : 5.48 %

ENB.PF.E FixedReset -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.10 %

SLF.PR.I FixedReset -2.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.03
Bid-YTW : 4.16 %

BNS.PR.D FloatingReset -2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.06
Bid-YTW : 3.48 %

IAG.PR.G FixedReset -2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 4.15 %

BAM.PR.T FixedReset -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.25 %

TD.PF.C FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 3.77 %

IFC.PR.C FixedReset -2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.02
Bid-YTW : 5.15 %

ENB.PR.D FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 4.99 %

BMO.PR.T FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 3.78 %

SLF.PR.C Deemed-Retractible -2.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.00 %

ENB.PF.A FixedReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 5.09 %

CM.PR.Q FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.86
Evaluated at bid price : 24.20
Bid-YTW : 3.58 %

MFC.PR.L FixedReset -2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.02
Bid-YTW : 5.59 %

BNS.PR.B FloatingReset -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.19
Bid-YTW : 3.37 %

BAM.PF.F FixedReset -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.21
Evaluated at bid price : 22.80
Bid-YTW : 4.16 %

ENB.PF.G FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 5.10 %

GWO.PR.I Deemed-Retractible -1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.77
Bid-YTW : 5.77 %

TRP.PR.G FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.88
Evaluated at bid price : 24.30
Bid-YTW : 3.78 %

MFC.PR.G FixedReset -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.95 %

PWF.PR.T FixedReset -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.93
Evaluated at bid price : 24.07
Bid-YTW : 3.35 %

TRP.PR.C FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 3.76 %

BMO.PR.S FixedReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.62
Evaluated at bid price : 21.90
Bid-YTW : 3.75 %

SLF.PR.B Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.53
Bid-YTW : 5.65 %

SLF.PR.E Deemed-Retractible -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 5.84 %

HSE.PR.A FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 4.17 %

BMO.PR.W FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.79 %

BAM.PF.A FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 4.33 %

SLF.PR.D Deemed-Retractible -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 5.99 %

TD.PR.Z FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 3.16 %

PWF.PR.L Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.20 %

CM.PR.O FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 3.72 %

SLF.PR.G FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 7.32 %

PWF.PR.R Perpetual-Premium -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.46
Bid-YTW : 5.20 %

MFC.PR.H FixedReset -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 3.52 %

CU.PR.F Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 5.16 %

RY.PR.K FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.93
Bid-YTW : 3.17 %

BNS.PR.A FloatingReset -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 3.18 %

BNS.PR.Y FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 3.69 %

BMO.PR.R FloatingReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 3.12 %

RY.PR.J FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.85
Evaluated at bid price : 24.15
Bid-YTW : 3.59 %

PVS.PR.B SplitShare 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 4.78 %

HSE.PR.G FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.84
Evaluated at bid price : 24.15
Bid-YTW : 4.47 %

GWO.PR.N FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.70
Bid-YTW : 7.03 %

FTS.PR.M FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.94
Evaluated at bid price : 22.40
Bid-YTW : 3.83 %

Volume Highlights

Issue Index Shares
Traded Notes

BMO.PR.S FixedReset 223,171 RBC crossed six blocks totalling 145,200 shares, all at 21.90.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.62
Evaluated at bid price : 21.90
Bid-YTW : 3.75 %

TD.PF.D FixedReset 146,020 Desjardins crossed 29,700 at 24.10; RBC crossed blocks of 50,000 and 25,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.77
Evaluated at bid price : 24.00
Bid-YTW : 3.62 %

TRP.PR.D FixedReset 131,131 RBC Crossed three blocks of 25,000 each, all at 21.55.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 3.88 %

FTS.PR.M FixedReset 82,714 RBC crossed blocks of 23,800 at 24,500, both at 22.85.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.94
Evaluated at bid price : 22.40
Bid-YTW : 3.83 %

CM.PR.O FixedReset 79,049 RBC crossed 46,700 at 21.65.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 3.72 %

RY.PR.Z FixedReset 70,757 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 3.67 %

There were 70 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights

Issue Index Quote Data and Yield Notes

MFC.PR.K FixedReset Quote: 20.50 – 22.64
Spot Rate : 2.1400
Average : 1.2800

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 5.82 %

SLF.PR.I FixedReset Quote: 24.03 – 24.90
Spot Rate : 0.8700
Average : 0.5897

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.03
Bid-YTW : 4.16 %

TRP.PR.F FloatingReset Quote: 18.04 – 18.82
Spot Rate : 0.7800
Average : 0.5253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 3.40 %

PWF.PR.P FixedReset Quote: 17.13 – 17.70
Spot Rate : 0.5700
Average : 0.3623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.50 %

SLF.PR.H FixedReset Quote: 20.10 – 20.75
Spot Rate : 0.6500
Average : 0.4463

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 5.79 %

RY.PR.J FixedReset Quote: 24.15 – 24.75
Spot Rate : 0.6000
Average : 0.4000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.85
Evaluated at bid price : 24.15
Bid-YTW : 3.59 %

Market Action

July 8, 2015

The NYSE was not open for much of the day:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

But China wins the prize:

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

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

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

The new initiative was met with well-deserved scorn:

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

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

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

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

Fed minutes show the FOMC was worried about this:

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

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

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

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

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

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

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

and there were calls for a policy rate cut:

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

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

exacerbated by a flight to Treasuries:

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

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

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

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

So according to the preferred share market …

Click for Big

IT’S THE END OF THE WORLD!!!!!

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

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

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

Click for Big

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

Click for Big

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

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

Click for Big

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

Click for Big

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

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

Click for Big

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

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

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

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

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

Market Action

July 7, 2015

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

The outlook for the Canadian dollar just got worse.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

It didn’t help much:

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

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

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

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

Here’s TRP:

Click for Big

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

Click for Big

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

Click for Big

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

Click for Big

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

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.15%, including the outliers TRP.PR.A / TRP.PR.F at -0.07%, BMO.PR.M / BMO.PR.R at -0.01%, BNS.PR.Q / BNS.PR.B at -0.21% and TRP.PR.B / TRP.PR.H at -0.67% (note that the bid price for TRP.PR.H is silly). On the junk side, three of the six pairs are outliers, two pairs with negative break-even yields, and one above 1.00%.

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	-1.8700 %	2,172.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.8700 %	3,799.2
Floater	3.56 %	3.62 %	59,926	18.28	3	-1.8700 %	2,309.9
OpRet	0.00 %	0.00 %	0	0.00	0	0.0537 %	2,770.3
SplitShare	4.59 %	4.96 %	62,085	3.23	3	0.0537 %	3,246.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0537 %	2,533.2
Perpetual-Premium	5.46 %	3.61 %	64,464	0.31	13	0.1298 %	2,519.7
Perpetual-Discount	5.31 %	5.21 %	93,109	14.85	21	0.2454 %	2,691.9
FixedReset	4.54 %	3.58 %	213,378	16.30	88	-0.5323 %	2,317.6
Deemed-Retractible	4.99 %	3.15 %	106,291	0.79	34	0.2349 %	2,634.8
FloatingReset	2.50 %	2.95 %	52,719	6.09	10	-0.6437 %	2,305.5

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

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

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

Market Action

July 6, 2015

The latest worry is Quantitative Easing effects on European corporate bond liquidity:

The European Central Bank’s addition of three listed companies’ notes to a bond-buying program has sparked concerns about how far it may push into the corporate-bond market and the impact this would have on already tight liquidity.

The inclusion of the listed companies, all Italian utilities less than 30 percent state owned, may mark a first step toward buying bonds from any government-backed company, BNP Paribas SA analysts wrote in a note. That may open as much as 157 billion euros ($174 billion) of securities outstanding to potential ECB buying, including notes from Volkswagen AG, Airbus Group SE and Telekom Austria AG, they said.

“Let’s hope the ECB leaves its additions here, but there are plenty more companies that seem to tick its latest box for inclusion,” said Jeroen Van Den Broek, the head of developed-markets credit strategy and research at ING Bank NV in Amsterdam. “With the ECB buying up what little liquidity there is left in euro-zone investment-grade corporates, it pushes real money managers even further down the curve.”

Liquidity has already plunged in the corporate-bond market, with trading tumbling about 90 percent since 2006, according to Royal Bank of Scotland Group Plc. That slump, predominately caused by banks cutting holdings to preserve capital in response to tougher capital rules, has prompted the Bank for International Settlements to warn about liquidity traps.

The Chinese may be relative newcomers to equity markets but they’ve got the official response to downturns down pat:

Rumor-spreading short sellers and foreign investors with a hidden agenda.

If you believe China’s state-run media, those are some of the key culprits for a stock-market rout that erased $3.2 trillion of value in three weeks — or almost $1 million for each minute of trading on mainland exchanges. The underlying message, that market manipulation is fueling the selloff, was reinforced by securities regulators last week as they pledged to crack down on “vicious” short selling.

The problem with that narrative, though, is that the numbers tell a different story. Short positions on the Shanghai Stock Exchange totaled just 1.95 billion yuan ($314 million) on Thursday, or less than 0.03 percent of the country’s market capitalization, as bears closed out more than half their bets since June 12. Foreign money managers own fewer than 3 percent of Chinese shares, and they’ve been adding to holdings in Shanghai as prices tumble.

There has been lots of credit news lately! Greece … Puerto Rico … Ontario:

•We are lowering our long-term issuer credit and senior unsecured debt ratings on the Province of Ontario to ‘A+’ from ‘AA-‘.
•At the same time, we are affirming our ‘A-1+’ short-term and commercial paper ratings on the province.
•The downgrade reflects our view that Ontario is a sustained and projected underperformer on its budgetary performance and debt burden versus domestic and international peers.
•The stable outlook reflects our expectation that, under our base-case scenario, Ontario will continue to make slow progress in reducing its after-capital deficit in the next two fiscal years and that it will continue with its stated 10-year capital plan.

RATING ACTION
On July 6, 2015, Standard & Poor’s Ratings Services lowered its long-term issuer credit rating and senior unsecured debt ratings on the Province of Ontario to ‘A+’ from ‘AA-‘. At the same time, Standard & Poor’s affirmed its ‘A-1+’ short-term and commercial paper ratings on the province. The outlook is stable.

RATIONALE
The downgrade reflects our view that Ontario is a sustained and projected underperformer on its budgetary performance and debt burden versus domestic and international peers. Although Ontario continues to beat its fiscal targets and expects to close its operating budget gap by fiscal 2018 (year-ended March 31), it will still have to contend with sizable yearly after-capital deficits, given its large net capital spending intentions. Under our base-case scenario, we foresee Ontario’s after-capital deficit remaining above 7% of total adjusted revenues over the next two years. Additional capital revenues from potential asset sales or the cap-and-trade scheme put forward but not articulated in the fiscal 2016 budget could mitigate the province’s medium-term borrowing demands. In the next two years, however, we expect capital funding needs to cause Ontario’s tax-supported debt to peak at 267% of consolidated operating revenues (and its interest payments to remain near 9%of adjusted operating revenues from fiscal years 2015-2017), which we consider very high. While some domestic and international peers display very weak budgetary performances or very high debt burdens similarly, it is the combination of both that sets Ontario apart from the group, leading us to conclude that its credit profile is more consistent with an ‘A+’ rating.

I just hope they’ve accounted for the near-certainty that the millions of tourists coming here for the Pan-Scam Games will be so impressed by our enormous solar power research, engineering and production industry that they place huge orders.

Margaret Wente had a thought-provoking piece in the Globe on the weekend, The world’s nicest, most law-abiding generation:

Social norms have changed a lot since then. The past 50 years have been a watershed for attitudes toward everything from sexism and human rights to littering (now almost a capital offence). By almost any measure you can find, people across the developed world today are the least violent, most law-abiding, hardest-working and most tolerant generation who ever lived.

The biggest measurable change is in violent crime. After peaking in the 1990s, crime rates have plummeted across the developed world, even in the famously violent United States. In Canada, crime rates are now back to where they were in the 1960s. Although theories abound, nobody really knows why.
…
What explains this remarkable progress in conduct and morality? Harvard psychologist Stephen Pinker argues that they are simply the continuation of a long-term evolution in behaviour that began centuries ago. Since medieval times, Northern Europeans have gradually grown less cruel, less violent, and more self-restrained. As society became more complex, it rewarded people who were more diligent, prudent and mild-mannered, and punished people with poor impulse control.
…
This evolution hasn’t stopped. As Simon Kuper suggested in the Financial Times this week, modern society increasingly rewards restraint. Discipline, self-control, compliance and the ability to get along with others are more important than they’ve ever been. Parents increasingly seek to instill those values in their children. They know there’s no frontier to escape to any more. They know that if their kid can’t manage to sit still and behave himself in school for a minimum of 12 to 14 years, that kid will be a loser.

Simon Kuper’s piece in the Financial Times, Why safety now trumps freedom suggests:

Elias’s great work, The Civilizing Process, argued that humans have been getting less violent since medieval times. States forced them to behave, and growing trade encouraged them to. Sadly, Elias’s timing was terrible. His book appeared in German in 1939, just as civilisation was collapsing. But today his argument sounds more credible. We now have evidence — which Elias didn’t — that western homicides have fallen fairly steadily for 700 years.

One disciple of Elias, the Harvard psychologist Steven Pinker, argues that in the 1990s western countries embarked on one of their periodic “civilising processes”. Governments got “tough on crime”. Social norms changed too. The 1960s ethos of “do your own thing, let it all hang out, take a walk on the wild side” lost favour.
…
“Safety” is such a magic word that American campuses now often ban controversial speakers because students must feel “safe” — an attitude that would have baffled 1960s campus activists. Western governments plead security to spy on citizens, and most citizens accept it. They have learnt to love Big Brother.

I suggest that the world’s wimpification stems from technological progress. Since the second war, technology has grown by leaps and bounds, exponentially. We have no idea of what tomorrow might bring, so we seek solace in making our personal lives more predictable.

There are many secondary effects as well; technology has made us immeasurably more productive than we used to be, making it possible to employ far more people as regulators of various sorts, whether these regulators are actually government regulators, police, jail guards, teachers or simply busybodies with time on their hands who achieve a measure of personal satisfaction and social acclaim for telling people they’re not behaving properly.

Increasing technology has, as Ms. Wente states, made school and education more important and has done so at a time when elementary and secondary teaching has become feminized. There are now two types of elementary school teacher: women and reckless idiots. Secondary school has not gone quite so far down that road, but far enough to make a difference. When I was about ten, there was a period when I got into a fist-fight every single day when school let out for lunch, with a guy I loved to hate. We were just kids, as full of piss and vinegar as ten-year-old boys can be. Nowadays we’d be sent for psychiatric evaluation by the horrified female teaching staff.

And we no longer despise informers; we celebrate them as whistle-blowers and see no shame in paying them.

Where will it end? If Wente’s sources are to be believed, it won’t. If my explanation is to be believed, it will end when the populace as a whole becomes inured to technological change and no longer fears innovation. We will see!

Another aspect of all this is that despite (or perhaps due to) all this regimentation and niceness, people are becoming less empathetic:

The research, led by Sara H. Konrath of the University of Michigan at Ann Arbor and published online in August in Personality and Social Psychology Review, found that college students’ self-reported empathy has declined since 1980, with an especially steep drop in the past 10 years. To make matters worse, during this same period students’ self-reported narcissism has reached new heights, according to research by Jean M. Twenge, a psychologist at San Diego State University.

… and that acceptance of social norms masks a hidden agenda:

The study, co-authored by Millennials expert Jean M. Twenge, was really three studies in one. All three are based on surveys that captured the values of millions of American 18-year-olds and college freshman between 1966 and 2009.

The first part looked at life goals. It turns out Millennials and GenX’ers (born between 1962 and 1981) rated being very well off financially, being a leader in the community (which is correlated with a desire for fame), living close to relatives, and having administrative responsibility over others as more important to them than Boomers—born 1946 to 1961—did when they were in their late teens.

Boomers—mostly over the age of 50 now—rated developing a meaningful philosophy of life, finding purpose and meaning, keeping up-to-date with politics, and becoming involved in programs to clean up the environment as more important when they were young than Millennials. Being “very well off financially” was the eighth most important life goal (out of 12) for Boomers; now, it’s consistently ranked most important.

If all this is true, then it suggests we are heading for a new Victorian era, in which social norms are extravagantly and viciously enforced (see my discussion of the Junior Justice League on May 12, amongst other places) while vice and hypocrisy flourish (Mayhew estimated 80,000 prostitutes in London, serving a total population of about 2.8-million; but note that Mayhew included what would now be called lovers and/or mistresses in his count).

It was a good day for the Canadian preferred share market, with PerpetualDiscounts up 17bp, FixedResets gaining 9bp and DeemedRetractibles winning 30bp. The Performance Highlights table has a good length. Volume was very low.

Here’s TRP:

Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.01 to be $0.64 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.49 cheap at its bid price of 16.20.

Click for Big

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.82 to be $0.45 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 23.05 to be $0.30 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.17 to be $0.80 cheap. BAM.PR.X, resetting at +180bp 2017-6-30 is bid at 17.27 and appears to be $0.54 rich.

Click for Big

FTS.PR.G, with a spread of +213bp, and bid at 21.46, looks $0.20 cheap and resets 2018-9-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 23.70 and is $0.12 rich.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.39%, including the outlier TRP.PR.A / TRP.PR.F at -0.19%. On the junk side, four of the six pairs are outliers, all with negative break-even yields.

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	0.0468 %	2,214.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0468 %	3,871.6
Floater	3.50 %	3.55 %	60,443	18.44	3	0.0468 %	2,353.9
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0938 %	2,768.8
SplitShare	4.59 %	4.96 %	64,649	3.23	3	-0.0938 %	3,244.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0938 %	2,531.8
Perpetual-Premium	5.47 %	3.97 %	65,272	0.31	13	-0.0543 %	2,516.4
Perpetual-Discount	5.33 %	5.24 %	93,915	14.86	21	0.1747 %	2,685.4
FixedReset	4.51 %	3.61 %	213,946	16.33	88	0.0852 %	2,330.0
Deemed-Retractible	5.01 %	3.15 %	107,067	0.80	34	0.3050 %	2,628.6
FloatingReset	2.48 %	2.89 %	53,561	6.09	10	-0.2867 %	2,320.4

Performance Highlights
Issue	Index	Change	Notes
ENB.PF.A	FixedReset	-3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.74 %
ENB.PF.C	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 4.69 %
TRP.PR.E	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 21.86 Evaluated at bid price : 22.27 Bid-YTW : 3.73 %
ENB.PF.E	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 4.69 %
ELF.PR.G	Perpetual-Discount	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 21.80 Evaluated at bid price : 22.05 Bid-YTW : 5.39 %
BAM.PR.K	Floater	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 14.06 Evaluated at bid price : 14.06 Bid-YTW : 3.56 %
SLF.PR.J	FloatingReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.20 Bid-YTW : 7.07 %
MFC.PR.B	Deemed-Retractible	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.98 Bid-YTW : 5.82 %
SLF.PR.D	Deemed-Retractible	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.74 Bid-YTW : 5.73 %
MFC.PR.M	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.05 Bid-YTW : 4.57 %
NA.PR.W	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 22.09 Evaluated at bid price : 22.65 Bid-YTW : 3.48 %
MFC.PR.K	FixedReset	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 : 4.55 %
FTS.PR.J	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 23.33 Evaluated at bid price : 23.70 Bid-YTW : 5.05 %
IFC.PR.A	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.54 Bid-YTW : 6.12 %
BAM.PR.M	Perpetual-Discount	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 21.32 Evaluated at bid price : 21.32 Bid-YTW : 5.61 %
ENB.PR.F	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.71 %
SLF.PR.A	Deemed-Retractible	1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.83 Bid-YTW : 5.42 %
MFC.PR.C	Deemed-Retractible	2.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.86 Bid-YTW : 5.73 %
MFC.PR.L	FixedReset	2.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 4.57 %
TD.PF.D	FixedReset	3.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 22.96 Evaluated at bid price : 24.45 Bid-YTW : 3.53 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.Z	FixedReset	111,784	Scotia bought 83,100 from GMP at 23.43. Nesbitt crossed 23,200 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 3.37 %
HSE.PR.G	FixedReset	108,557	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 22.90 Evaluated at bid price : 24.30 Bid-YTW : 4.43 %
BNS.PR.B	FloatingReset	100,924	RBC crossed 100,000 at 23.95. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 2.86 %
BAM.PR.Z	FixedReset	87,237	Scotia bought 79,700 from GMP at 23.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 22.77 Evaluated at bid price : 23.45 Bid-YTW : 4.10 %
TRP.PR.B	FixedReset	29,157	Scotia crossed 25,000 at 14.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 3.53 %
BMO.PR.K	Deemed-Retractible	26,623	TD crossed 24,100 at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-05 Maturity Price : 25.50 Evaluated at bid price : 25.72 Bid-YTW : 1.84 %
There were 15 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.N	FixedReset	Quote: 22.92 – 23.60 Spot Rate : 0.6800 Average : 0.4198 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.92 Bid-YTW : 4.58 %
ENB.PF.A	FixedReset	Quote: 19.50 – 20.10 Spot Rate : 0.6000 Average : 0.3916 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.74 %
TRP.PR.F	FloatingReset	Quote: 18.55 – 19.27 Spot Rate : 0.7200 Average : 0.5260 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 3.30 %
ENB.PF.C	FixedReset	Quote: 19.68 – 20.05 Spot Rate : 0.3700 Average : 0.2364 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 4.69 %
ENB.PF.E	FixedReset	Quote: 19.82 – 20.17 Spot Rate : 0.3500 Average : 0.2464 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 4.69 %
PWF.PR.P	FixedReset	Quote: 18.20 – 18.54 Spot Rate : 0.3400 Average : 0.2365 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 3.37 %

Market Action

July 3, 2015

There’s another reason not to hire a ‘star manager’ to run your mutual fund:

Aston Hill Financial Inc. has lost a key portfolio manager, the latest in a series of setbacks for the embattled asset manager. Late Tuesday, the company announced that Jeffrey Burchell, who had been with the company since 2010 and was also its co-chief investment officer, had resigned.
…
Mr. Burchell carved out a niche at Aston Hill running mutual funds with a dollop of hedge-fund style investing. A portion of the assets in Aston Hill Capital Growth Fund are sold short – a rarity in the mutual fund industry.

Most mutual funds use a long-only strategy. The firm also used Mr. Burchell prominently in marketing materials to sell its funds.

Riots in France have targeted Uber:

Uber Technologies Inc. suspended its UberPop share-a-ride service in France amid difficulties in the country including clashes with taxi drivers, tensions with the government and arrests of top executives.

The UberPop service is to be suspended from 8:00 p.m. local time to protect drivers and calm tensions with the French government, according to Uber France spokesman Thomas Meister.

Uber is awaiting a ruling from the French constitutional court in September on the Thevenoud law, which regulates services to transport passengers, Meister said.
…
This followed a protest staged last week by taxi drivers against the low-cost service UberPop. French President Francois Hollande said at the time that UberPop “must be dismantled and made illegal.”

The protest even caught up American rock singer Courtney Love, who said on her verified Twitter account that she escaped Roissy Charles de Gaulle airport on a motorcycle after rock-throwing protesters bashed her chauffeured car with metal bats and slashed its tires. She said she felt she’d be be safer in Baghdad.

The vested interests were not so lucky in Toronto:

An Ontario Superior Court judge has dismissed the City of Toronto’s attempt to shut down ride-sharing company Uber.

After a month of deliberating, Justice Sean Dunphy delivered his ruling Friday, saying the city failed to prove that Uber has broken any bylaws or that it is operating an illegal taxicab company.

There is a move in the States towards benefits over cash wages:

In lieu of higher salaries, employers are offering plusher benefits packages to attract and retain talent, a new survey suggests.

In a report on more than 450 employers surveyed by the Society of Human Resource Management, 35 percent cited bigger benefits packages, compared to 28 percent the year before. A small chunk of those asked—7 percent—noted a reduction, but that’s down from 9 percent the year earlier. The survey also noted the rise of such new benefits as company-provided fitness trackers, egg-freezing, group fitness, and student loan repayment programs.

The more attractive vacation and wellness offerings come at the expense of salary increases, as wages remain stagnant. The survey suggested that employees are promoting that trend. “Research has shown that many job seekers frequently place greater importance on health care coverage, flexible work schedules and other benefits rather than on their base salaries,” the report said.
…
The focus on benefits packages has less to do with changing employee preferences than health insurance trends. As health care costs have risen over the last 10 years, health benefits have eaten up an ever-growing share of total employee compensation. Between 2003 and 2013, health insurance premiums rose 60 percent with only an 11 percent increase in income during that same time period, per a Commonwealth Funds study. In the last few years, employers have started shoving even more of those costs on employees, without raising wages, according to the Center for American Progress. That falls in line with SHRM’s survey, which found 43 percent of employers now offer health-savings accounts, in which people put away tax free money to pay for their own medical costs, up from 38 percent five years ago. The report also found an increased focus on preventative focus health plans, with the hopes of decreased spending.

Those who are getting their insurance through Obamacare are in a good position to explain why health benefits are desirable:

Health insurance companies around the country are seeking rate increases of 20 percent to 40 percent or more, saying their new customers under the Affordable Care Act turned out to be sicker than expected. Federal officials say they are determined to see that the requests are scaled back.

Blue Cross and Blue Shield plans — market leaders in many states — are seeking rate increases that average 23 percent in Illinois, 25 percent in North Carolina, 31 percent in Oklahoma, 36 percent in Tennessee and 54 percent in Minnesota, according to documents posted online by the federal government and state insurance commissioners and interviews with insurance executives.
…
A study of 11 cities in different states by the Kaiser Family Foundation found that consumers would see relatively modest increases in premiums if they were willing to switch plans. But if they switch plans, consumers would have no guarantee that they can keep their doctors. And to get low premiums, they sometimes need to accept a more limited choice of doctors and hospitals.
…
Sylvia Mathews Burwell, the secretary of health and human services, said that federal subsidies would soften the impact of any rate increases. Of the 10.2 million people who obtained coverage through federal and state marketplaces this year, 85 percent receive subsidies in the form of tax credits to help pay premiums.

One problem, I think, is that the rates are cost-plus:

Federal officials have often highlighted a provision of the Affordable Care Act that caps insurers’ profits and requires them to spend at least 80 percent of premiums on medical care and related activities. “Because of the Affordable Care Act,” Mr. Obama told supporters in 2013, “insurance companies have to spend at least 80 percent of every dollar that you pay in premiums on your health care — not on overhead, not on profits, but on you.”

So why get tough on charges? If you pay $53 for a pair of gloves, you can justify $66 worth of premiums! Score!

But if you’re uninsured you’re pigeon pie:

Fifty hospitals in the United States are charging uninsured consumers more than 10 times the actual cost of patient care, according to research published Monday.
…
Topping the list is North Okaloosa Medical Center, a 110-bed facility in the Florida Panhandle about an hour outside of Pensacola. Uninsured patients are charged 12.6 times the actual cost of patient care.
…
By comparison, the researchers said, a typical U.S. hospital charges 3.4 times the cost of patient care.

Partners Value Split Corp., proud issuer of PVS.PR.A, PVS.PR.B, PVS.PR.C and PVS.PR.D, has been confirmed at Pfd-2(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the Pfd-2 (low) ratings of the Class AA Preferred Shares, Series 1 (the Series 1 Preferred Shares), Class AA Preferred Shares, Series 3 (the Series 3 Preferred Shares), Class AA Preferred Shares, Series 5 (the Series 5 Preferred Shares) and the Class AA Preferred Shares, Series 6 (the Series 6 Preferred Shares; collectively, the Class AA Preferred Shares) issued by Partners Value Split Corp. (the Company).

The Company owns a portfolio (the Portfolio) of Class A Limited Voting Shares (the BAM Shares) of Brookfield Asset Management Inc. (BAM; rated A (low) by DBRS).
…
The downside protection available to the Class AA Preferred Shares is approximately 84%, based on the market value of the BAM Shares as of July 2, 2015. The current Class AA Preferred Share dividend coverage ratio is approximately 1.8 times. As a result, the Company continues to be able to fund the Class AA Preferred Shares distributions without relying on other methods for generating income or reverting to the sale of common shares in the Portfolio. In the event of a shortfall, the Company may sell some of the BAM Shares, engage in securities lending or write covered call options to generate sufficient income to satisfy its obligations to pay the Class AA Preferred Shares dividends.

The Pfd-2 (low) ratings of the Class AA Preferred Shares are primarily based on the downside protection and dividend coverage available to the Class AA Preferred Shares.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 27bp, FixedResets off 1bp and DeemedRetractibles flat. Floaters got hammered. The Performance Highlights table shows that volatility continues. There are not enough adjectives in the English language to describe how low the volume was, as all the hard-working PMs and advisors enjoyed the US holiday.

Here’s TRP:

Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.01 to be $0.58 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.67 cheap at its bid price of 16.09.

Click for Big

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.61 to be $0.40 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.80 to be $0.38 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.35 to be $0.75 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 23.50 and appears to be $0.42 rich.

Click for Big

FTS.PR.G, with a spread of +213bp, and bid at 21.38, looks $0.39 cheap and resets 2018-9-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.41 and is $0.23 rich.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.35%, including the outlier TRP.PR.A / TRP.PR.F at -0.03%. On the junk side there are three outliers: FFH.PR.E / FFH.PR.F at -0.58%; BRF.PR.A / BRF.PR.B at -0.68%; and AIM.PR.A / AIM.PR.B at -0.01%.

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	-1.4065 %	2,213.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.4065 %	3,869.8
Floater	3.50 %	3.51 %	61,195	18.53	3	-1.4065 %	2,352.8
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1071 %	2,771.4
SplitShare	4.59 %	4.94 %	65,595	3.24	3	-0.1071 %	3,248.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1071 %	2,534.2
Perpetual-Premium	5.46 %	3.87 %	66,390	0.08	13	0.0846 %	2,517.8
Perpetual-Discount	5.33 %	5.24 %	93,269	15.00	21	0.2689 %	2,680.7
FixedReset	4.51 %	3.78 %	217,156	16.19	88	-0.0071 %	2,328.1
Deemed-Retractible	5.02 %	4.76 %	107,882	0.80	34	-0.0047 %	2,620.6
FloatingReset	2.92 %	3.25 %	54,158	6.00	10	0.1567 %	2,327.1

Performance Highlights
Issue	Index	Change	Notes
TD.PF.D	FixedReset	-3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.73 Evaluated at bid price : 23.90 Bid-YTW : 3.84 %
ENB.PR.F	FixedReset	-2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.96 %
BAM.PR.C	Floater	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 3.58 %
BAM.PR.B	Floater	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 3.46 %
CM.PR.O	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.12 Evaluated at bid price : 22.65 Bid-YTW : 3.68 %
IFC.PR.A	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.27 Bid-YTW : 6.41 %
IAG.PR.A	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 5.88 %
BAM.PR.K	Floater	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 14.26 Evaluated at bid price : 14.26 Bid-YTW : 3.51 %
ELF.PR.H	Perpetual-Discount	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 24.46 Evaluated at bid price : 24.95 Bid-YTW : 5.51 %
FTS.PR.F	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 23.31 Evaluated at bid price : 23.60 Bid-YTW : 5.24 %
RY.PR.Z	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.57 Evaluated at bid price : 23.40 Bid-YTW : 3.48 %
SLF.PR.H	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.78 Bid-YTW : 5.51 %
ENB.PR.P	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 4.81 %
BAM.PF.D	Perpetual-Discount	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 21.42 Evaluated at bid price : 21.75 Bid-YTW : 5.65 %
SLF.PR.G	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 7.31 %
TRP.PR.E	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.12 Evaluated at bid price : 22.67 Bid-YTW : 3.78 %
TD.PF.A	FixedReset	2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.38 Evaluated at bid price : 23.11 Bid-YTW : 3.57 %
SLF.PR.J	FloatingReset	2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 7.39 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.L	Deemed-Retractible	111,827	TD crossed 100,100 at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-04-27 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 3.46 %
SLF.PR.I	FixedReset	63,900	Nesbitt crossed 59,600 at 24.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 3.90 %
TD.PF.D	FixedReset	41,300	Scotia crossed 25,000 at 24.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.73 Evaluated at bid price : 23.90 Bid-YTW : 3.84 %
BNS.PR.Z	FixedReset	30,551	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 3.53 %
SLF.PR.J	FloatingReset	23,954	Recently listed following conversion. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 7.39 %
ENB.PR.Y	FixedReset	17,286	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 17.92 Evaluated at bid price : 17.92 Bid-YTW : 4.87 %
There were 6 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.D	FixedReset	Quote: 23.90 – 24.90 Spot Rate : 1.0000 Average : 0.5472 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.73 Evaluated at bid price : 23.90 Bid-YTW : 3.84 %
TRP.PR.H	FloatingReset	Quote: 14.35 – 20.09 Spot Rate : 5.7400 Average : 5.5474 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 3.83 %
CM.PR.O	FixedReset	Quote: 22.65 – 23.45 Spot Rate : 0.8000 Average : 0.6075 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.12 Evaluated at bid price : 22.65 Bid-YTW : 3.68 %
NA.PR.W	FixedReset	Quote: 22.40 – 22.89 Spot Rate : 0.4900 Average : 0.3094 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 21.93 Evaluated at bid price : 22.40 Bid-YTW : 3.66 %
ENB.PR.A	Perpetual-Discount	Quote: 24.78 – 25.26 Spot Rate : 0.4800 Average : 0.3123 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 24.53 Evaluated at bid price : 24.78 Bid-YTW : 5.61 %
ENB.PR.F	FixedReset	Quote: 17.91 – 18.32 Spot Rate : 0.4100 Average : 0.2442 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.96 %

Market Action

July 2, 2015

Jobs, jobs, jobs!

The U.S. labor market took one step forward and one back in June as job creation advanced while wages stagnated and the size of the labor force receded.

The addition of 223,000 jobs followed a 254,000 increase in the prior month that was less than previously estimated, a Labor Department report showed Thursday in Washington. The jobless rate fell to a seven-year low of 5.3 percent as people left the workforce.
…
Earnings at private employers held at $24.95 an hour in June on average and rose 2 percent over the past 12 months, matching the mean since the current expansion began six years ago. Wages had increased 2.3 percent in the year ended in May.
…
Stocks fell as investors waited for Greece’s weekend referendum on austerity measures. The Standard & Poor’s 500 Index declined 0.2 percent to 2,072.51 at 12:27 p.m. in New York. The weak wage reading lifted Treasuries, dropping the yield on the benchmark 10-year note to 2.37 percent from 2.42 percent late on Wednesday.

Naturally, this juxtaposition of higher employment with disappointing wages has increased speculation regarding what the Fed thinks:

By one measure, the U.S. labor market has already met the Federal Reserve’s expectations for 2015: The jobless rate fell to 5.3 percent in June, matching the policy makers’ projection for the end of the year, a Labor Department report Thursday showed.

The Federal Open Market Committee said in June that unemployment would ease to 5.2 to 5.3 percent in 2015, elevated just slightly from their expectation of a 5-to-5.2 percent longer-run natural rate (the joblessness that exists because of factors like labor market churn rather than due to cyclical weakness in the economy). The fact that the labor market has reached the committee’s 2015 estimate already — and has done so without spurring stronger wage gains — may prompt officials to lower both the 2015 and the long-run estimate at their September meeting.

SEC Commissioner Daniel M. Gallagher is not happy with the proposed Compensation Clawback Listing Standards:

Over the past four years, I have made it obvious to most that I am no fan of the Dodd-Frank Act, and certainly not the Act’s executive compensation rulemaking mandates. As I have noted many times in the past, there are real opportunity costs to this agency when our resources are devoted to these politically-motivated mandates.[1] Staff hours spent on clawbacks, pay-for-performance, pay ratio, and hedging rules — not to mention other nonsensical Dodd-Frank mandates like conflict minerals and extractive resources —is time not being spent on meaningful, important projects like the disclosure review project.[2] We desperately need to revamp our disclosure rules to cut through the clutter and ensure that we are only requiring disclosure of information that is important to a reasonable investor’s voting or investment decision. And there are other projects in need of CorpFin’s attention — most notably the much-needed revamp of our shareholder proposal rule. But instead of addressing these actually important issues, for years priority has been placed on plowing through Dodd-Frank’s many intrusions into state corporate governance rules.
…
The third devil is that the scope of the required compensation to be clawed back includes compensation based on financial reporting metrics as well as compensation based on share price metrics like Total Shareholder Return, or TSR. Calculating the appropriate amount of clawback for TSR-based compensation is much more difficult than calculating a clawback for a financial reporting measure, requiring an analysis such as an event study to determine what the share price would have been but for the misstatement at the time the compensation was earned. These analyses require substantial use of assumptions and judgment, often producing a range of numbers, rather than a firm number. The release candidly admits this difficulty, and proposes simply that issuers “be permitted to use reasonable estimates.”[20] This is cold comfort for the post-facto second-guessing that is likely to occur.[21] And yet, excluding TSR-based metrics from the scope of the rule would not have been the right approach either, as it would have shifted compensation packages towards these pay metrics, further entrenching the short-termism that is abetted by the Commission’s executive compensation rules.[22] I don’t know what the right answer is here, but I do know that today’s proposal isn’t it.

I had to laugh at a trend in the advising industry highlighted by Kenmar Associates in their (subscription-based) newsletter “INVESTOR PROTECTION IN CANADA- Q2 2015”:

Are you being “Reverse Churned? We are seeing a large number of accounts being converted to fee-based effectively turning commissions into fees. This may not be in your Best interests. “Reverse churning,” a claim alleging that a dealer representative has failed in his/her duties to act fairly, honestly and good faith to a client by moving an under-traded account from a commission to a fee-based compensation structure solely for the purpose of generating revenue from that account or by failing to make trades in an account that would have otherwise been made had the account been commission, instead of fee-based could be taking place. The historic effect of the prevalence of churning claims, and the attendant increase in the necessity of documenting client approval of such transactions, as well as CRM2 reporting has been the creation of an incentive for brokers to move their clients to fee-based accounts. In other words, because commission-based accounts require more action to document and justify commissions/ paid, there is an incentive for brokers to move their clients to accounts which require less day-to-day oversight. This incentive also exists with respect to accounts in which there is relatively little trading say as in, RRIF’s. IIROC rules require that a dealer representative (aka “advisor”) have a reasonable basis to believe that a recommended transaction or investment strategy involving a security or securities is suitable for the customer based on information obtained through reasonable diligence of the member or associated person to ascertain the customer’s investment profile. Is the rule being enforced? Don’t count on it. We recommend asking your advisor some probing questions if you have been converted.

I’m not sure that the choice of fee model counts as a “recommended transaction or investment strategy”, but I suppose that will be the subject of some complaints of some sort over the next little while. Many clients will, of course, be outraged that they are being charged $2,000 by an advisor who only executed two trades in a year; that will be a big issue should a fiduciary requirement eventually be imposed.

Sweden is going negative:

Sweden’s central bank lowered its main interest rate deeper into negative levels and expanded its bond purchases to the end of the year as the turmoil in Greece raises the specter of further krona gains.

The repo rate was cut to minus 0.35 percent from minus 0.25 percent, the Stockholm-based bank said in a statement. A reduction was predicted by 4 of 18 analysts in a Bloomberg survey, with remainder forecasting no change. The bank expanded its bond purchasing program by 45 billion kronor ($5.3 billion) to the end of year, adding to the 80 billion kronor to 90 billion kronor already announced.
…
The bank kept its repo rate unchanged in April after two cuts earlier in the year. Policy makers then added 40 billion kronor to 50 billion kronor to its bond buying from an initial 40 billion kronor announced since February.

The moves earlier this year had limited success in keeping the krona from strengthening against the euro, as the ECB’s own bond purchases and the turmoil in Greece weigh on the common currency. Before today, the krona was up more than 2 percent against the euro this year.

Here’s one reason why the US is pushing for free trade in dairy:

There’s so much milk flowing out of U.S. cows these days that some is ending up in dirt pits because dairies can’t find buyers.

Domestic output is set to be the highest ever for a fifth straight year. Farmers are still making money as prices tumble because of cheaper and more abundant feed for their herds. Supplies of raw milk are topping capacity at processing plants in parts of the U.S. and compounding a global surplus even with demand improving.
…
Global dairy prices have dropped 39 percent from an all-time high in February 2014 and are the lowest in five years, United Nations data show. In Chicago, benchmark Class III milk futures, used in cheese making, are down 36 percent to $16.23 per 100 pounds from a record $25.30 in September. Prices may fall to $14.41 by the end of the year before recovering in 2016, said Tom Bailey, a New York-based analyst at Rabobank International.
…
At the same time, the dollar’s rally against most of the world’s currencies helped to spur a 10 percent drop in U.S. milk exports in the first four months of 2015, while imports rose 12 percent, compounding the domestic surplus, government data show.

The bear market has been no barrier to more supply. At Mitch Breunig’s farm in Sauk City, Wisconsin, he’s still profitable even as the value of his milk fell 26 percent. Costs have dropped for things like fuel, and wet spring weather left an abundant alfalfa harvest, providing higher-quality hay for his 420 cows to eat. The animals are producing 3 percent more milk than last year.

Nice to see a tiny hint of rationality in Canadian securities regulation:

In Canada’s balkanized financial markets enforcement regime, when one provincial watchdog bans or suspends a fraudster or someone else who has violated securities rules, the others usually need to hold their own “rubber stamp” hearings to make the order apply in other provinces.

But the Alberta Securities Commission announced Thursday that as of July 1, most orders and settlement agreements made by other securities commissions across Canada will “automatically take effect” in Alberta, without any hearing or any notice to the person or company affected. Decisions made by regulators outside Canada, such as the U.S. Securities Exchange Commission, will not be automatically reciprocated, but could still be rubber-stamped and enforced by the ASC as they are now.
…
The changes comes after a rare and unusual decision last year, in which an ASC panel initially chose not to endorse an Ontario Securities Commission settlement with Bruce Moore, a former investment banker who agreed he had improperly traded shares through offshore accounts using confidential information he gleaned from his work at Canadian Imperial Bank of Commerce. The OSC had imposed a 15-year ban on working as a registrant in the securities industry and a 10-year ban on trading shares of public companies.

The ASC panel said it denied the request to enforce the bans in Alberta, because it had not received enough information from ASC staff – not even a copy of the original OSC decision in the case. However, the ASC later reciprocated the order, presumably after commissioners were provided with enough background.

Come on, guys. We know that provincial securities regulation is just a cash grab. You don’t need to make such a pretense of independence as all that.

It’s nice to see more Chinese money recycled into the global economy:

The trend has already hit Sydney, Vancouver and the U.S. Now it’s happening in Japan: busloads of real estate buyers from China coming in, buying up homes and pushing prices higher.

Realty agencies in Beijing are organizing twice-monthly tours to Tokyo and Osaka, where 40 Chinese at a time come for three-day property-shopping trips, seeking safe places to invest their cash abroad. They’re being prompted by the yen’s decline to 22-year lows and excitement over the 2020 Tokyo Olympics driving up prices, as they did in Beijing in 2008. Property tours will soon start from Shanghai too.

Partly as a result of nascent Chinese buying, Tokyo apartment prices have reached the highest levels since the early 1990s, up 11 percent over two years, according to the Real Estate Economic Institute Co.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 31bp, FixedResets off 4bp and DeemedRetractibles gaining 2bp. The Performance Highlights table is its usual lengthy self. Volume was exceedingly very awfully extremely low; I suppose today’s juxtaposition between a Canadian closing and an American one persuaded many fine representatives of the highest paid profession on earth to stay home.

Here’s TRP:

Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.11 to be $0.74 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.53 cheap at its bid price of 16.21.

Click for Big

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.83 to be $0.588 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.80 to be $0.41 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.39 to be $0.75 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.75 and appears to be $0.48 rich.

Click for Big

FTS.PR.G, with a spread of +213bp, and bid at 21.38, looks $0.31 cheap and resets 2018-9-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.28 and is $0.12 rich.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.37%, including the outlier TRP.PR.A / TRP.PR.F at -0.21. On the junk side there are three outliers: FFH.PR.E / FFH.PR.F at -0.79%; BRF.PR.A / BRF.PR.B at -0.43%; and DC.PR.B / DC.PR.D at -0.18%.

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	-0.1382 %	2,244.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.1382 %	3,925.0
Floater	3.45 %	3.48 %	60,124	18.61	3	-0.1382 %	2,386.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0134 %	2,774.4
SplitShare	4.59 %	4.82 %	67,992	3.24	3	-0.0134 %	3,251.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0134 %	2,536.9
Perpetual-Premium	5.47 %	2.65 %	66,837	0.16	13	0.1089 %	2,515.7
Perpetual-Discount	5.35 %	5.30 %	97,153	14.94	21	0.3126 %	2,673.5
FixedReset	4.51 %	3.75 %	224,674	16.16	88	-0.0397 %	2,328.2
Deemed-Retractible	5.01 %	4.81 %	109,386	3.17	34	0.0239 %	2,620.7
FloatingReset	2.92 %	3.26 %	56,296	6.00	10	-0.2482 %	2,323.4

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.J	FloatingReset	-3.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 7.70 %
SLF.PR.H	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 5.68 %
TRP.PR.E	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 21.84 Evaluated at bid price : 22.25 Bid-YTW : 3.87 %
TD.PF.A	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.07 Evaluated at bid price : 22.60 Bid-YTW : 3.67 %
IFC.PR.C	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 4.84 %
NA.PR.M	Deemed-Retractible	-1.32 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-15 Maturity Price : 25.25 Evaluated at bid price : 25.51 Bid-YTW : 5.64 %
NA.PR.S	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.85 Evaluated at bid price : 23.95 Bid-YTW : 3.57 %
PWF.PR.R	Perpetual-Premium	-1.15 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-30 Maturity Price : 25.25 Evaluated at bid price : 25.76 Bid-YTW : 5.22 %
NA.PR.Q	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 3.60 %
HSE.PR.C	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.47 Evaluated at bid price : 23.30 Bid-YTW : 4.42 %
NA.PR.W	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.00 Evaluated at bid price : 22.51 Bid-YTW : 3.70 %
BAM.PF.G	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.54 Evaluated at bid price : 23.50 Bid-YTW : 4.14 %
HSE.PR.A	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 4.23 %
BAM.PF.C	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.75 %
IFC.PR.A	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.26 %
ENB.PR.N	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.84 %
FTS.PR.J	Perpetual-Discount	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 23.19 Evaluated at bid price : 23.55 Bid-YTW : 5.08 %
GWO.PR.N	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.11 Bid-YTW : 6.89 %
HSE.PR.E	FixedReset	1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 23.00 Evaluated at bid price : 24.50 Bid-YTW : 4.51 %
ELF.PR.G	Perpetual-Discount	2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.08 Evaluated at bid price : 22.36 Bid-YTW : 5.31 %
IAG.PR.A	Deemed-Retractible	3.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 5.73 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.M	Deemed-Retractible	130,160	TD crossed 123,300 at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-26 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : 0.30 %
BMO.PR.Q	FixedReset	64,379	Nesbitt crossed 52,200 at 23.40. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 3.49 %
FTS.PR.H	FixedReset	33,605	Desjardins crossed 30,500 at 16.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 3.57 %
ENB.PF.E	FixedReset	24,190	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.74 %
TRP.PR.B	FixedReset	20,908	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 14.68 Evaluated at bid price : 14.68 Bid-YTW : 3.73 %
ENB.PF.C	FixedReset	16,543	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 4.74 %
There were 9 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
SLF.PR.H	FixedReset	Quote: 20.50 – 21.23 Spot Rate : 0.7300 Average : 0.4779 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 5.68 %
PVS.PR.C	SplitShare	Quote: 24.92 – 25.50 Spot Rate : 0.5800 Average : 0.3662 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 5.16 %
MFC.PR.L	FixedReset	Quote: 22.31 – 23.02 Spot Rate : 0.7100 Average : 0.5012 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.31 Bid-YTW : 4.90 %
PWF.PR.R	Perpetual-Premium	Quote: 25.76 – 26.25 Spot Rate : 0.4900 Average : 0.3256 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-30 Maturity Price : 25.25 Evaluated at bid price : 25.76 Bid-YTW : 5.22 %
PWF.PR.S	Perpetual-Discount	Quote: 24.02 – 24.50 Spot Rate : 0.4800 Average : 0.3185 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 23.64 Evaluated at bid price : 24.02 Bid-YTW : 5.06 %
TRP.PR.E	FixedReset	Quote: 22.25 – 22.74 Spot Rate : 0.4900 Average : 0.3432 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 21.84 Evaluated at bid price : 22.25 Bid-YTW : 3.87 %

Market Action

June 30, 2015

The Canadian economic news is not encouraging:

Statistics Canada reported Tuesday that real gross domestic product (i.e. adjusted for inflation) shrank by 0.1 per cent in April from March. The economy was hit hard by a 3.4-per-cent drop in oil and gas extraction, as the Alberta oil sands, battered in recent months by sharply lower oil prices, was hit by maintenance shutdowns and other production delays. Manufacturing, retail sales and construction also took a step backward in the month.

The April decline was something of a shock to economists and market watchers, who had anticipated a turnaround from March’s 0.2-per-cent decline, and from a dismal first-quarter in which the economy contracted at an annualized rate of 0.6 per cent – its weakest quarter since the Great Recession. The oil price shock, harsh weather and U.S. port strikes weighed down activity in the quarter, but those factors appeared to have eased with the arrival of spring.

The Canadian dollar slumped about four-tenths of a penny against its U.S. counterpart on the news, to about 80.5 cents (U.S.).

Meanwhile, the US is going all-out to increase productivity:

Retailers and manufacturers blasted President Barack Obama’s plan to make more Americans eligible for overtime pay, saying the move would stunt workers’ careers and cost companies billions.

The National Retail Federation says Obama’s proposed rule change to greatly increase how many salaried employees can claim overtime would force companies to use more part-time and entry-level workers. Businesses also may offer fewer promotions and convert salaried employees to hourly to avoid raising their pay, the NRF said.
…
Obama’s plan would make workers who earn a salary of as much as $970 a week, or about $50,000 a year, eligible to claim overtime under the Fair Labor Standards Act. The current threshold is $455 a week, or about $24,000 a year, which is below the poverty line for a family of four. This change would benefit 4.68 million people, the White House said Tuesday on its website.

An analysis by the Economic Policy Institute showed large increases in the percentage of workers that would be eligible for overtime if the threshold were raised to a level similar to Obama’s proposal. Among retail supervisors, about 56 percent would be covered, up from 8 percent. The group calculated comparable jumps for restaurant managers, insurance clerks and customer-service representatives.

This is another step in the process of improving North American productivity, in conjunction with minimum wage changes. A few businesses will, no doubt, go under. Good. If your business operating model can be summed up as ‘Sweat Your Labour’, then the faster you go bankrupt the better it will be for those of us who prefer a more skilful approach.

Speaking of productivity I was thrilled to learn of a bricklaying robot:

As robots get smarter, cheaper and more versatile, they’re taking on a growing number of challenges – and bricklaying can now be added to the list. Engineers in Perth, Australia, have created a fully working house-building machine that can create the brick framework of a property in just two days, working about 20 times faster than a human bricklayer.

Named Hadrian (after Hadrian’s Wall in the UK), the robot has a top laying speed of 1,000 bricks per hour, which works out as the equivalent of about 150 homes a year. Of course there’s no need for the machine to sleep, eat or take tea breaks either, giving it another advantage over manual laborers.

At the heart of Hadrian is a 28 m (92 ft) articulated telescopic boom. Though mounted on an excavator in the photo below, the finished version will sit on a truck, allowing it easier movement from place to place. The robot brick-layer uses information fed from a 3D CAD representation of the home for brick placement, with mortar or adhesive delivered under pressure to the head of the boom.

Impressive! And according to the company video, it builds proper double-brick houses instead of this frame crap we adore in Canada. It’s too bad the engineering for this initiative was done in Australia, but not in Canada … but I suppose in Canada we’re plenty productive enough already, eh?

And Jody Shenn of Bloomberg made an excellent point at the end of her story about lending to shadow-banks:

U.S. banks’ loans to nondepository financial companies, or shadow banks, have jumped more than 230 percent over the past three years, according to the semiannual risk perspective report released by the Office of the Comptroller of the Currency on Tuesday. They were the fifth-largest category of commercial-loan holdings at banks at the end of last year, up from the 11th spot at the end of 2011.
…
It’s not just banks that are offering nonbanks a helping hand.

Another report released Tuesday, from the overseer of Fannie Mae and Freddie Mac, shows that those companies may also be playing a role, as they increase the fees they charge lenders to guarantee mortgages.

Over the past two years, the mortgage giants have been charging small lenders less (on a risk-adjusted basis) to guarantee loans than they charge large ones, in a switch from the past, according to the report. And many of those small lenders are nonbanks.

In other words, if you push risk down in one place, it can pop up in another place that may not be so far removed from the first.

I thought that was an interesting nugget regarding the elimination of incentives for volume. It’s true!

December 2012
FHFA directs Enterprises to implement an additional 10 basis point average increase, raise 30-year fees by more than 15-year fees to better align returns across both products, and make changes intended to increase fees by more for larger lenders in order to remove fee concessions for volume of deliveries.

I can’t seem to find anything regarding the rationale for this peculiar action.

The Canadian preferred share market ended a horrible month on a positive note, with PerpetualDiscounts winning 22bp, FixedResets gaining 11bp and DeemedRetractibles up 18bp. The Performance Highlights table is its usual lengthy self. Volume was low.

Here’s TRP:

Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.02 to be $0.58 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.48 cheap at its bid price of 16.35.

Click for Big

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.61 to be $0.44 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.60 to be $0.53 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.37 to be $0.79 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 23.75 and appears to be $0.69 rich.

Click for Big

FTS.PR.G, with a spread of +213bp, and bid at 21.25, looks $0.34 cheap and resets 2018-9-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.34 and is $0.29 rich.

That’s the first time since I started publishing these charts regularly that FTS.PR.H has not been the cheapest issue; it is therefore interesting to see just how good Implied Volatility Theory has been as a predictor of returns since January 23, a date for which the Fortis issues were examined in detail in the post Effect of Varying GOC-5 Rate On Implied Volatility Rich/Cheap Analysis.

FTS FixedResets: Characteristics
Ticker	Current Dividend	Issue Reset Spread	Next Exchange Date
FTS.PR.G	0.9708	+213	2018-9-1
FTS.PR.H	1.0625	+145	2015-6-1
FTS.PR.K	1.00	+205	2019-3-1
FTS.PR.M	1.025	+248	2019-12-1
FTS.PR.H has since reset at 2.50%

FTS FixedResets: Comparison of 2015-1-23 and 2015-6-30 Actual Prices
Ticker	Bid Price 2015-1-23	Rich / (Cheap) 2015-1-23	Bid Price 2015-6-30	Rich / (Cheap) 2015-6-30	Total Return 2015-1-23 to 2015-6-30
FTS.PR.G	24.70	0.13	21.25	(0.34)	-12.26%
FTS.PR.H	18.28	(0.88)	16.80	(0.01)	-5.12%
FTS.PR.K	25.15	1.12	21.34	0.29	-12.99%
FTS.PR.M	25.58	(0.70)	23.70	0.04	-5.71%

FTS FixedResets: Comparison of 2015-1-23 and 2015-6-30 Fair Value Prices
Ticker	Fair Value 2015-1-23	Fair Value 2015-6-30	"Fair" Return 2015-1-23 to 2015-6-30
FTS.PR.G	24.57	21.59	-10.22%
FTS.PR.H	19.16	16.81	-9.42%
FTS.PR.K	24.03	21.05	-10.46%
FTS.PR.M	26.28	23.66	-8.10%
Total return calculated with reinvestment of dividends on the ex-date at actual prices, not "fair" prices

Well … I’d say Implied Volatility worked pretty well!

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.36%, including the outlier TRP.PR.A / TRP.PR.F at -0.09 and the new SLF.PR.G / SLF.PR.J pair at +1.08%. On the junk side there are three outliers: FFH.PR.E / FFH.PR.F at -0.64%; BRF.PR.A / BRF.PR.B at -0.88%; and DC.PR.B / DC.PR.D at -0.24%.

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	2.3327 %	2,247.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	2.3327 %	3,930.4
Floater	3.45 %	3.47 %	60,674	18.57	3	2.3327 %	2,389.7
OpRet	4.79 %	-4.82 %	22,401	0.08	1	0.0392 %	2,774.8
SplitShare	4.59 %	4.80 %	68,624	3.25	3	0.2281 %	3,251.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0392 %	2,537.3
Perpetual-Premium	5.50 %	5.10 %	64,414	4.21	19	-0.0668 %	2,512.9
Perpetual-Discount	5.28 %	5.20 %	118,505	15.07	15	0.2233 %	2,665.2
FixedReset	4.51 %	3.77 %	228,423	16.34	88	0.1074 %	2,329.1
Deemed-Retractible	5.01 %	4.69 %	110,914	0.64	34	0.1759 %	2,620.1
FloatingReset	2.96 %	3.23 %	41,834	6.01	11	-0.1035 %	2,329.2

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.I	FloatingReset	-3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.71 %
TRP.PR.A	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 3.68 %
GWO.PR.N	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.85 Bid-YTW : 7.08 %
ENB.PR.J	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 19.54 Evaluated at bid price : 19.54 Bid-YTW : 4.74 %
BAM.PF.E	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 21.75 Evaluated at bid price : 22.15 Bid-YTW : 4.17 %
MFC.PR.L	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 4.94 %
TRP.PR.G	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 23.11 Evaluated at bid price : 24.91 Bid-YTW : 3.77 %
PWF.PR.P	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 3.65 %
FTS.PR.G	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 3.77 %
ENB.PF.A	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.71 %
MFC.PR.C	Deemed-Retractible	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.93 %
ENB.PR.T	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.83 %
BAM.PR.N	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 5.76 %
ENB.PR.D	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.84 %
ELF.PR.F	Perpetual-Premium	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 24.23 Evaluated at bid price : 24.53 Bid-YTW : 5.40 %
VNR.PR.A	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 23.09 Evaluated at bid price : 24.00 Bid-YTW : 3.96 %
BMO.PR.T	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.18 Evaluated at bid price : 22.75 Bid-YTW : 3.62 %
BAM.PR.M	Perpetual-Discount	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.72 %
BAM.PR.C	Floater	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 3.47 %
BAM.PF.B	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.30 %
TRP.PR.C	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 3.80 %
BAM.PR.T	FixedReset	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 4.09 %
TD.PF.C	FixedReset	1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.09 Evaluated at bid price : 22.65 Bid-YTW : 3.64 %
RY.PR.Z	FixedReset	2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.44 Evaluated at bid price : 23.15 Bid-YTW : 3.53 %
BAM.PR.B	Floater	2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 14.79 Evaluated at bid price : 14.79 Bid-YTW : 3.37 %
BAM.PR.K	Floater	3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 14.29 Evaluated at bid price : 14.29 Bid-YTW : 3.49 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.K	FloatingReset	59,000	Nesbitt crossed 25,000 at 24.41. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 3.23 %
ENB.PR.F	FixedReset	56,853	Scotia crossed blocks of 35,000 and 12,000, both at 18.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.87 %
TD.PF.C	FixedReset	45,300	Scotia crossed 25,000 at 22.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.09 Evaluated at bid price : 22.65 Bid-YTW : 3.64 %
TRP.PR.A	FixedReset	39,530	TD crossed 37,000 at 20.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 3.68 %
RY.PR.L	FixedReset	37,200	TD crossed blocks of 10,000 and 15,200, both at 25.92. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.89 Bid-YTW : 3.36 %
BMO.PR.T	FixedReset	28,106	Desjardins crossed 18,300 at 22.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.18 Evaluated at bid price : 22.75 Bid-YTW : 3.62 %
There were 22 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.I	FloatingReset	Quote: 16.00 – 16.98 Spot Rate : 0.9800 Average : 0.6831 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.71 %
HSE.PR.E	FixedReset	Quote: 24.05 – 24.80 Spot Rate : 0.7500 Average : 0.5393 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.82 Evaluated at bid price : 24.05 Bid-YTW : 4.61 %
CM.PR.O	FixedReset	Quote: 22.95 – 23.45 Spot Rate : 0.5000 Average : 0.3706 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.31 Evaluated at bid price : 22.95 Bid-YTW : 3.62 %
MFC.PR.M	FixedReset	Quote: 22.60 – 23.15 Spot Rate : 0.5500 Average : 0.4271 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 4.89 %
TRP.PR.A	FixedReset	Quote: 20.02 – 20.49 Spot Rate : 0.4700 Average : 0.3500 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 3.68 %
FTS.PR.J	Perpetual-Discount	Quote: 23.20 – 23.75 Spot Rate : 0.5500 Average : 0.4327 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.88 Evaluated at bid price : 23.20 Bid-YTW : 5.16 %

Market Action

June 29, 2015

Greece finally shut down its banking system:

Greece moved to avert the collapse of its financial system, shutting lenders and imposing capital controls as of Monday, a measure that will deepen the recession and risk driving the nation toward an exit from the euro.

The move to husband resources followed the breakdown of aid talks with the international creditors late Friday and the European Central Bank decision to freeze its lifeline to Greek banks. On the streets, lines at ATMs and gas stations signified how daily life was about to be disrupted.

With cash flooding out at a record pace and its financial backstop gone, Greece would become the second euro-area country, after Cyprus in 2013, to declare a bank holiday and impose capital controls. European officials, meantime, discussed quarantining Greece from the rest of the currency bloc, while keeping it from spinning out of the euro’s orbit.
…
The optimism vanished after midnight on Friday when Tsipras shocked his counterparts across the region with his call for a July 5 referendum on the austerity demanded by creditors, just days before the June 30 expiry of the current bailout and a $1.7 billion payment due to the IMF.

In the aftermath, Greeks lined up this weekend to get access to as much of their money as they could. Two senior Greek bank executives said as many as 500 of the country’s more than 7,000 ATMs had run out of cash as of Saturday morning. Skai television reported as much as 1 billion euros ($1.1 billion) was withdrawn.

Greek bank deposits shrank by 30 billion euros between January and May this year to 129.9 billion euros, according to data released by Bank of Greece on its website on Thursday.
…
On Sunday night, long queues formed at numerous gas stations in Athens, reflecting doubts over the country’s ability to keep importing fuel. Lines at ATMs receded, as machines emptied.

That means that a Fairfax bet has gone bad:

Investors led by Canada’s Fairfax, which previously made successful bets on Bank of Ireland during the financial crisis, in April last year bought about 1.3 billion shares in Eurobank, according to the firm’s 2014 letter to shareholders. The stake amounts to about 9 percent of the share capital today and is valued at about 191 million euros. The shares are now worth less than half the 31 cents that investors in the share sale paid.

And there are various apocalyptic scenarios being touted:

It has the potential to prompt a Greek withdrawal from NATO, increase the influx of refugees into Europe and threaten Greek support for international sanctions against Russia over Ukraine.

“Greece spiraling into chaos would be a significant strategic disruption for Europe and therefore for the U.S.,” retired U.S. Admiral James Stavridis, a former NATO supreme allied commander, said in an interview. “There’s more to this crisis than money and the financial markets.”
…
If Greece ultimately is pushed off the euro currency for defaulting on its debt, it could seek revenge by pulling out of the North Atlantic Treaty Organization, blocking European Union sanctions on Russia or forcing the U.S. from its naval base in Crete, said Stavridis, a Greek-American who is dean of the Fletcher School of Law and Diplomacy at Tufts University in Massachusetts.

“A Greece that feels unloved and pushed out is less likely to be helpful” to the U.S. and Europe, he said.

But it’s an ill wind that blows nobody any good:

What is a crisis in Greece is an opportunity for Seamus Fahy 1,700 miles away in Dublin.

Fahy is offering a 15 percent discount for Greeks who want to store cash and valuables at Merrion Vaults, where 3,000 deposit boxes are protected underground in Dublin’s city center. He says he’s had about 20 Greek customers in recent months as concern mounted about how long the nation could stay in the euro region.

“If you lived in Athens, and had 200,000 euros, wouldn’t you try to get it out?” asks Fahy, a diamond dealer who opened the vaults in 2013, just off one of the city’s main Georgian-era squares, close to the Irish prime minister’s complex in Dublin.

But it’s no fun being Greek:

Uncertain what might happen next, with banks and financial markets closed, across Athens people wasted little time Monday, rushing to the nearest A.T.M. to withdraw their new daily maximum of 60 euros, determined to raise every last cent while they could.
…
Anecdotally, how people said they would vote in the referendum had little to do with those considerations, but broke down largely along lines of age and class. Older and more affluent Greeks leaned toward voting yes and younger and poorer Greeks leaned toward no, essentially as a protest of what they viewed as foreign oppression.

Whatever the outcome, Athenians were busy adapting to the new reality on Monday, focusing more on getting through the week than worrying too far into the future. People were emptying supermarket shelves, filling up containers at gas stations and lining up at automated teller machines, hoping that the supply of hard cash would not run out before it was their turn.

Meanwhile Element Financial, proud issuer of EFN.PR.A, EFN.PR.C, EFN.PR.E and EFN.PR.G, has bought another automobile fleet operation:

Canada’s Element Financial Corp said it will buy General Electric Co’s fleet management operations in the United States, Mexico, Australia and New Zealand for $8.6-billion ($6.98-billion (U.S.) in cash.

GE also signed a memorandum of understanding to sell its European fleet businesses to Arval, a fully-owned subsidiary of BNP Paribas.

Reuters reported on Friday that Element was close to buying a large chunk of GE’s vehicle fleet management business.

GE has said the business includes $9-billion in assets. The sale would be part of a plan it unveiled in April to divest about $200 billion in GE Capital assets as it moves away from finance and focuses on manufacturing industrial equipment.

… and that’s just a start:

Element Financial Corp.’s $8.6-billion acquisition of part of General Electric Co.’s fleet management business is not the end of the company’s growth plans, according to chief executive Steve Hudson, who went so far as to name his next acquisition targets.

“This message of growth at Element is: It’s not over, it’s not over, it’s not over,” said Mr. Hudson, on a conference call with analysts Monday. “They say you have to say something three times,” he added.

None of the EFN issues are tracked by HIMIPref™ because they don’t have a credit rating. With any luck that will change in the future as they visit the capital markets more often. A credit rating is important because the threat of a highly visible public spanking serves to concentrate the minds of management and the board.

I am pleased to see that the US is slowly grinding towards T+2 settlement:

Recently, an industry-led committee of members across the securities industry issued a white paper outlining the timeline and actions required to move from a three-day (T+3) trade settlement cycle to a two-day (T+2) trade settlement cycle for securities transactions in the United States by the third quarter 2017.[1] We applaud industry’s leadership in seeking changes to mitigate risks and improve capital efficiency.

Earlier this year, the Commission’s Investor Advisory Committee encouraged the Commission and market participants to move forward on reducing the settlement cycle, which would improve investor protections and reduce systemic risks.[2]

We look forward to working with our fellow Commissioners and the staff, as well as partnering with market participants to shorten the settlement cycle as soon as possible.

Footnotes:
[1] See “Shortening the Settlement Cycle: The Move to T+2” available at LINK. Currently, the Commission’s rules require settlement of trades in equities, corporate and municipal bonds, and unit investment trusts (UIT) three business days after a trade is executed, which is commonly referred to as T+3. Trade settlement is the date upon which security ownership transfers.

[2] See “Recommendation of the Investor Advisory Committee: Shortening the Trade Settlement Cycle in U.S. Financial Markets (February 12, 2015)” available at LINK.

I’ve been advocating for T+1 for over twenty years now. I mean, just what exactly is the problem? Everything’s electronic, it’s not like we have to send guys rooting through the vaults for street name certificates any more. Shorter settlement will decrease exposure to counterparty bankruptcy.

The next obvious step is allowing all investment managers to instruct custodians electronically. A username + password is no easier to forge than a signature and all but a very small part of the volume can be subjected to a sanity check.

Alberta is increasing its minimum wage:

Alberta, one of the lowest payers of minimum wage in Canada, is becoming one of the highest.

Jobs Minister Lori Sigurdson announced Monday that the $10.20 per hour minimum wage will rise by $1 to $11.20 an hour on Oct. 1.
…
Sigurdson said the decision was as much about social policy as economics.

“We believe minimum wage should at least allow people to meet their basic needs,” Sigurdson told reporters.

“Paying people a decent minimum wage will translate into a better life for low-income workers and, as a result, a better life for their families and for all Albertans.”

She also said the NDP government remains on track to hike the rate to $15 an hour by 2018, in keeping with its campaign promise in the May 5 election.

Super, although the rationale is nonsensical. Alberta’s productivity growth is a disgrace:

Labour productivity growth in Ontario’s business sector in the 2000-2012 period, at 0.5 per cent per year, was the second lowest among the provinces, higher only than Alberta’s annual growth rate of 0.4 per cent (Chart II).
…
It is well known that Canada’s labour productivity gap with the United States has widened significantly (Baldwin and Gu, 2009). This is also true for Ontario. In real terms, labour productivity in Ontario’s business sector declined relative to the United States from 88.3 per cent in 1987 to 71.6 per cent in 2012.

Labour productivity growth in Ontario’s business sector was only one-third of the U.S. average over the 2000-2012 period (0.5 per cent versus 1.6 per cent). All eight Great Lake states (Illinois, Indiana, Michigan, New York, Ohio, Minnesota, Pennsylvania, and Wisconsin) had considerably stronger labour productivity growth than Ontario.

A higher minimum wage will force increased automation on marginal companies, or they’ll go bankrupt and good riddance. A reliance on cheap labour and favourable exchange rates is no way for Canadians to get rich.

Brookfield Renewable Energy Partners L.P., proud (indirect) issuer of BRF.PR.A, BRF.PR.B, BRF.PR.C, BRF.PR.E and BRF.PR.F, has followed up its June 23 announcement of a Normal Course Issuer Bid by announcing:

that, in connection with Brookfield Renewable Power Preferred Equity Inc.’s (“BRP Equity”) previously announced normal course issuer bid program, BRP Equity has entered into an automatic purchase plan with its designated broker to allow for purchases of its Series 1 Class A Preference Shares, Series 2 Class A Preference Shares and Series 3 Class A Preference Shares. The plan will commence on July 1, 2015 and terminate on August 6, 2015.

From time to time, when BRP Equity does not possess material non-public information about itself or its securities, it may enter into automatic purchase plans with its broker to allow for the purchase of preferred shares at times when BRP Equity ordinarily would not be active in the market due to its own internal trading blackout periods and insider trading rules. Any such plans entered into with BRP Equity’s broker will be adopted in accordance with the requirements of applicable Canadian securities laws. The series of preferred shares subject to an automatic purchase plan may vary. Outside of these periods, preferred shares will be repurchased in accordance with management’s discretion, subject to applicable law.

I haven’t seen one of these before and must confess I don’t know exactly how they work. But it would seem to indicate that the company is more serious about its NCIB than issuers usually are.

It was a violently mixed day for the Canadian preferred share market, with PerpetualDiscounts down 38bp, FixedResets off 28bp and DeemedRetractibles gaining 34bp. FixedResets dominated a very lengthy Performance Highlights table (on the bad side), joined by a healthy dollop of PerpetualDiscounts; SLF DeemedRetractibles were a feature of the good part of the table, although I can’t think why. Volume was very high.

Here’s TRP:

Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.49 to be $0.97 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.80 cheap at its bid price of 16.10.

Click for Big

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.71 to be $0.51 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.65 to be $0.53 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.20 to be $0.74 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 22.44 and appears to be $0.98 rich.

Click for Big

FTS.PR.H, with a spread of +145bp, and bid at 16.70, looks $0.18 cheap and resets 2020-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.42 and is $0.35 rich.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.25%, including the outlier TRP.PR.A / TRP.PR.F at -0.67%. On the junk side there are three outliers: FFH.PR.E / FFH.PR.F at -0.70%; BRF.PR.A / BRF.PR.B at -0.62%; and DC.PR.B / DC.PR.D at -0.24%.

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	1.6770 %	2,196.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.6770 %	3,840.8
Floater	3.53 %	3.52 %	61,538	18.46	3	1.6770 %	2,335.2
OpRet	4.80 %	-4.51 %	22,663	0.08	1	-0.2733 %	2,773.7
SplitShare	4.60 %	4.87 %	71,459	3.25	3	-0.2943 %	3,244.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2733 %	2,536.3
Perpetual-Premium	5.49 %	4.79 %	64,971	2.33	19	-0.0781 %	2,514.6
Perpetual-Discount	5.30 %	5.21 %	119,414	15.05	15	-0.3811 %	2,659.2
FixedReset	4.56 %	3.74 %	233,855	16.02	88	-0.2822 %	2,326.6
Deemed-Retractible	5.02 %	4.38 %	112,282	0.88	34	0.3374 %	2,615.5
FloatingReset	2.85 %	3.28 %	58,478	6.01	9	-0.1329 %	2,331.6

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.M	FixedReset	-2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 22.58 Evaluated at bid price : 23.50 Bid-YTW : 3.73 %
MFC.PR.M	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 4.86 %
PWF.PR.P	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 3.61 %
HSE.PR.E	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 22.80 Evaluated at bid price : 24.01 Bid-YTW : 4.62 %
BAM.PR.T	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.17 %
BAM.PF.B	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 4.36 %
RY.PR.Z	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 22.14 Evaluated at bid price : 22.66 Bid-YTW : 3.62 %
HSE.PR.A	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.28 %
BAM.PR.R	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.34 %
ELF.PR.G	Perpetual-Discount	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 5.45 %
CU.PR.D	Perpetual-Discount	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 23.23 Evaluated at bid price : 23.60 Bid-YTW : 5.23 %
FTS.PR.F	Perpetual-Discount	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 22.96 Evaluated at bid price : 23.20 Bid-YTW : 5.33 %
CU.PR.E	Perpetual-Discount	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 23.32 Evaluated at bid price : 23.70 Bid-YTW : 5.21 %
ELF.PR.F	Perpetual-Premium	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 24.00 Evaluated at bid price : 24.25 Bid-YTW : 5.47 %
VNR.PR.A	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 22.94 Evaluated at bid price : 23.70 Bid-YTW : 4.02 %
ENB.PR.D	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.89 %
MFC.PR.N	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.58 Bid-YTW : 4.83 %
ENB.PF.A	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.76 %
MFC.PR.K	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.41 Bid-YTW : 4.77 %
MFC.PR.L	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.51 Bid-YTW : 4.79 %
TD.PF.C	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 21.80 Evaluated at bid price : 22.21 Bid-YTW : 3.74 %
PWF.PR.T	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 23.25 Evaluated at bid price : 24.88 Bid-YTW : 3.39 %
GWO.PR.H	Deemed-Retractible	1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.45 Bid-YTW : 5.73 %
MFC.PR.B	Deemed-Retractible	1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.53 Bid-YTW : 6.08 %
IAG.PR.G	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.89 %
TRP.PR.G	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 23.20 Evaluated at bid price : 25.20 Bid-YTW : 3.71 %
SLF.PR.E	Deemed-Retractible	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.71 Bid-YTW : 5.79 %
BAM.PF.E	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 21.95 Evaluated at bid price : 22.44 Bid-YTW : 4.10 %
SLF.PR.A	Deemed-Retractible	1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.46 Bid-YTW : 5.62 %
SLF.PR.C	Deemed-Retractible	1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.43 Bid-YTW : 5.90 %
SLF.PR.B	Deemed-Retractible	1.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.67 Bid-YTW : 5.55 %
BAM.PR.C	Floater	4.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 3.52 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSE.PR.G	FixedReset	141,625	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 22.90 Evaluated at bid price : 24.30 Bid-YTW : 4.55 %
TD.PF.B	FixedReset	76,228	TD crossed 70,000 at 22.82. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 22.26 Evaluated at bid price : 22.87 Bid-YTW : 3.62 %
ENB.PR.Y	FixedReset	59,313	TD crossed 45,000 at 18.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 17.87 Evaluated at bid price : 17.87 Bid-YTW : 4.88 %
SLF.PR.A	Deemed-Retractible	57,158	Desjardins crossed 50,000 at 23.35. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.46 Bid-YTW : 5.62 %
PWF.PR.L	Perpetual-Premium	51,000	Scotia crossed 50,000 at 25.04. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 24.67 Evaluated at bid price : 24.95 Bid-YTW : 5.18 %
RY.PR.N	Perpetual-Discount	46,750	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2024-11-24 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.84 %
There were 55 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ELF.PR.F	Perpetual-Premium	Quote: 24.25 – 24.96 Spot Rate : 0.7100 Average : 0.4669 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 24.00 Evaluated at bid price : 24.25 Bid-YTW : 5.47 %
TD.PF.C	FixedReset	Quote: 22.21 – 22.75 Spot Rate : 0.5400 Average : 0.3679 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 21.80 Evaluated at bid price : 22.21 Bid-YTW : 3.74 %
FTS.PR.M	FixedReset	Quote: 23.50 – 24.08 Spot Rate : 0.5800 Average : 0.4321 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 22.58 Evaluated at bid price : 23.50 Bid-YTW : 3.73 %
FTS.PR.I	FloatingReset	Quote: 16.50 – 17.00 Spot Rate : 0.5000 Average : 0.3577 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 3.60 %
RY.PR.Z	FixedReset	Quote: 22.66 – 23.23 Spot Rate : 0.5700 Average : 0.4300 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 22.14 Evaluated at bid price : 22.66 Bid-YTW : 3.62 %
RY.PR.H	FixedReset	Quote: 22.60 – 23.02 Spot Rate : 0.4200 Average : 0.2919 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-29 Maturity Price : 22.09 Evaluated at bid price : 22.60 Bid-YTW : 3.67 %

Market Action

June 26, 2015

I forgot to mention this earlier: Tiff Macklem has gone through the revolving door:

Bank of Nova Scotia appointed Tiff Macklem, a former Bank of Canada senior deputy governor, to its board of directors.

Macklem stepped down from the Ottawa-based central bank in May 2013 and has been serving as dean of the University of Toronto’s Rotman School of Management since July of that year.

“Tiff’s professional experience and understanding of the financial-services industry makes him a strong addition,” Thomas O’Neill, chairman of the board of directors at Canada’s third-largest bank by assets, said in a statement Monday.

The Russell indices were rebalanced today:

The Russell indexes are about to go through their annual rebalancing, leading to what Convergex, the global brokerage firm that’s based in New York, says will “almost certainly be the busiest trading day of the year.”

What’s more, as much as half of today’s trading volume may come in the last five minutes of the session.

Russell’s large-cap index includes 1,000 corporate names while the small-cap index has 2,000. Together they cover more than 90 percent of “reasonably investable” U.S. stocks, according to Convergex.

It will be interesting to learn whether there is any weeping from the regulators regarding institutional desk ‘trading against their clients’ by accumulating positions in advance. Why not? That’s the sort of idiotic wail we’ve heard about FX fixing.

As it happens, Convergex’ prediction didn’t come true:

About 8.9 billion shares changed hands in the U.S. today, the third-busiest session of the year. Russell’s U.S. stock indexes, including the Russell 1000 Index and the Russell 2000, are used as benchmarks for $5.2 trillion in assets, according to the company’s website.

Bloomberg published a nice chart illustrating Greek bank deposits:

Click for Big

My old buddy Doug Grieve, who was on the preferred share institutional desk at Nesbitt for a long, long time, has recently become the Portfolio Manager for Lysander-Slater Preferred Share Dividend Fund.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 10bp, FixedResets gaining 30bp and DeemedRetractibles down 13bp. The Performance Highlights table is dominated by winning FixedResets – we haven’t seen that for a while! Volume was below average.

Here’s TRP:

Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.42 to be $0.84 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.82 cheap at its bid price of 16.25.

Click for Big

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 22.75 to be $0.46 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.83 to be $0.31 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.50 to be $0.63 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 22.08 and appears to be $0.51 rich.

Click for Big

FTS.PR.H, with a spread of +145bp, and bid at 16.80, looks $0.16 cheap and resets 2020-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.27 and is $0.18 rich.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.30%, including the outlier TRP.PR.A / TRP.PR.F at -0.50%. On the junk side there are two outliers: FFH.PR.E / FFH.PR.F at -0.54%; and BRF.PR.A / BRF.PR.B at -0.25%.

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	0.3124 %	2,160.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.3124 %	3,777.5
Floater	3.58 %	3.60 %	61,691	18.28	3	0.3124 %	2,296.7
OpRet	4.78 %	-8.20 %	22,554	0.08	1	0.0000 %	2,781.3
SplitShare	4.58 %	4.81 %	73,896	3.26	3	0.1742 %	3,254.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,543.2
Perpetual-Premium	5.48 %	4.24 %	62,311	0.51	19	0.1339 %	2,516.6
Perpetual-Discount	5.27 %	5.20 %	116,415	15.07	15	-0.0993 %	2,669.4
FixedReset	4.55 %	3.80 %	235,375	16.09	88	0.2959 %	2,333.2
Deemed-Retractible	5.04 %	3.38 %	112,680	0.89	34	-0.1343 %	2,606.7
FloatingReset	2.49 %	2.92 %	56,168	6.09	9	0.0542 %	2,334.7

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.E	FixedReset	-2.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 21.70 Evaluated at bid price : 22.08 Bid-YTW : 4.24 %
BAM.PF.B	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 21.28 Evaluated at bid price : 21.56 Bid-YTW : 4.33 %
MFC.PR.B	Deemed-Retractible	-1.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.24 Bid-YTW : 6.24 %
FTS.PR.J	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 23.07 Evaluated at bid price : 23.41 Bid-YTW : 5.11 %
FTS.PR.K	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 3.80 %
BAM.PR.C	Floater	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 3.69 %
MFC.PR.N	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 4.72 %
ENB.PR.D	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.92 %
MFC.PR.K	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 4.68 %
NA.PR.S	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 23.00 Evaluated at bid price : 24.32 Bid-YTW : 3.55 %
FTS.PR.H	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 3.67 %
BMO.PR.T	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 22.03 Evaluated at bid price : 22.51 Bid-YTW : 3.73 %
TRP.PR.E	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 22.14 Evaluated at bid price : 22.70 Bid-YTW : 3.83 %
MFC.PR.M	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 4.63 %
MFC.PR.F	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 7.14 %
BMO.PR.W	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 22.04 Evaluated at bid price : 22.55 Bid-YTW : 3.68 %
BAM.PR.T	FixedReset	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.17 %
BAM.PR.B	Floater	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 3.46 %
IAG.PR.G	FixedReset	2.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 4.13 %
TRP.PR.C	FixedReset	3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 3.92 %
TD.PF.A	FixedReset	3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 22.17 Evaluated at bid price : 22.75 Bid-YTW : 3.71 %
HSE.PR.A	FixedReset	3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 4.32 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.R	FloatingReset	153,921	Desjardins bought blocks of 17,100 and 85,500 from RBC, both at 24.05. TD crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.02 Bid-YTW : 2.87 %
ENB.PR.N	FixedReset	88,870	TD crossed 74,800 at 18.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 4.94 %
ENB.PR.F	FixedReset	77,669	Scotia crossed 41,900 at 18.20; RBC bought 10,000 from Nesbitt at 18.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 4.94 %
BNS.PR.R	FixedReset	71,895	Nesbitt crossed 35,000 at 25.51. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 3.18 %
CU.PR.F	Perpetual-Discount	45,608	Scotia crossed 40,000 at 21.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 21.56 Evaluated at bid price : 21.85 Bid-YTW : 5.19 %
ENB.PR.T	FixedReset	34,865	Scotia crossed 30,000 at 18.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 4.94 %
There were 25 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.C	Deemed-Retractible	Quote: 22.13 – 22.99 Spot Rate : 0.8600 Average : 0.5876 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.13 Bid-YTW : 6.15 %
BAM.PF.B	FixedReset	Quote: 21.56 – 22.00 Spot Rate : 0.4400 Average : 0.2957 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 21.28 Evaluated at bid price : 21.56 Bid-YTW : 4.33 %
MFC.PR.B	Deemed-Retractible	Quote: 22.24 – 22.64 Spot Rate : 0.4000 Average : 0.2636 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.24 Bid-YTW : 6.24 %
MFC.PR.F	FixedReset	Quote: 17.25 – 17.84 Spot Rate : 0.5900 Average : 0.4554 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 7.14 %
IFC.PR.A	FixedReset	Quote: 19.26 – 19.84 Spot Rate : 0.5800 Average : 0.4506 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.26 Bid-YTW : 6.46 %
CIU.PR.C	FixedReset	Quote: 16.56 – 17.23 Spot Rate : 0.6700 Average : 0.5541 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-26 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 3.65 %

Market Action

June 25, 2015

In order to address an alarming shortage of employment opportunities for bureaucrats, the OECD has inaugurated publication of the OECD Business and Finance Outlook. The full publication is here; it’s a long paean to the glories of state intervention.

I’ve seen a lot of whining in the press about the effect of Chinese buying on the price of Vancouver real-estate, but in Sydney, Australia, it’s a full-court press:

Since announcing a crackdown on unlawful home purchases in February, the government has forced only one foreigner to sell up. Chinese already buy almost a quarter of new homes in Sydney and their outlay will more than double to A$60 billion ($46 billion) in the six years to 2020, according to Credit Suisse Group AG.

“Forget the anti-corruption,” said Ray Chan, managing director of Sydney-based Henson Properties, which sells homes almost exclusively to Chinese. “A lot of money is coming through.”

Amid concern that offshore demand is pricing locals out of the market, Treasurer Joe Hockey plans bigger fines and jail time for those flouting restrictions. Yet more than six months after a parliamentary inquiry called for a national register of the citizenship of buyers, the database is still a work in progress — leaving officials with no firm grasp of the scale of overseas purchases.

We don’t really like competition, do we?

And Bloomberg introduces us to a real live compliance guy:

Several tax brackets down from [JPMorgan Chase CEO Jamie] Dimon, Justin “the Compliance Guru” Hall is betting that Dimon’s scourge will, by contrast, ensure his own upward mobility. Hall, 28, is a compliance officer at Charles Schwab Corp.’s retail bank. He and thousands of others like him, at every company in finance, are charged with keeping their revenue-obsessed colleagues on the right side of the rules. Compliance, not banking, has been the real growth business since 2008, when free-market liberties turned to liabilities and markets collapsed.

Hall, who uses the self-awarded “guru” designation on his LinkedIn profile, couldn’t be happier with his choice of career. “There’s definitely no shortage of opportunity,” he says. “You’re usually involved with all the big dogs in the company. Your visibility is huge.”
…
Compliance types point to these big numbers [of post-crisis fines paid] as proof that hiring a few of their ilk really pays off. JPMorgan has hired 8,000 compliance and control people since the crisis. Employees completed 800,000 hours of compliance training in the bank’s mortgage business alone in 2014.
…
In another era, someone like Justin Hall might have gone into plastics, or semiconductors, to make his fortune. Growing up in Chandler, Arizona, Hall spent half his time living in a trailer park with one of his divorced parents. He sold phone books and magazines door-to-door, then switched to selling phone service for WorldCom, where his charm helped him pull down $98,000 the year he turned 17. “I have a knack for picking up people’s cues,” he says.

He got into financial services in 2005 at age 18, right out of high school, through a neighbor who worked at Bank of America and told him about a job there as a credit risk analyst. After a promotion, Hall ended up on a BofA team examining Countrywide Financial and its assets before the bank took a $2 billion stake in the troubled lender in 2007. That got him into compliance. He went to college, earning a bachelor’s degree in project management and finance from the University of Phoenix in 2012 and a master’s in management of information systems from Arizona State in 2014. He joined Schwab’s in-house bank, based in Phoenix, in October, working on an oversight program for ensuring that third-party vendors comply with banks’ risk regulations.

So the 800,000 hours of compliance training (at what? Maybe $50 per hour?) and 8,000 compliance and control people (at what? Maybe $75,000 each per year?) are only the tip of the iceberg. We’ve got guys like Justin Hall, obviously a real go-getter with a knack for sales, going into the ticky-box business because that’s where the action is. What a waste. What a completely useless drag on society. And, remember, pointing at those huge fine numbers to justify the expense assumes that (i) the fines would have been avoided with the big compliance push, and (ii) the fines represent an actual business cost, rather than a completely disproportionate (as discussed on June 10) element of the war on banks.

And there’s a report brewing that will probably serve to provide a fig-leaf for yet more regulation:

Regulators including the Fed and the Treasury Department are working on a report analyzing liquidity, including the events of Oct. 15, 2014, when yields on 10-year Treasuries plunged the most since 2009.

Speaking of liquidity…:

If rising interest rates prompt investors to flee debt markets, bank bonds could be the hardest hit among corporate securities, according to Bank of America Corp.

“We’re now moving into an environment of outflows, which means a lot of investors are going to have to sell bonds for an extended period of time,” Hans Mikkelsen, head of U.S. investment-grade credit strategy at Bank of America Merrill Lynch, said in a telephone interview.

Investors will have to ignore the fundamental fact that higher rates and a stronger economy are actually good for banks, he said, because they’ll just have to offload what they can.

Two factors make bank bonds an easy sell: they are widely owned and actively traded. A Bank of America survey of 94 credit investors last month showed a majority were overweight bank bonds. Trading in bank bonds made up more than 30 percent of the total volume of corporate debt traded in the past three months, according to Trace, the bond-price reporting system of the Financial Industry Regulatory Authority.
…
That’s one reason bank bonds are attractive to investors. Banks including JPMorgan Chase & Co., Citigroup Inc. and Goldman Sachs Group Inc. have sold $1.3 trillion of bonds since the financial crisis, according to data compiled by Bloomberg. That’s a fifth of the total $6.5 trillion investment-grade bonds issued in that period.

Six of America’s biggest banks — JPMorgan, Bank of America, Goldman Sachs, Morgan Stanley, Citigroup and Wells Fargo & Co. — are among the top 11 most actively traded names in the corporate-bond market over the past three months, Trace data show.

I’m not sure I buy that. If there’s selling pressure on bank bonds, there will be pressure on everything else. After all, if we start with a ‘fair’ market and your bank bond then goes down $1 while the quote on your less-liquid industrial bond goes down $0.50, you’re going to try to sell the industrial bond. But you won’t be able to: as soon as you get on the ‘phone, the quote’s going to drop another buck as the traders adjust their pricing matrix. This warning implicitly assumes that in a tight liquidity environment, the liquidity (price) premium is going to change to a discount, and that’s a little hard to swallow.

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts down 26bp, FixedResets gaining 4bp and DeemedRetractibles off 4bp. Floaters got hammered. The Performance Highlights table reveals that beneath the very calm overall index result is a violent maelstrom of churning FixedResets. Volume was on the low side of average.

Here’s TRP:

Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.50 to be $0.98 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.98 cheap at its bid price of 16.00.

Click for Big

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 22.70 to be $0.58 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.80 to be $0.38 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.35 to be $0.83 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 22.75 and appears to be $1.12 rich.

Click for Big

FTS.PR.H, with a spread of +145bp, and bid at 16.61, looks $0.27 cheap and resets 2020-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.50 and is $0.46 rich.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.35%, including the outlier TRP.PR.A / TRP.PR.F at -0.53%. On the junk side there are two outliers: FFH.PR.E / FFH.PR.F at -0.65%; and BRF.PR.A / BRF.PR.B at -0.39%.

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	-3.0070 %	2,153.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	-3.0070 %	3,765.7
Floater	3.60 %	3.61 %	61,865	18.27	3	-3.0070 %	2,289.6
OpRet	4.78 %	-8.35 %	22,912	0.08	1	-0.1559 %	2,781.3
SplitShare	4.59 %	4.80 %	74,849	3.26	3	-0.1873 %	3,248.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1559 %	2,543.2
Perpetual-Premium	5.48 %	4.80 %	62,992	4.22	19	0.0187 %	2,513.2
Perpetual-Discount	5.27 %	5.19 %	118,412	15.09	15	-0.2593 %	2,672.0
FixedReset	4.56 %	3.86 %	235,833	16.15	88	0.0402 %	2,326.3
Deemed-Retractible	5.03 %	3.20 %	111,993	0.65	34	-0.0360 %	2,610.2
FloatingReset	2.49 %	2.99 %	57,846	6.09	9	-0.0591 %	2,333.5

Performance Highlights
Issue	Index	Change	Notes
IAG.PR.G	FixedReset	-3.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.06 Bid-YTW : 4.43 %
BAM.PR.K	Floater	-3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 13.81 Evaluated at bid price : 13.81 Bid-YTW : 3.61 %
BAM.PR.C	Floater	-3.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 13.65 Evaluated at bid price : 13.65 Bid-YTW : 3.65 %
BAM.PR.B	Floater	-2.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 3.52 %
CU.PR.D	Perpetual-Discount	-2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 23.42 Evaluated at bid price : 23.81 Bid-YTW : 5.18 %
HSE.PR.A	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 15.66 Evaluated at bid price : 15.66 Bid-YTW : 4.48 %
MFC.PR.F	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 7.32 %
BAM.PF.A	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 22.29 Evaluated at bid price : 22.80 Bid-YTW : 4.35 %
IAG.PR.A	Deemed-Retractible	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.54 Bid-YTW : 5.99 %
MFC.PR.K	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 4.82 %
TRP.PR.C	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.08 %
ENB.PR.H	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.90 %
BMO.PR.T	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 21.85 Evaluated at bid price : 22.25 Bid-YTW : 3.78 %
TRP.PR.G	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 22.99 Evaluated at bid price : 24.60 Bid-YTW : 3.88 %
PWF.PR.S	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 23.39 Evaluated at bid price : 23.75 Bid-YTW : 5.11 %
TRP.PR.E	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 22.14 Evaluated at bid price : 22.70 Bid-YTW : 3.90 %
ENB.PF.A	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.78 %
NA.PR.W	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 22.09 Evaluated at bid price : 22.66 Bid-YTW : 3.73 %
ENB.PF.E	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 20.24 Evaluated at bid price : 20.24 Bid-YTW : 4.79 %
FTS.PR.H	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 3.71 %
SLF.PR.G	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.51 Bid-YTW : 7.43 %
POW.PR.G	Perpetual-Premium	1.57 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-15 Maturity Price : 25.25 Evaluated at bid price : 25.82 Bid-YTW : 4.97 %
BAM.PR.R	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.39 %
ENB.PF.G	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.76 %
ENB.PF.C	FixedReset	1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 20.19 Evaluated at bid price : 20.19 Bid-YTW : 4.77 %
ENB.PR.J	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 19.77 Evaluated at bid price : 19.77 Bid-YTW : 4.75 %
MFC.PR.N	FixedReset	2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 4.85 %
MFC.PR.M	FixedReset	2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 4.81 %
PWF.PR.P	FixedReset	2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 3.64 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.T	FloatingReset	139,638	TD crossed blocks of 88,400 and 50,000, both at 24.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.04 Bid-YTW : 2.88 %
BNS.PR.P	FixedReset	95,800	TD crossed blocks of 45,000 and 50,000, both at 25.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 3.10 %
TD.PR.Z	FloatingReset	60,929	TD crossed 60,000 at 24.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 2.99 %
TD.PR.Y	FixedReset	54,800	TD crossed 50,000 at 25.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.33 Bid-YTW : 3.02 %
HSE.PR.A	FixedReset	50,290	Scotia crossed 40,000 at 16.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 15.66 Evaluated at bid price : 15.66 Bid-YTW : 4.48 %
BNS.PR.R	FixedReset	42,860	Nesbitt crossed 35,000 at 25.53. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 3.14 %
There were 29 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: 13.81 – 14.68 Spot Rate : 0.8700 Average : 0.6878 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 13.81 Evaluated at bid price : 13.81 Bid-YTW : 3.61 %
ENB.PF.G	FixedReset	Quote: 20.50 – 21.00 Spot Rate : 0.5000 Average : 0.3218 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.76 %
BAM.PR.C	Floater	Quote: 13.65 – 14.60 Spot Rate : 0.9500 Average : 0.7874 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 13.65 Evaluated at bid price : 13.65 Bid-YTW : 3.65 %
TRP.PR.E	FixedReset	Quote: 22.70 – 23.20 Spot Rate : 0.5000 Average : 0.3489 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 22.14 Evaluated at bid price : 22.70 Bid-YTW : 3.90 %
MFC.PR.K	FixedReset	Quote: 22.40 – 22.80 Spot Rate : 0.4000 Average : 0.2491 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 4.82 %
TD.PF.A	FixedReset	Quote: 22.00 – 23.06 Spot Rate : 1.0600 Average : 0.9273 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-25 Maturity Price : 21.67 Evaluated at bid price : 22.00 Bid-YTW : 3.86 %

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