Category: Market Action

The Bank of Canada didn’t move today:

The Bank of Canada today announced that it is maintaining its target for the overnight rate at 3/4 per cent. The Bank Rate is correspondingly 1 per cent and the deposit rate is 1/2 per cent.

Inflation in Canada continues to track the path outlined in the Bank’s April Monetary Policy Report (MPR). Total CPI inflation is near the bottom of the Bank’s 1 to 3 per cent inflation control range, largely due to the transitory effects of sharply lower energy prices. Core inflation remains above 2 per cent, boosted by the pass-through effects of past depreciation of the Canadian dollar, as well as certain sector-specific factors. Seeing through the various temporary factors, the Bank estimates that the underlying trend of inflation is 1.6 to 1.8 per cent, consistent with persistent slack in the economy.

The outlook for the Canadian economy also remains largely in line with the April MPR. While a weak first quarter in the United States has raised questions about that economy’s underlying strength, the Bank expects a return to solid growth in the second quarter. This will help advance the rotation of demand in Canada toward more exports and business investment. Recent indicators suggest consumption in Canada is holding up relatively well, given the impact of lower oil prices on gross domestic income.

Despite the recent back-up in global bond yields, financial conditions for Canadian households and firms remain highly stimulative. The Canadian dollar has strengthened in recent weeks in the context of higher oil prices and a softer U.S. dollar. If these developments are sustained, their net effect will need to be assessed as more data become available in the months ahead.

Although a number of complex adjustments are under way, the Bank’s assessment of risks to the inflation profile has not materially changed. Risks to financial stability remain elevated, but appear to be evolving as expected. Weighing all of these risks, the Bank judges that the current degree of monetary policy stimulus remains appropriate and therefore the target for the overnight rate remains at 3/4 per cent.

John Heinzl had an interview with Nicolas Normandeau, the manager of the $430-million Horizons Active Preferred Share ETF (HPR):

He was on the other end of the trades scooping up shares at fire-sale prices.

“During the selloff I was buying everything,” said the manager of the $430-million Horizons Active Preferred Share ETF (HPR). “I was buying about $4-million to $5-million a day. That’s a big number.”
…
Faced with falling shares prices and reduced dividend income, many preferred shareholders panicked – particularly retail investors, Mr. Normandeau said. “They were just selling every issue they have,” he said. That’s when he started aggressively investing the cash he had been accumulating.

His timing worked out well. Preferred share prices have rebounded in recent weeks and, although he’s not buying as aggressively as he was in late 2014 and early 2015, he still thinks many rate-reset preferreds offer attractive potential returns – and acceptable interest rate risks – at current levels.

Market timing, feh. Live by the sword, die by the sword. He’s doing pretty well on a three-year basis … but with market timing you’ve got to be right all the time.

Yesterday I expressed my approbation of the plan to allow voluntary contributions to the Canada Pension Plan. It would seem I’m not the only one:

“We think it’s a good proposal,” said Graham Smith, senior policy adviser at the Investment Funds Institute of Canada, which advocates on behalf of the investment industry.

Ian Russell, president and chief executive of the Investment Industry Association of Canada, also sounded upbeat.

“It provides Canadians with another option,” he said.
…
Don Drummond, a professor at Queen’s University and former chief economist at Toronto-Dominion Bank, pointed out that mutual fund fees are particularly hard for investors to stomach in a low-return environment.

The industry would likely have to respond to competition for savers’ assets by cutting fees, or creating new genres of investment vehicles that stand apart from what the CPP Fund offers.

Mr. Drummond said people will love the option of contributing extra funds to the CPP, which could override any concerns voiced from the investment industry during the upcoming consultations on the issue.

In any case, he noted, the investment industry tends to chase people who have savings of more than $600,000 – a relatively small slice of the population that might not be significantly swayed by the potential for a bigger CPP contribution.

Mr. Drummond is an optimist. It would be far more logical to raise mutual fund fees so salesmen can be paid a bigger trailer.

As far as industry reaction is concerned, I’m looking forward to competition from deferred annuities, with a little head-to-head competition between the CPPIB and the insurance companies.

However, opinion is not unanimous, or at least it wasn’t five years ago:

The Conservative government rejected a voluntary expansion of the Canada Pension Plan five years ago as overly expensive and misguided, a history that is raising questions as to why it is now proposing that very idea.
…
The call for consultations is in spite of the fact that Finance Canada held detailed talks and contracted policy experts throughout 2009 and 2010 to weigh in on the state of retirement saving in Canada.

After the study, then-finance minister Jim Flaherty said it was clear that “some sort of voluntary new CPP method” wouldn’t work.

“This was rejected unanimously by our partners in the federation when we met and discussed the issue because it would not work and because the CPP would be unable to administer it,” he told the House of Commons in September 2010.

Ted Menzies, who was then the Conservative minister responsible for the pensions file, went further.

“The verdict was unanimous. This was not a good idea,” Mr. Menzies told the House in November 2010. “The consensus of governments and public-interest groups from across the political spectrum has been that this would be costly, ineffective and, ultimately, a misguided solution.”

It’s good to see some bio-octane being produced:

Global Bioenergies (Alternext Paris: ALGBE) and Audi announce that the first batch of renewable gasoline has been produced. It will be presented to Audi by Global Bioenergies during a press conference to be held in Pomacle on the 21st of May.

The first isobutene batch produced from renewable resources (here: corn-derived glucose) at Global Bioenergies’ industrial pilot in Pomacle-Bazancourt, near Reims in France, had been delivered to the chemical company Arkema early May 2015. Subsequent isobutene batches have been converted into isooctane by the Fraunhofer Institute at the Leuna refinery near Leipzig where Global Bioenergies is now building its demo plant.
…
Reiner Mangold, Head of sustainable product development at Audi declares: “The confirmation that Global Bioenergies’ renewable isobutene is compatible with a commonly used fossil isobutene to isooctane conversion technology represents a key step on our way to Audi ‘ebenzin’. We are now looking forward to working together with Global Bioenergies on a technology allowing the production of renewable isooctane not derived from biomass sources, following Audi’s ‘e-fuels’ strategy.”

It’s a pity that they didn’t put more meat in the press release. What’s the efficiency of this process vs. gasohol production? And where do they stand in the project not to use biomass?

Canadian General Investments, Limited, proud issuer of CGI.PR.C and CGI.PR.D, was confirmed at Pfd-1(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the ratings of the 3.90% Cumulative Redeemable Class A Preference Shares, Series 3 (the Series 3 Preference Shares) and the 3.75% Cumulative Redeemable Class A Preference Shares, Series 4 (the Series 4 Preference Shares; collectively, with the Series 3 Preference Shares, the Preference Shares) issued by Canadian General Investments, Limited (the Company) at Pfd-1 (low). The Series 3 Preference Shares and Series 4 Preference Shares rank pari passu and will be retractable at the option of their holders on or after June 15, 2016, and June 15, 2023, respectively.

The Company holds a well-diversified portfolio consisting primarily of common shares of Canadian companies (the Portfolio). Since the last rating confirmation in May 2014, the performance of the portfolio has been stable. The current downside protection available to the portfolio is approximately 79.8%. Holders of the Series 3 Preference Shares are entitled to receive fixed cumulative preferential cash dividends of $0.975 per annum, yielding 3.90% on the initial issue price, while holders of the Series 4 Preference Shares are entitled to cash dividends of $0.9375 per annum, yielding 3.75% per annum on the initial issue price. Income received on the Portfolio will be able to cover approximately 65% of distributions to all series of Preference Shares, based on the Portfolio holdings as of May 15, 2015. Despite the grind caused by the drop in the distribution coverage ratio and the regular distributions to holders of the common shares of the Company, downside protection remains commensurate with the current ratings of the Preference Shares.

It was a positive day for the Canadian preferred share market, with PerpetualDiscounts up 10bp, FixedResets gaining 6bp and DeemedRetractibles winning 28bp. The Performance Highlights table is very lengthy, with ENB issues prominent winners. Volume was below average.

PerpetualDiscounts now yield 5.07%, equivalent to 6.59% 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”) is now about 265bp, unchanged from the May 20 report.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.10 to be $1.07 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.75 cheap at its bid price of 25.00.

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.L, resetting at +216 on 2019-6-19, bid at 23.65 to be $0.69 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.05 to be $0.63 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.76 to be $0.57 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 24.81 and appears to be $0.53 rich.

FTS.PR.H, with a spread of +145bp, and bid at 16.65, looks $0.49 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.75 and is $0.32 rich.

Investment-grade pairs predict an average over the next five-odd years of about 0.45%, including the TRP.PR.A / TRP.PR.F at 0.01%. On the junk side, four pairs are showing negative breakeven rates and are not shown: FFH.PR.E / FFH.PR.F at -1.15%; DC.PR.B / DC.PR.D at -1.39%; AIM.PR.A / AIM.PR.B at -1.01% and BRF.PR.A / BRF.PR.B at -0.63%.

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	1.2941 %	2,278.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.2941 %	3,984.5
Floater	3.19 %	3.34 %	51,933	18.84	4	1.2941 %	2,422.6
OpRet	4.45 %	-11.12 %	29,708	0.10	2	0.0198 %	2,780.8
SplitShare	4.58 %	4.47 %	65,105	3.34	3	0.4164 %	3,254.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0198 %	2,542.7
Perpetual-Premium	5.46 %	3.09 %	61,776	0.42	18	0.1202 %	2,519.3
Perpetual-Discount	5.09 %	5.07 %	119,276	15.36	15	0.0956 %	2,766.7
FixedReset	4.44 %	3.78 %	269,552	16.08	86	0.0619 %	2,399.6
Deemed-Retractible	4.97 %	3.45 %	103,825	0.73	34	0.2787 %	2,630.7
FloatingReset	2.55 %	2.91 %	57,617	6.15	7	0.0364 %	2,340.8

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.N	FixedReset	-4.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.28 Bid-YTW : 7.02 %
PWF.PR.A	Floater	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 2.83 %
SLF.PR.G	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 6.90 %
PWF.PR.P	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 3.77 %
TD.PF.C	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 22.56 Evaluated at bid price : 23.50 Bid-YTW : 3.58 %
TRP.PR.A	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.76 %
MFC.PR.F	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.28 Bid-YTW : 6.42 %
TRP.PR.B	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 3.80 %
RY.PR.M	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 22.95 Evaluated at bid price : 24.50 Bid-YTW : 3.67 %
ENB.PR.T	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 19.47 Evaluated at bid price : 19.47 Bid-YTW : 4.71 %
SLF.PR.B	Deemed-Retractible	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.39 %
ENB.PR.H	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 4.55 %
ENB.PR.F	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.68 %
ENB.PR.N	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 4.67 %
BAM.PR.R	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 4.14 %
SLF.PR.A	Deemed-Retractible	1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 5.42 %
FTS.PR.H	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 3.78 %
ENB.PR.P	FixedReset	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.69 %
BAM.PR.X	FixedReset	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.18 %
HSE.PR.A	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.22 %
BAM.PR.C	Floater	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 14.91 Evaluated at bid price : 14.91 Bid-YTW : 3.38 %
ENB.PR.D	FixedReset	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.64 %
ENB.PR.B	FixedReset	1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 19.14 Evaluated at bid price : 19.14 Bid-YTW : 4.60 %
MFC.PR.B	Deemed-Retractible	2.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.39 Bid-YTW : 5.51 %
MFC.PR.L	FixedReset	2.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 4.19 %
BAM.PR.B	Floater	2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 15.08 Evaluated at bid price : 15.08 Bid-YTW : 3.34 %
BAM.PR.K	Floater	3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 14.93 Evaluated at bid price : 14.93 Bid-YTW : 3.37 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.S	FixedReset	226,190	Scotia crossed 200,000 at 24.50. Nice ticket! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 23.06 Evaluated at bid price : 24.48 Bid-YTW : 3.48 %
RY.PR.G	Deemed-Retractible	75,750	TD crossed 75,000 at 25.35. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-26 Maturity Price : 25.25 Evaluated at bid price : 25.32 Bid-YTW : 1.53 %
BMO.PR.Q	FixedReset	47,150	Nesbitt crossed 32,700 at 23.58. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 3.51 %
BNS.PR.Z	FixedReset	37,700	TD crossed two blocks of 16,000 each, both at 23.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 3.46 %
TRP.PR.A	FixedReset	35,430	TD crossed 30,000 at 20.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.76 %
TRP.PR.F	FloatingReset	32,700	TD crossed 30,000 at 19.35. Perhaps related to the above? YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 3.32 %
There were 25 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.N	FixedReset	Quote: 17.28 – 17.90 Spot Rate : 0.6200 Average : 0.4160 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.28 Bid-YTW : 7.02 %
GWO.PR.S	Deemed-Retractible	Quote: 26.26 – 26.75 Spot Rate : 0.4900 Average : 0.3126 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 4.73 %
PWF.PR.A	Floater	Quote: 17.70 – 18.35 Spot Rate : 0.6500 Average : 0.4894 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 2.83 %
HSB.PR.C	Deemed-Retractible	Quote: 25.40 – 25.80 Spot Rate : 0.4000 Average : 0.2515 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-26 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : -4.74 %
CIU.PR.C	FixedReset	Quote: 16.35 – 17.00 Spot Rate : 0.6500 Average : 0.5149 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-27 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 3.80 %
GWO.PR.R	Deemed-Retractible	Quote: 24.81 – 25.19 Spot Rate : 0.3800 Average : 0.2491 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 5.03 %

Fischer doesn’t want the Fed to trigger a global depression:

Federal Reserve Vice Chairman Stanley Fischer said policy makers will consider global growth as they begin to raise interest rates, and that they could increase them more gradually should the world economy falter.

“If foreign growth is weaker than anticipated, the consequences for the U.S. economy could lead the Fed to remove accommodation more slowly than otherwise,” Fischer said in a speech prepared for delivery Tuesday at Tel Aviv University.

The Fed will weigh how raising rates will affect other nations, said Fischer, 71, a former governor of the Bank of Israel. While tightening will probably will cause spillovers, the Fed is working to communicate policy changes clearly to smooth the transition, and emerging market economies are in better shape to endure the shift than in recent years, he said.

Meanwhile the all-important data seems to be strengthening the hands of Fed hawks:

U.S. stocks fell the most in three weeks, as better-than-forecast economic data and comments by Federal Reserve officials bolstered bets for an interest-rate increase this year.
…
A better-than-forecast increase in capital goods orders and new-home sales came after Federal Reserve Chair Janet Yellen indicated the central bank will raise borrowing costs this year if the economy improves as she expects. Fed Bank of Cleveland President Loretta Mester echoed her comments on Monday, saying the U.S. economy is close to the point where it can support higher rates.

But there’s always a counter-argument:

For years, the $12.6 trillion U.S. Treasury market has signaled — correctly — that the Federal Reserve was too optimistic in its outlook for the economy and interest rates.

That’s no different now even though policy makers have moved closer to how traders view the world, which is to say that it wouldn’t be surprising if the central bank failed to lift borrowing costs this year.

Despite the backup in yields in recent weeks, bond prices still signal the unexpected slowdown in the economy was more than just the result of some bad weather that kept Americans indoors and idled factories in the first quarter. Regardless of when the first increase comes, futures show traders don’t see rates exceeding 1 percent by the end of 2016, versus the Fed’s estimate of 1.875 percent.

I can’t say I’m very happy about Yellen’s deprecation of the Jackson Hole conference:

It turns out that being the first woman to head the Federal Reserve is not the only tradition Janet Yellen is breaking. The Fed said Tuesday that she plans on skipping this year’s gathering of the world’s central bankers at Jackson Hole, Wyoming.
…
The faithful attendance of Yellen’s three predecessors — Paul Volcker, Alan Greenspan and Ben Bernanke — made the conference sponsored by the Kansas City Federal Reserve Bank a widely sought invitation by central bankers from around the globe. Kansas City Fed officials said they would have no comment on Yellen’s decision.

There’s a rather opaque story on Bloomberg about corporate bonds – I think it’s just a little chatter about capturing new issue concessions:

However, one place where alpha can be generated is in the corporate bond market where big companies sell their debt. The reason is simple. When companies sell a new bond there is typically a lag between the bond being issued and when it’s included in benchmark fixed income indexes.

If the bonds perform well during that one month, then investment managers lucky enough to have purchased the debt have an immediate leg-up on the benchmark, or pure alpha.

Citigroup credit strategist Jason Shoup estimates that investors can add 20 basis points of alpha, as measured by annual excess returns, to their portfolios just by purchasing new-issue bonds. In a world of low and even negative interest rates, that is a not insignificant opportunity and it’s one that investors have been eager to take advantage of in recent years.

So my first thought is that it’s about capturing the new issue concession … the extra yield the issuers have to pay in order for investors to bother buying the issue. It is also possible that there is a duration effect – for instance, somebody investing in medium term bonds is restricted to 5-10 years maturity (maybe with some cheating) and new issues will tend to be at the top of that range. But it’s not clear!

Note that there is typically a new issue concession for Canadian preferred shares … but typically it’s the investors who pay it!

I don’t know if I can take much more of this. Yesterday a financial regulator did something useful; today, the Federal Conservatives have had a good idea:

Sorry, finding money to save for retirement remains strictly your problem. But choosing the right investments for your retirement savings would be radically simplified under the government’s proposal to allow people to voluntarily contribute additional money to the Canada Pension Plan beyond the required amounts.

Baffled by the choice of mutual funds, exchange-traded funds, closed-end funds, hedge funds, structured products, term deposits and individual stocks and bonds? Put some extra money into the CPP instead.
…
Mr. [Fred] Vettese [chief actuary at the benefits consulting firm Morneau Shepell] said voluntary extra payments would especially look good in comparison to investing in mainstream mutual funds, where the cost of ownership can run between 2 and 3 per cent. “My estimate would be that over a lifetime, the additional pension that people would be able to earn [through the voluntary CPP option] would be an extra 25 to 30 per cent on the same level of contributions.”

Yes, post-secondary education costs are going through the roof. And yes, I am highly indignant about this. But it’s an ill wind…:

Ivy League presidential pay is looking more like the big leagues.

Columbia University paid President Lee Bollinger $4.6 million in 2013, a 36 percent increase from the year before, according to a tax filing released Tuesday. Yale University recently revealed it paid former President Richard Levin a bonus of $8.5 million when he retired in 2013 after 20 years.

Presidential pay at elite universities is increasingly resembling that of corporate America, with performance bonuses and exit packages.

Another day, another slaughter, as us preferred share investors like to say! However it was, technically, a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 23bp, FixedResets down 33bp and DeemedRetractibles gaining 7bp. A lengthy Performance Highlights table is dominated by losers. Volume was quite high.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.06 to be $1.02 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.85 cheap at its bid price of 24.90.

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.M, resetting at +236 on 2019-12-19, bid at 24.26 to be $0.51 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.05 to be $0.53 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.75 to be $0.46 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 24.65 and appears to be $0.43 rich.

FTS.PR.H, with a spread of +145bp, and bid at 16.40, looks $0.76 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.77 and is $0.37 rich.

Investment-grade pairs predict an average over the next five-odd years of about 0.45%, including the TRP.PR.A / TRP.PR.F at -0.23%. On the junk side, the FFH.PR.E / FFH.PR.F pair is at -1.22%, while DC.PR.B / DC.PR.D is at -1.01.

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	-1.5762 %	2,249.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.5762 %	3,933.6
Floater	3.23 %	3.42 %	52,565	18.65	4	-1.5762 %	2,391.7
OpRet	4.45 %	-10.44 %	30,931	0.10	2	0.0198 %	2,780.2
SplitShare	4.60 %	4.72 %	65,593	3.34	3	-0.0939 %	3,241.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0198 %	2,542.2
Perpetual-Premium	5.47 %	2.92 %	62,382	0.43	18	0.0197 %	2,516.2
Perpetual-Discount	5.09 %	5.04 %	120,522	15.33	15	-0.2300 %	2,764.1
FixedReset	4.44 %	3.76 %	272,260	16.40	86	-0.3268 %	2,398.1
Deemed-Retractible	4.98 %	3.44 %	102,505	0.74	34	0.0680 %	2,623.4
FloatingReset	2.55 %	2.91 %	58,102	6.15	7	0.0243 %	2,340.0

Performance Highlights
Issue	Index	Change	Notes
ENB.PF.G	FixedReset	-2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 4.75 %
BAM.PR.K	Floater	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 3.48 %
SLF.PR.G	FixedReset	-2.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.55 Bid-YTW : 6.69 %
TRP.PR.B	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 15.72 Evaluated at bid price : 15.72 Bid-YTW : 3.76 %
BAM.PR.B	Floater	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 3.42 %
HSE.PR.A	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 16.87 Evaluated at bid price : 16.87 Bid-YTW : 4.29 %
ENB.PR.Y	FixedReset	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 18.74 Evaluated at bid price : 18.74 Bid-YTW : 4.77 %
ENB.PF.A	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 20.68 Evaluated at bid price : 20.68 Bid-YTW : 4.71 %
MFC.PR.F	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.48 Bid-YTW : 6.28 %
BAM.PR.C	Floater	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 3.44 %
ENB.PF.C	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 4.69 %
ENB.PF.E	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.71 %
MFC.PR.N	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 4.21 %
BAM.PF.D	Perpetual-Discount	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 22.55 Evaluated at bid price : 22.95 Bid-YTW : 5.40 %
TRP.PR.A	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 3.71 %
BAM.PF.G	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 23.03 Evaluated at bid price : 24.65 Bid-YTW : 4.05 %
BAM.PF.F	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 23.00 Evaluated at bid price : 24.42 Bid-YTW : 4.10 %
BAM.PR.M	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 21.85 Evaluated at bid price : 22.13 Bid-YTW : 5.44 %
TD.PF.B	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 22.88 Evaluated at bid price : 24.10 Bid-YTW : 3.48 %
BIP.PR.A	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 23.02 Evaluated at bid price : 24.61 Bid-YTW : 4.64 %
CM.PR.P	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 22.66 Evaluated at bid price : 23.70 Bid-YTW : 3.53 %
TD.PR.S	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 3.16 %
FTS.PR.G	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 21.73 Evaluated at bid price : 22.00 Bid-YTW : 3.73 %
BAM.PR.T	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 4.05 %
FTS.PR.J	Perpetual-Discount	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 23.89 Evaluated at bid price : 24.30 Bid-YTW : 4.89 %
IAG.PR.A	Deemed-Retractible	1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 5.51 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.E	FixedReset	127,870	TD crossed 50,000 at 25.05. Scotia crossed 40,000 at the same price; RBC crossed 18,000 at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 23.13 Evaluated at bid price : 25.00 Bid-YTW : 3.76 %
FTS.PR.M	FixedReset	96,330	RBC crossed 71,900 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 23.10 Evaluated at bid price : 24.71 Bid-YTW : 3.59 %
FTS.PR.G	FixedReset	91,359	RBC crossed 75,000 at 22.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 21.73 Evaluated at bid price : 22.00 Bid-YTW : 3.73 %
ENB.PR.T	FixedReset	90,999	RBC crossed 50,000 at 19.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 4.76 %
BAM.PF.F	FixedReset	85,779	TD crossed 80,000 at 24.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 23.00 Evaluated at bid price : 24.42 Bid-YTW : 4.10 %
ENB.PR.F	FixedReset	71,619	TD crossed 50,000 at 19.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 4.74 %
There were 48 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.L	FixedReset	Quote: 23.10 – 23.88 Spot Rate : 0.7800 Average : 0.5524 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 4.49 %
HSE.PR.A	FixedReset	Quote: 16.87 – 17.43 Spot Rate : 0.5600 Average : 0.3851 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 16.87 Evaluated at bid price : 16.87 Bid-YTW : 4.29 %
MFC.PR.N	FixedReset	Quote: 23.75 – 24.42 Spot Rate : 0.6700 Average : 0.5094 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 4.21 %
TD.PF.C	FixedReset	Quote: 23.86 – 24.40 Spot Rate : 0.5400 Average : 0.4025 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 22.74 Evaluated at bid price : 23.86 Bid-YTW : 3.51 %
ENB.PF.G	FixedReset	Quote: 20.73 – 21.10 Spot Rate : 0.3700 Average : 0.2331 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 4.75 %
ENB.PR.D	FixedReset	Quote: 18.65 – 19.08 Spot Rate : 0.4300 Average : 0.2941 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-26 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.72 %

Knock me down with a feather! A regulatory organization has done something useful:

Some of the country’s top financial minds think you should expect to make 6.3-per-cent a year in Canadian stocks over the long term and 3.9 per cent in bonds.

You’ll find these numbers in a new document created by a pair of financial planning organizations as a reference for planners and advisers. The investment industry works hard to maintain an aura of expertise in matters such as estimating returns, but the truth is that this process can be subject to personal biases and agendas. For example, an adviser might try to wow a new client by insisting big returns are possible.

The new Projection Assumption Guidelines (download the document here) aim to standardize and professionalize the planning process by providing the latest and best thinking on returns, inflation, interest rates and life expectancy.

“Canadians benefit from objective assumptions, and they also benefit from a standardization of assumptions across the industry – firms and planners,” said Joan Yudelson, vice-president of professional practice at the Financial Planning Standards Council, which produced the guidelines in collaboration with the Institut québécois de planification financière. Both the IQPF and the FPSC set standards for financial planners – the IQPF in Quebec, and the FPSC by overseeing the certified financial planner (CFP) designation. The IQPF has been producing the guidelines since 2009 and recently joined forces with the FPSC.

According to the actual report:

These Guidelines were set by combining assumptions from the following sources (each weighted at 20%):

• assumption used in the most recent QPP actuarial analysis, weighted as follows: 50% of the medium-term assumption (2013 to 2022) and 50% of the long-term assumption (2023 and later)
• assumption used in the most recent CPP actuarial report (2019 and later)
• result of the Towers Watson annual portfolio managers’ survey, weighted as follows:1/15 of the short-term projection, 4/15 of the medium-term projection and 10/15 of the long-term projection
• general assumption of the Aon Hewitt (formerly Aon Consulting) index
• historic returns on these asset classes over the 50 years ending the previous December 31 (adjusted for inflation according to what follows).

I don’t see the point of including historic returns to estimate future returns of bonds, but the projection of 3.9% may be achieved with a portfolio of long corporates, so I’m not going to complain too loudly.

The Globe also published a table taken from the report of the historical figures:

There was carnage on the Canadian preferred share market today, with PerpetualDiscounts down 43bp, FixedResets off 30bp and DeemedRetractibles losing 52bp. DeemedRetractibles of the insurance persuasion got hammered, ENB FixedResets were prominent losers, while the only winners on the lengthy performance highlights table were FixedResets. Volume was low.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 23.90 to be $0.84 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.85 cheap at its bid price of 24.88.

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.N, resetting at +230 on 2020-3-19, bid at 24.04 to be $0.44 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.52 to be $0.62 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.75 to be $0.53 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 24.94 and appears to be $0.51 rich.

FTS.PR.H, with a spread of +145bp, and bid at 16.32, looks $0.88 cheap and resets 2015-6-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 24.90 and is $0.59 rich.

Investment-grade pairs predict an average over the next five-odd years of about 0.35%, including the TRP.PR.A / TRP.PR.F at -0.50%. On the junk side, the FFH.PR.E / FFH.PR.F pair is at -1.14%.

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	-0.2065 %	2,285.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2065 %	3,996.6
Floater	3.18 %	3.36 %	53,225	18.81	4	-0.2065 %	2,430.0
OpRet	4.45 %	-9.80 %	32,099	0.10	2	0.0198 %	2,779.7
SplitShare	4.60 %	4.83 %	62,950	3.35	3	0.1209 %	3,244.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0198 %	2,541.7
Perpetual-Premium	5.47 %	2.92 %	62,866	0.43	18	-0.0808 %	2,515.7
Perpetual-Discount	5.08 %	5.06 %	118,470	15.35	15	-0.4274 %	2,770.5
FixedReset	4.43 %	3.77 %	271,409	16.03	86	-0.3002 %	2,406.0
Deemed-Retractible	4.97 %	3.52 %	107,451	0.82	35	-0.5184 %	2,621.6
FloatingReset	2.55 %	2.92 %	57,019	6.15	7	0.1763 %	2,339.4

Performance Highlights
Issue	Index	Change	Notes
IAG.PR.A	Deemed-Retractible	-3.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.18 Bid-YTW : 5.71 %
CIU.PR.C	FixedReset	-2.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 3.79 %
SLF.PR.B	Deemed-Retractible	-2.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.53 Bid-YTW : 5.56 %
MFC.PR.B	Deemed-Retractible	-2.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 5.78 %
SLF.PR.E	Deemed-Retractible	-2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.35 Bid-YTW : 5.93 %
SLF.PR.C	Deemed-Retractible	-2.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.17 Bid-YTW : 5.98 %
MFC.PR.C	Deemed-Retractible	-1.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 5.63 %
TRP.PR.C	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 3.85 %
MFC.PR.L	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 4.48 %
VNR.PR.A	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 23.00 Evaluated at bid price : 23.84 Bid-YTW : 4.10 %
SLF.PR.D	Deemed-Retractible	-1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.24 Bid-YTW : 5.94 %
CU.PR.G	Perpetual-Discount	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 22.29 Evaluated at bid price : 22.64 Bid-YTW : 4.97 %
ENB.PR.J	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 4.60 %
BAM.PF.C	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 22.30 Evaluated at bid price : 22.67 Bid-YTW : 5.42 %
ENB.PR.F	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 4.74 %
GWO.PR.I	Deemed-Retractible	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 5.42 %
SLF.PR.A	Deemed-Retractible	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 5.58 %
PWF.PR.S	Perpetual-Discount	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 24.09 Evaluated at bid price : 24.50 Bid-YTW : 4.92 %
ENB.PF.A	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 4.62 %
ENB.PR.B	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 4.67 %
ENB.PF.C	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 4.62 %
ENB.PF.G	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 4.61 %
BAM.PR.N	Perpetual-Discount	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 21.94 Evaluated at bid price : 22.32 Bid-YTW : 5.39 %
MFC.PR.F	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.80 Bid-YTW : 6.07 %
MFC.PR.N	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.04 Bid-YTW : 4.06 %
PWF.PR.P	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 3.67 %
RY.PR.M	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 22.85 Evaluated at bid price : 24.25 Bid-YTW : 3.72 %
MFC.PR.M	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 4.02 %
SLF.PR.G	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.98 Bid-YTW : 6.39 %
FTS.PR.H	FixedReset	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 16.32 Evaluated at bid price : 16.32 Bid-YTW : 3.85 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.D	FixedReset	453,161	Scotia crossed blocks of 245,000 and 194,100 at 18.70. Nice tickets! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 4.69 %
TRP.PR.C	FixedReset	285,118	Nesbitt crossed 275,900 at 17.43. There’s another nice ticket! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 3.85 %
ENB.PR.T	FixedReset	92,041	RBC crossed 25,000 at 19.35. Scotia crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 4.74 %
ENB.PR.P	FixedReset	64,834	Desjardins crossed 50,000 at 19.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.74 %
TRP.PR.G	FixedReset	63,103	Nesbitt crossed 60,000 at 24.94. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 23.09 Evaluated at bid price : 24.88 Bid-YTW : 3.86 %
TD.PF.E	FixedReset	41,400	TD crossed 35,000 at 25.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2020-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.06 Bid-YTW : 3.73 %
There were 23 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IAG.PR.A	Deemed-Retractible	Quote: 23.18 – 23.98 Spot Rate : 0.8000 Average : 0.4983 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.18 Bid-YTW : 5.71 %
CIU.PR.C	FixedReset	Quote: 16.35 – 17.16 Spot Rate : 0.8100 Average : 0.6043 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 3.79 %
SLF.PR.B	Deemed-Retractible	Quote: 23.53 – 23.98 Spot Rate : 0.4500 Average : 0.2720 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.53 Bid-YTW : 5.56 %
VNR.PR.A	FixedReset	Quote: 23.84 – 24.38 Spot Rate : 0.5400 Average : 0.3747 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 23.00 Evaluated at bid price : 23.84 Bid-YTW : 4.10 %
MFC.PR.B	Deemed-Retractible	Quote: 22.90 – 23.39 Spot Rate : 0.4900 Average : 0.3419 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 5.78 %
CU.PR.G	Perpetual-Discount	Quote: 22.64 – 23.00 Spot Rate : 0.3600 Average : 0.2274 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-25 Maturity Price : 22.29 Evaluated at bid price : 22.64 Bid-YTW : 4.97 %

Inflation picked up a little in the US:

The U.S. cost of living excluding what households pay for food and fuel climbed more than forecast in April, indicating inflation is gravitating toward the Federal Reserve’s goal.

The core consumer-price index rose 0.3 percent, the biggest gain since January 2013 and reflecting broad-based increases, a Labor Department report showed Friday. In the last three months, core inflation advanced an annualized 2.6 percent, the most since August 2011. Including food and fuel, the gauge was up a more moderate 0.1 percent as prices fell at grocery stores and gas stations.
…
Inflation will need to keep rising in order for Fed officials to be “reasonably confident” that progress on their price stability mandate is sufficient to allow for an increase in the benchmark interest rate. The Fed’s preferred measure of price growth, the personal consumption expenditures gauge, rose 0.3 percent in the year ended March and hasn’t met the bank’s goal since April 2012.

And Yellen sees a gradual tightening commencing this year:

Federal Reserve Chair Janet Yellen said she still expects to raise interest rates this year if the economy meets her forecasts, with a gradual pace of tightening to follow.

While the labor market is nearing full strength, “we are not there yet,” she said Friday in a speech in Providence, Rhode Island.

“If the economy continues to improve as I expect, I think it will be appropriate at some point this year to take the initial step to raise the federal funds rate,” she said.

Even after the first rate increase since 2006, “I anticipate that the pace of normalization is likely to be gradual,” Yellen, 68, said.
…
She also repeated the Fed’s two criteria for raising rates, which have been kept near zero since December 2008: “I will need to see continued improvement in labor market conditions, and I will need to be reasonably confident that inflation will move back to 2 percent over the medium term.”

Assiduous Reader prefhound sent me a wonderful link in the Economist:

So-called contingent convertible bonds, or “cocos”, turn into equity when a bank is struggling, trimming its debts and interest payments. Coco issuance has soared since 2010, as banks have sought to keep regulators happy by bolstering their ability to withstand losses. These fancy bonds have the upsides of debt in good times, but provide a cushion in a crisis.

Or so the theory goes. Cocos usually convert when regulators decree that a bank’s capital has fallen below some threshold. In the height of a crisis, that puts regulators in a bind: announcing that a bank is weak can cause panic. A conversion also imposes sudden losses on bondholders, who find themselves holding shares worth much less than the bonds that spawned them. If the bondholders are themselves in distress, those losses can reverberate around the financial system.

Jeremy Bulow of Stanford University and Paul Klemperer of Oxford University see a way to overcome these problems with a new instrument called an equity recourse note, or ERN. Like a coco, an ERN functions as debt in normal times. But the trigger for the conversion is the bank’s share price, rather than a regulatory measure of capital. When the share price falls by enough—say, to 25% of its initial value—the bank can make repayments on the bond with new shares rather than with cash.
…
This avoids several problems with cocos. There is no uncertainty about how regulators will behave. Abrupt losses are minimised: investors can see when the share price is nearing the trigger, and if it recovers, cash payments resume. Because the new shares are worth no more than the cash saved, ERN conversions should shore up a bank’s share price (by contrast, when cocos convert, enough new shares are created to push the price down).

The source paper is Equity Recourse Notes: Creating Counter-cyclical Bank Capital. I will try to give this its own dedicated post soon.

So the Dalhousie Dentistry Debacle has come to a conclusion:

“There was an immense amount of trying to find out what happened here and then the next stage was how did the facts matter, what was the impact,” said Jennifer Llewellyn, the law school professor who led the restorative justice process that began in December.

Twelve of the 13 male dentistry students in the group were involved in that process and participated in more than 150 hours each of seminars, workshops and discussions with their male and female classmates, faculty, staff and community members. The 12 have now met professionalism standards and are eligible to graduate if they complete their clinical work, the university said.
…
Friday’s report is only the first of several to come. A separate, independent task force led by University of Ottawa law professor Constance Backhouse will release its own report at the end of June.

And this crap, boys and girls, is why university education is so expensive. The best part, however, comes from an Ontario regulator:

“I have always taken the position that just because a university gives out a dental degree does not mean I have to give out a licence,” said Irwin Fefergrad, registrar of the Royal College of Dental Surgeons of Ontario.

In January, the college changed the application form required for every applicant who wants to practise in the province to include a question about whether they have ever been the subject of an inquiry or investigation by a university. If the answer is yes, the College will collect information on that inquiry before issuing a licence, Mr. Fefergrad said.

So the useless parasite will trust a University to grant a dental degree, but not to come to acceptable conclusions following an inquiry or investigation; he intends to gather information and, presumably, weigh it carefully. Nice work if you can get it! Particularly since anybody who wants to be a dentist in Ontario had damn well better be very polite to wise Mr. Fefergrad.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 1bp, FixedResets off 2bp and DeemedRetractibles down 4bp. Volatility was higher than one might expect, given the calm overall figures, with ENB FixedResets prominent on the downside. Volume was average.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.03 to be $0.87 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.82 cheap at its bid price of 24.98.

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.N, resetting at +230 on 2020-3-19, bid at 24.30 to be $0.63 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.10 to be $0.54 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.77 to be $0.51 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 24.96 and appears to be $0.53 rich.

FTS.PR.H, with a spread of +145bp, and bid at 16.07, looks $1.13 cheap and resets 2015-6-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 25.00 and is $0.69 rich.

Investment-grade pairs predict an average over the next five-odd years of about 0.30%, including the TRP.PR.A / TRP.PR.F at -0.55%. On the junk side, the FFH.PR.E / FFH.PR.F pair is at -1.18%.

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	0.3028 %	2,290.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.3028 %	4,004.9
Floater	3.17 %	3.33 %	53,861	18.87	4	0.3028 %	2,435.0
OpRet	4.45 %	-8.74 %	33,209	0.11	2	0.0792 %	2,779.1
SplitShare	4.60 %	4.77 %	63,567	3.35	3	-0.0269 %	3,240.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0792 %	2,541.2
Perpetual-Premium	5.46 %	2.54 %	63,683	0.08	18	0.0349 %	2,517.8
Perpetual-Discount	5.06 %	5.06 %	117,647	15.37	15	0.0112 %	2,782.3
FixedReset	4.41 %	3.80 %	271,221	16.02	86	-0.0239 %	2,413.3
Deemed-Retractible	4.94 %	3.49 %	107,955	0.83	35	-0.0389 %	2,635.3
FloatingReset	2.56 %	2.92 %	57,844	6.16	7	0.0852 %	2,335.3

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.M	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.97 Bid-YTW : 4.18 %
BAM.PR.X	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.30 %
ENB.PR.D	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 4.73 %
ENB.PR.P	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.74 %
SLF.PR.A	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 5.40 %
TRP.PR.C	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 3.84 %
RY.PR.M	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 22.75 Evaluated at bid price : 24.00 Bid-YTW : 3.80 %
ENB.PR.Y	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.68 %
MFC.PR.F	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.01 Bid-YTW : 5.97 %
FTS.PR.G	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 21.42 Evaluated at bid price : 21.75 Bid-YTW : 3.81 %
TRP.PR.B	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.76 %
SLF.PR.G	FixedReset	2.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.00 Bid-YTW : 6.52 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.T	FixedReset	128,880	Desjardins crossed blocks of 50,000 and 11,000, both at 24.72. Nesbitt crossed 40,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 23.09 Evaluated at bid price : 24.62 Bid-YTW : 3.39 %
TD.PF.B	FixedReset	104,491	TD crossed blocks of 24,700 and 25,000 at 24.50. Desjardins crossed blocks of 21,700 and 10,500 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 23.03 Evaluated at bid price : 24.45 Bid-YTW : 3.45 %
IFC.PR.C	FixedReset	57,304	Nesbitt crossed 50,000 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 : 4.03 %
TD.PF.D	FixedReset	57,258	TD crossed 50,000 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 23.09 Evaluated at bid price : 24.84 Bid-YTW : 3.76 %
CM.PR.Q	FixedReset	52,190	Scotia crossed 25,000 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 23.15 Evaluated at bid price : 25.00 Bid-YTW : 3.73 %
ENB.PR.N	FixedReset	51,912	Scotia crossed 40,000 at 20.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 4.73 %
There were 32 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.M	FixedReset	Quote: 23.97 – 24.60 Spot Rate : 0.6300 Average : 0.4011 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.97 Bid-YTW : 4.18 %
RY.PR.M	FixedReset	Quote: 24.00 – 24.70 Spot Rate : 0.7000 Average : 0.5309 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 22.75 Evaluated at bid price : 24.00 Bid-YTW : 3.80 %
BAM.PF.D	Perpetual-Discount	Quote: 23.28 – 23.65 Spot Rate : 0.3700 Average : 0.2162 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 22.97 Evaluated at bid price : 23.28 Bid-YTW : 5.33 %
ENB.PR.P	FixedReset	Quote: 19.45 – 19.74 Spot Rate : 0.2900 Average : 0.1751 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.74 %
BAM.PR.X	FixedReset	Quote: 18.20 – 18.53 Spot Rate : 0.3300 Average : 0.2252 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.30 %
CU.PR.D	Perpetual-Discount	Quote: 24.92 – 25.33 Spot Rate : 0.4100 Average : 0.3475 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-22 Maturity Price : 24.45 Evaluated at bid price : 24.92 Bid-YTW : 4.91 %

So what’s the worst kind of person to have at the top of an important government agency? A micro-manager who is unfamiliar with the substance of the work:

Expectations were high for [Mary Jo] White, who came to the [Chair of the SEC] job with a reputation as a tough prosecutor. As U.S. Attorney for the Southern District of New York, she took on terrorists and mobsters. Later she became a highly sought-after defense attorney, representing banks and other defendants in government probes. In announcing her nomination in January 2013, President Obama warned the financial industry: “You don’t want to mess with Mary Jo.”

That reputation has been dented at the SEC. The pace of rulemaking has been so slow that some staff have labeled White’s office the cheese cellar: It’s where policy goes to age. The nickname has stuck as proposals and reports have piled up in her office, waiting for her careful, often line-by-line consideration. White’s circumspection has slowed the progress of high-profile rules governing executive pay, broker obligations, and swaps, the financial products that helped fuel the financial crisis.

White had never held a position for which she had to develop complex financial policy. That lack of experience, plus difficulty in developing a consensus on nettlesome issues, has contributed to the agency’s troubles, say critics inside and outside the agency. “You take a commission that faces the most challenging regulatory agenda since its creation and you appoint a nonpolicy person as chair,” says Barbara Roper, director of investor protection for the Consumer Federation of America. The SEC under White “has been as unproductive as I thought it would be.”

My favourite journalist, Matt Levine, takes a good look at the touted FX so-called rigging settlement:

Then there are three bullet points describing other naughtiness that does not rise to the level of antitrust conspiracy. Those bullet points begin:

“We added markup to price quotes using hand signals and/or other internal arrangements or communications.”

“We have, without informing clients, worked limit orders at levels (i.e., prices) better than the limit order price so that we would earn a spread or markup in connection with our execution of such orders.”

“We made decisions not to fill clients’ limit orders at all, or to fill them only in part, in order to profit from a spread or markup in connection with our execution of such orders.”

You might read these sentences as admissions of guilt, or disclosures of crimes, or even apologies. In context — in the context of a disclosure notice sent to clients as part of the bank’s probation for a felony conviction, one paragraph after the apology for the massive antitrust conspiracy — that’s kind of what they look like. And in the banks’ plea agreements, the practices described in those bullet points are listed as “other relevant conduct” for the criminal conspiracy. So I read the bullet points as confessions yesterday, and was puzzled because, while they seem like sharp practices, they don’t quite seem like crimes.

But those bullet points are actually introduced by the phrase, “The Firm has engaged in other practices on occasion, including:.” These are not crimes, just “practices.” And the disclosure notice just describes them. It stops after the bullet points. It never says “and those practices were wrong.” Or “and we’re sorry we did those things.” Or even: “and we’ll stop doing them.”

Because they won’t! Here’s another letter that JPMorgan is sending to its clients along with the disclosure notice.2 This one is not a condition of its probation. Here’s how it starts:

The purpose of this letter is to clarify the nature of the trading relationship between you and the Corporate & Investment Bank at JPMorgan Chase & Co. and its affiliates (together, “JPMorgan” or the “Firm”) and to disclose relevant practices of JPMorgan when acting as a dealer, on a principal basis, in the wholesale spot foreign exchange (“FX”) markets. We want to ensure that there are no ambiguities or misunderstandings regarding those practices.

So: That does not sound like an apology. That sounds downright feisty. The disclosure notice, which JPMorgan has to send, starts with an apology and then goes on to list some things that JPMorgan did in the past. The client letter, which JPMorgan wants to send, starts with a defiant “no ambiguities or misunderstandings” and then goes on to list some things that JPMorgan will keep doing in the future.

So guess what? JPMorgan acts a principal on FX transactions, to the bewildered astonishment of pseudo-portfolio managers and ignorant regulatory lawyers. And they intend to continue acting as principal! How about that, eh? And their job as principal is to make money for their firm, not yours! Isn’t that astonishing? Golly, it sure is different from kindergarten, where teacher told us to work together.

Levine adds a good point, which has me weeping that it is considered necessary to emphasize:

Of course salespeople and traders talk to each other! The salesperson’s job is to help the trader understand how to price a trade for a particular client. If the salesperson thinks it’s in the bank’s interest to add a markup — that is, if the salesperson thinks that the client is not particularly price-sensitive and will not trade away if the price is too high — then the salesperson’s job is to inform the trader.

The regulatory weenies get a much more sympathetic hearing in another article:

The manipulation didn’t stop at putting in low fixes, the traders quoted by the FCA also were attempting to trigger client stops for their own ends.

In the example the FCA gives, a client had placed to stop loss order to buy GBP77 million at the rate of 95 against another currency. The Barclays trader attempts to get the currency to trade at 97 so he could sell the full GBP77 million to the client at 96.5. Barclays would profit from this stop loss order if the average rate they bought GBP in the market was lower than this stop stop loss order.

Good for the Barclays guys! As principals, they had absolutely zero duty to their counterparty, who was a complete moron for placing a stop order in the first place. Let’s just hope that the twerp who placed that order has gone bankrupt and is now spending his days naked and hungry in a London alleyway.

It may be that the US 10-Year Break Even Inflation Rate has found a new level:

Demand at Thursday’s $13 billion auction of U.S. Treasury Inflation-Protected Securities, or TIPS, declined from the previous sale in March. The offering attracted the lowest demand since September 2014, when oil prices were collapsing, bringing down a key measure of bond-market inflation forecasts along with them.

“We’re just simply not too wrought up about inflation expectations at the moment,” said Jim Vogel, interest-rate strategist with FTN Financial in Memphis, Tennessee.

The U.S. 10-year break-even rate, a gauge of the inflation outlook derived from the yield difference between Treasuries and index-linked securities, was at 1.87 percentage points, up from a low this year of 1.53 percent on Jan. 13. That made TIPS less attractive on Thursday.

The CPPIB has reported annual returns to March 31, 2015:

CPPIB measures its performance against a market-based benchmark, the Reference Portfolio, representing a passive portfolio of public market investments that can reasonably be expected to generate the long-term returns needed to help sustain the CPP at the current contribution rate.

In fiscal 2015, the CPP Fund’s gross return of 18.7% outperformed the Reference Portfolio delivering $3.6 billion in gross dollar value-added (DVA) above the Reference Portfolio’s return, after external management fees and transaction costs. Net of all CPPIB costs, the investment portfolio exceeded the benchmark’s return by 1.3%, producing $2.8 billion in net DVA.

“Dollar value-added is an important measure as it shows the difference between active investments made relative to their benchmarks in dollar terms. We will maintain a greater focus on total Fund – absolute as well as relative – returns, by continuing to develop and apply our capabilities more widely to portfolio management,” said Mr. Wiseman. “Our attention to both measures helps maximize returns, CPPIB’s objective, in the best interests of current and future beneficiaries, since the source of pension benefits is the total Fund. To reduce volatility, DVA is particularly valuable when it is generated as loss reduction in negative market conditions. Both total returns and DVA can vary widely from year-to-year depending on market conditions. Accordingly, both measures must be looked at over longer periods of at least one market cycle, such as five years or more.”

Given our long-term view and risk-return accountability framework, we track cumulative value-added returns since the April 1, 2006, inception of the Reference Portfolio. Cumulative value-added over the past nine years totals $5.8 billion, after all costs.

They also talked a lot about nominal and real returns, which I think is a mistake – they’re just setting themselves up for criticism in a bad year. I confess I am a little troubled by the asset mix:

18.7% private equity! That’s a lot! And I continue to be convinced that at some point we’re going to see a big wave of scandals resulting from too many people playing too many games for too long with private equity valuations…

And it’s about time for me to complain again about pricing trends in education:

The college building boom is coming to New York City’s elite private schools.

With interest rates poised to rise, the Ivy League stepping stones are selling tax-exempt debt at the fastest pace in over a decade to keep their edge. Riverdale Country School in the Bronx, Saint Ann’s School in Brooklyn and La Scuola d’Italia Guglielmo Marconi near Central Park plan to sell almost $150 million of bonds to pay for projects, including a new six-lane pool and musical ensemble rooms.

The borrowing reflects the competitive pressure to replace decades-old buildings and dangle the latest amenities to draw the children of New York’s wealthiest. Tuition runs as high as $45,600 a year, in a city where half the households earn less than $52,000.
…
To lure students, U.S. universities have borrowed more than $250 billion in the municipal market over the past decade for labs, dormitories and gyms with features like rock-climbing walls. For public colleges, it’s a way to attract higher-paying out-of-state students. For private ones, to best the competition.

The approach has caught on in New York, where some 234,000 pupils, almost one-fifth of the total, attend private schools.
…
The New York schools are borrowing through Build NYC Resource Corp., a city agency that allows non-profits to raise money in the municipal-bond market. The schools repay investors, who are willing to accept lower interest rates because the income isn’t taxed. Build NYC receives fees for arranging the sales. It isn’t on the hook if they default.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 22bp, FixedResets off 16bp and DeemedRetractibles gaining 4bp. Enbridge FixedResets dominated the “return challenged” section of the Performance Highlights table. Volume was below average.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 23.90 to be $0.84 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.66 cheap at its bid price of 24.98.

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.M, resetting at +236 on 2019-12-19, bid at 24.55 to be $0.62 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.10 to be $0.61 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.76 to be $0.61 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 25.00 and appears to be $0.55 rich.

FTS.PR.H, with a spread of +145bp, and bid at 15.92, looks $1.14 cheap and resets 2015-6-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 24.80 and is $0.63 rich.

Investment-grade pairs predict an average over the next five-odd years of about 0.30%, including the TRP.PR.A / TRP.PR.F at -0.45%. On the junk side, the FFH.PR.E / FFH.PR.F pair is at -1.24%, while DC.PR.B / DC.PR.D has leapt upwards to +1.26%. It’s a far cry from, for instance, March 30 when the latter pair had a break-even rate of -2.87% … since then, the price spread has narrowed from $4.00 to $0.28, while the total returns are -11.68% and +3.81%, respectively.

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	-1.3675 %	2,283.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.3675 %	3,992.8
Floater	3.18 %	3.35 %	54,243	18.84	4	-1.3675 %	2,427.6
OpRet	4.45 %	-7.20 %	32,945	0.11	2	-0.2172 %	2,776.9
SplitShare	4.60 %	4.70 %	61,797	3.36	3	0.2019 %	3,241.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2172 %	2,539.2
Perpetual-Premium	5.47 %	2.93 %	63,815	0.08	18	0.0022 %	2,516.9
Perpetual-Discount	5.06 %	5.07 %	118,712	15.35	15	0.2184 %	2,782.0
FixedReset	4.41 %	3.80 %	271,530	16.08	86	-0.1570 %	2,413.8
Deemed-Retractible	4.93 %	3.52 %	109,143	0.83	35	0.0355 %	2,636.3
FloatingReset	2.57 %	2.92 %	58,733	6.16	7	-0.0304 %	2,333.3

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.C	Floater	-1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 3.38 %
BAM.PR.B	Floater	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 15.04 Evaluated at bid price : 15.04 Bid-YTW : 3.35 %
RY.PR.M	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 22.85 Evaluated at bid price : 24.25 Bid-YTW : 3.74 %
BAM.PR.K	Floater	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 3.40 %
ENB.PR.B	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.67 %
ENB.PF.C	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 4.59 %
ENB.PF.E	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 21.32 Evaluated at bid price : 21.32 Bid-YTW : 4.62 %
ENB.PF.A	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 4.59 %
GWO.PR.N	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.03 Bid-YTW : 6.52 %
ENB.PR.D	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 4.65 %
TRP.PR.B	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 3.83 %
ENB.PR.H	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 18.34 Evaluated at bid price : 18.34 Bid-YTW : 4.58 %
ENB.PR.J	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 4.52 %
ENB.PR.Y	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.63 %
ENB.PF.G	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 21.45 Evaluated at bid price : 21.75 Bid-YTW : 4.53 %
PWF.PR.S	Perpetual-Discount	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 24.38 Evaluated at bid price : 24.80 Bid-YTW : 4.86 %
BMO.PR.T	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 23.10 Evaluated at bid price : 24.65 Bid-YTW : 3.38 %
FTS.PR.K	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 21.32 Evaluated at bid price : 21.61 Bid-YTW : 3.80 %
CIU.PR.C	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 3.77 %
TRP.PR.C	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 3.79 %
TRP.PR.D	FixedReset	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 22.57 Evaluated at bid price : 23.41 Bid-YTW : 3.78 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.Y	FixedReset	103,869	TD crossed blocks of 49,200 and 49,900, both at 23.43. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 3.00 %
HSE.PR.A	FixedReset	75,913	RBC crossed 71,700 at 17.28. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 4.26 %
FTS.PR.M	FixedReset	70,980	RBC crossed 55,000 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 23.13 Evaluated at bid price : 24.80 Bid-YTW : 3.60 %
RY.PR.K	FloatingReset	59,900	TD crossed 50,000 at 24.25. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.32 Bid-YTW : 2.94 %
TRP.PR.A	FixedReset	53,133	Scotia crossed blocks of 18,000 and 20,000, both at 21.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 3.72 %
IFC.PR.C	FixedReset	48,858	Nesbitt crossed 40,000 at 24.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 4.00 %
There were 24 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
RY.PR.M	FixedReset	Quote: 24.25 – 24.82 Spot Rate : 0.5700 Average : 0.3455 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 22.85 Evaluated at bid price : 24.25 Bid-YTW : 3.74 %
RY.PR.K	FloatingReset	Quote: 24.32 – 24.98 Spot Rate : 0.6600 Average : 0.4455 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.32 Bid-YTW : 2.94 %
FTS.PR.H	FixedReset	Quote: 15.92 – 16.49 Spot Rate : 0.5700 Average : 0.4132 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 15.92 Evaluated at bid price : 15.92 Bid-YTW : 4.01 %
HSE.PR.E	FixedReset	Quote: 25.47 – 25.79 Spot Rate : 0.3200 Average : 0.2137 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.47 Bid-YTW : 4.29 %
ELF.PR.H	Perpetual-Premium	Quote: 25.22 – 25.54 Spot Rate : 0.3200 Average : 0.2245 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 24.74 Evaluated at bid price : 25.22 Bid-YTW : 5.50 %
HSE.PR.A	FixedReset	Quote: 17.21 – 17.51 Spot Rate : 0.3000 Average : 0.2112 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-21 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 4.26 %

Six banks have agreed to pay extra taxes as a regulatory extortion payment:

Six of the world’s biggest banks will pay $5.8 billion and five of them agreed to plead guilty to charges tied to a currency-rigging probe as they seek to wind down almost half a decade of enforcement actions.

Citicorp, JPMorgan Chase & Co., Barclays Plc and Royal Bank of Scotland Plc agreed to plead guilty to conspiring to manipulate the price of U.S. dollars and euros in settlements with the Justice Department announced in Washington Wednesday. The main banking unit of UBS Group AG agreed to plead guilty to charges related to interest-rate manipulation. The Swiss bank, the first to cooperate with antitrust investigators, was granted immunity in the currency probe.

The four banks that agreed to plead guilty to currency charges are among the world’s biggest foreign-exchange traders. They were accused of colluding to influence benchmark rates by aligning positions and pushing transactions through at the same time. Traders who described themselves as members of “The Cartel” used online chat rooms to discuss their positions in the minutes before the rates were set, the Justice Department said.

As discussed on June 12, 2013, I don’t understand the fuss about this. The dealers were simply positioning themselves to meet the forward obligations they had incurred in writing the clients a very short-term forward contract. Big deal. The only people who could possibly be hurt by any amount of manipulation of the fix are moronic portfolio managers who seek to “avoid risk” by entering a Market-On-Close order and the idiots who hire them. No sympathy here!

Cloud computing is getting some serious attention:

It sounds like the mother of all spreadsheets: 1 million rows, 1 million columns — 1 trillion entries in all.

Fortunately, Braxton McKee isn’t using Excel. Instead, he’s tapping into the cloud to crunch all that market data on the cheap with software he built that learns as it goes.

The cost of that cosmic power: $10.
…
Five years ago, the sort of programming involved in McKee’s 1-trillion-point dense matrix would have taken months of coding and $1 million-plus of hardware. Now McKee simply logs onto Amazon Web Services to name his price for computing capacity and sets his code loose. Out of a loft in the Flatiron District in Manhattan, he works on what he calls “coffee time.” His goal is to make every model — no matter how much data are involved – – compute in the time it takes him to putter to his office kitchen, brew a Nespresso Caramelito, and walk back to his desk.

There’s a slim chance that the banks’ hegemony on Canadian finance will be eroded:

Earlier in May, reports came out that stock-market operator Chi-X Global Holdings, which operates a trading venue in Canada, is exploring a sale. At the time, numerous prospective bidders were mentioned, so it’s hard to tell who would eventually win any auction, but the mere mention of Nasdaq as a potential suitor is catching Canadians’ attention.

To be clear, Nasdaq would acquire Chi-X globally, so this wouldn’t be a Canada-only deal. But the acquisition would have particularly serious implications here. Chi-X’s Canadian trading platforms have roughly a 17-per-cent market share – the official figure pegs that share closer to 20 per cent, but this volume is arguably inflated – and its venues are widely viewed as being competitive with the much bigger TMX.

What Chi-X lacks, though, is a listing business. That’s something TMX still has a near monopoly on, although Aequitas is trying to erode it. Not only does Aequitas offer a trading platform, it also features a new listing option for Canadian companies. Still, pretty much everyone agrees that building this business will take time.

It would be nice to see a big global outfit come in to undo some of the damage done by the unholy Canadian regulatory alliance, as discussed on July 4, 2012.

It would be very cool to have my 4am pizza delivered by quadropter. It would be even cooler, not to mention faster, to have it delivered by a ten engine tiltrotor:

Imagine a battery-powered plane that has 10 engines and can take off like a helicopter and fly efficiently like an aircraft. That is a concept being developed by NASA researchers called Greased Lightning or GL-10.

The team, at NASA’s Langley Research Center in Hampton, Virginia, is looking at the idea initially as a potential unmanned aerial vehicle (UAV). “We have a couple of options that this concept could be good for,” said Bill Fredericks, aerospace engineer. “It could be used for small package delivery or vertical take off and landing, long endurance surveillance for agriculture, mapping and other applications. A scaled up version — much larger than what we are testing now — would make also a great one to four person size personal air vehicle.””
…
During a recent spring day the engineers took the GL-10 to test its wings at a military base about two hours away from NASA Langley. The remotely piloted plane has a 10-foot wingspan (3.05 meters), eight electric motors on the wings, two electric motors on the tail and weighs a maximum of 62 pounds (28.1 kilograms) at take off.

It had already passed hover tests — flying like a helicopter — with flying colors. But now was the big hurdle — the transition from vertical to forward “wing-borne” flight. As engineers who have designed full-scale vertical take off and landing tiltrotors such as the V-22 Osprey will tell you — that is no easy task because of the challenging flight aerodynamics.

“During the flight tests we successfully transitioned from hover to wing-borne flight like a conventional airplane then back to hover again. So far we have done this on five flights,” said Fredericks. “We were ecstatic. Now we’re working on our second goal — to demonstrate that this concept is four times more aerodynamically efficient in cruise than a helicopter.”

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 10bp, FixedResets down 16bp and DeemedRetractibles gaining 6bp. The performance highlights table is long compared to the overall move, with ENB FixedResets prominent on the bad side. Volume was below average.

PerpetualDiscounts now yield 5.07%, equivalent to 6.59% 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”) is now about 265bp, a widening from the 255bp reported May 14.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.00 to be $0.98 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.72 cheap at its bid price of 24.97.

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.M, resetting at +236 on 2019-12-19, bid at 24.55 to be $0.59 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.10 to be $0.63 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.77 to be $0.56 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 24.95 and appears to be $0.54 rich.

FTS.PR.H, with a spread of +145bp, and bid at 16.05, looks $0.96 cheap and resets 2015-6-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 24.75 and is $0.77 rich.

Investment-grade pairs predict an average over the next five-odd years of about 0.30%, including the TRP.PR.A / TRP.PR.F at -0.50% and the BNS.PR.Y / BNS.PR.D pair at +0.63%. On the junk side, the FFH.PR.E / FFH.PR.F pair is at -1.21%, while BRF.PR.A / BRF.PR.B is at -1.17%.

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	0.0472 %	2,315.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0472 %	4,048.2
Floater	3.14 %	3.28 %	54,296	19.00	4	0.0472 %	2,461.3
OpRet	4.44 %	-10.60 %	34,303	0.12	2	0.3170 %	2,782.9
SplitShare	4.61 %	4.72 %	61,950	3.36	3	-0.7746 %	3,234.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3170 %	2,544.7
Perpetual-Premium	5.47 %	2.17 %	65,273	0.08	18	0.0131 %	2,516.8
Perpetual-Discount	5.07 %	5.07 %	119,643	15.35	15	-0.0951 %	2,776.0
FixedReset	4.40 %	3.82 %	263,785	16.16	86	-0.1628 %	2,417.6
Deemed-Retractible	4.94 %	3.51 %	112,721	0.92	35	0.0562 %	2,635.4
FloatingReset	2.56 %	2.92 %	61,156	6.17	7	0.0974 %	2,334.0

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.D	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 22.36 Evaluated at bid price : 23.03 Bid-YTW : 3.86 %
SLF.PR.G	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.63 Bid-YTW : 6.78 %
BAM.PR.X	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 18.44 Evaluated at bid price : 18.44 Bid-YTW : 4.24 %
ENB.PF.C	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 21.33 Evaluated at bid price : 21.62 Bid-YTW : 4.50 %
FTS.PR.K	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 3.89 %
ENB.PF.A	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 21.35 Evaluated at bid price : 21.65 Bid-YTW : 4.50 %
FTS.PR.G	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 3.91 %
ENB.PF.E	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 21.35 Evaluated at bid price : 21.63 Bid-YTW : 4.53 %
ENB.PR.N	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 20.34 Evaluated at bid price : 20.34 Bid-YTW : 4.67 %
ENB.PR.T	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 19.73 Evaluated at bid price : 19.73 Bid-YTW : 4.68 %
ENB.PR.D	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 19.32 Evaluated at bid price : 19.32 Bid-YTW : 4.60 %
TRP.PR.A	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 3.71 %
MFC.PR.L	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.36 Bid-YTW : 4.36 %
PWF.PR.P	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 3.66 %
PWF.PR.A	Floater	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 2.78 %
MFC.PR.M	FixedReset	2.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 3.88 %
TD.PF.B	FixedReset	2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 22.99 Evaluated at bid price : 24.37 Bid-YTW : 3.46 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.Q	FixedReset	222,139	Desjardins crossed 15,100 at 25.00; RBC crossed blocks of 50,000 shares, 49,700 and 49,400 at the same price. Raymond James bought 13,200 from TD at 25.08. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 23.15 Evaluated at bid price : 25.01 Bid-YTW : 3.73 %
ENB.PR.D	FixedReset	79,741	Nesbitt crossed 70,000 at 19.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 19.32 Evaluated at bid price : 19.32 Bid-YTW : 4.60 %
BNS.PR.Y	FixedReset	56,300	TD crossed 50,000 at 23.28. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 3.07 %
RY.PR.H	FixedReset	53,150	RBC crossed 50,000 at 24.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 22.99 Evaluated at bid price : 24.38 Bid-YTW : 3.45 %
HSE.PR.A	FixedReset	50,090	TD crossed 25,000 at 17.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 4.27 %
BNS.PR.N	Deemed-Retractible	42,363	TD crossed 39,600 at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-19 Maturity Price : 25.50 Evaluated at bid price : 25.65 Bid-YTW : 1.41 %
There were 24 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.D	FixedReset	Quote: 23.03 – 23.49 Spot Rate : 0.4600 Average : 0.2916 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-20 Maturity Price : 22.36 Evaluated at bid price : 23.03 Bid-YTW : 3.86 %
MFC.PR.F	FixedReset	Quote: 18.92 – 19.35 Spot Rate : 0.4300 Average : 0.3048 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.92 Bid-YTW : 6.02 %
MFC.PR.K	FixedReset	Quote: 23.50 – 23.81 Spot Rate : 0.3100 Average : 0.1953 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 4.23 %
SLF.PR.B	Deemed-Retractible	Quote: 24.39 – 24.70 Spot Rate : 0.3100 Average : 0.2052 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.39 Bid-YTW : 5.24 %
POW.PR.G	Perpetual-Premium	Quote: 26.07 – 26.38 Spot Rate : 0.3100 Average : 0.2103 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 26.07 Bid-YTW : 4.89 %
PWF.PR.R	Perpetual-Premium	Quote: 25.99 – 26.35 Spot Rate : 0.3600 Average : 0.2668 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.99 Bid-YTW : 4.81 %

Nothing happened today.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 11bp, FixedResets gaining 6bp and DeemedRetractibles down 35bp. The Performance Highlights table is lengthy relative to the overall move. Volume was well above average.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.13 to be $1.03 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.89 cheap at its bid price of 24.95.

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.N, resetting at +230 on 2020-3-19, bid at 24.35 to be $0.71 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.06 to be $0.60 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.66 to be $0.74 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 25.00 and appears to be $0.54 rich.

FTS.PR.H, with a spread of +145bp, and bid at 16.05, looks $1.16 cheap and resets 2015-6-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 24.88 and is $0.69 rich.

Investment-grade pairs predict an average over the next five-odd years of about 0.30%, including the TRP.PR.A / TRP.PR.F at -0.29% and the BNS.PR.Y / BNS.PR.D pair at +0.62%. On the junk side, the FFH.PR.E / FFH.PR.F pair is at -1.03%, while BRF.PR.A / BRF.PR.B is at -0.82%.

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	-0.6717 %	2,314.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.6717 %	4,046.3
Floater	3.14 %	3.25 %	53,291	19.07	4	-0.6717 %	2,460.1
OpRet	4.46 %	-5.25 %	35,607	0.12	2	0.0000 %	2,774.2
SplitShare	4.57 %	4.32 %	60,943	3.36	3	0.0668 %	3,259.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,536.7
Perpetual-Premium	5.47 %	2.98 %	63,967	0.08	18	-0.1614 %	2,516.5
Perpetual-Discount	5.07 %	5.08 %	120,725	15.34	15	-0.1118 %	2,778.6
FixedReset	4.40 %	3.80 %	267,619	16.27	86	0.0584 %	2,421.6
Deemed-Retractible	4.94 %	3.50 %	111,884	0.84	35	-0.3529 %	2,633.9
FloatingReset	2.57 %	2.96 %	62,001	6.17	7	-0.0608 %	2,331.7

Performance Highlights
Issue	Index	Change	Notes
TD.PF.B	FixedReset	-3.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 22.70 Evaluated at bid price : 23.70 Bid-YTW : 3.59 %
MFC.PR.B	Deemed-Retractible	-3.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 5.56 %
SLF.PR.B	Deemed-Retractible	-1.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.38 Bid-YTW : 5.25 %
PWF.PR.S	Perpetual-Discount	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.96 Evaluated at bid price : 24.36 Bid-YTW : 4.95 %
MFC.PR.C	Deemed-Retractible	-1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.17 Bid-YTW : 5.46 %
BAM.PR.K	Floater	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 15.14 Evaluated at bid price : 15.14 Bid-YTW : 3.32 %
TRP.PR.C	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 3.89 %
BAM.PR.R	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 4.23 %
SLF.PR.A	Deemed-Retractible	-1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.14 Bid-YTW : 5.32 %
FTS.PR.K	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 21.33 Evaluated at bid price : 21.63 Bid-YTW : 3.80 %
HSE.PR.A	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 17.14 Evaluated at bid price : 17.14 Bid-YTW : 4.28 %
PWF.PR.A	Floater	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 2.83 %
ENB.PR.B	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 4.58 %
PWF.PR.T	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.41 Evaluated at bid price : 25.40 Bid-YTW : 3.42 %
BAM.PR.X	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 4.16 %
MFC.PR.F	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.05 Bid-YTW : 5.93 %
MFC.PR.N	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 3.91 %
SLF.PR.G	FixedReset	2.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 6.51 %

Volume Highlights
Issue	Index	Shares Traded	Notes
FTS.PR.M	FixedReset	148,540	Desjardins crossed blocks of 75,000 and 42,200, both at 25.07. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.16 Evaluated at bid price : 24.88 Bid-YTW : 3.58 %
PWF.PR.P	FixedReset	77,150	Scotia crossed blocks of 40,000 and 33,000, both at 19.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 3.71 %
TRP.PR.B	FixedReset	58,923	RBC crossed 36,200 at 16.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 15.77 Evaluated at bid price : 15.77 Bid-YTW : 3.81 %
TD.PF.D	FixedReset	57,079	RBC crossed 48,800 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.09 Evaluated at bid price : 24.84 Bid-YTW : 3.76 %
TD.PR.Y	FixedReset	56,600	TD crossed 39,900 at 25.35 and 16,000 at 25.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 3.06 %
CU.PR.C	FixedReset	56,122	RBC crossed 50,000 at 24.68. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.40 Evaluated at bid price : 24.55 Bid-YTW : 3.52 %
There were 42 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.B	FixedReset	Quote: 23.70 – 24.75 Spot Rate : 1.0500 Average : 0.6051 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 22.70 Evaluated at bid price : 23.70 Bid-YTW : 3.59 %
PWF.PR.S	Perpetual-Discount	Quote: 24.36 – 24.90 Spot Rate : 0.5400 Average : 0.3425 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.96 Evaluated at bid price : 24.36 Bid-YTW : 4.95 %
CIU.PR.C	FixedReset	Quote: 16.47 – 17.20 Spot Rate : 0.7300 Average : 0.5332 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 16.47 Evaluated at bid price : 16.47 Bid-YTW : 3.82 %
MFC.PR.L	FixedReset	Quote: 23.10 – 23.85 Spot Rate : 0.7500 Average : 0.5550 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 4.50 %
MFC.PR.B	Deemed-Retractible	Quote: 23.27 – 23.68 Spot Rate : 0.4100 Average : 0.2435 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 5.56 %
GWO.PR.I	Deemed-Retractible	Quote: 23.72 – 24.15 Spot Rate : 0.4300 Average : 0.3077 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.72 Bid-YTW : 5.29 %

FFN.PR.A was confirmed at Pfd-4(high) by DBRS:

DBRS Limited (DBRS) has today confirmed the rating of the Preferred Shares issued by North American Financial 15 Split Corp. (the Company) at Pfd-4 (high).

In October 2004, the Company issued 6.4 million Preferred Shares (at $10 each) and an equal number of Class A Shares (at $15 each). Although these shares were offered separately, together they form a Unit. The redemption date was originally December 1, 2014, but shareholders have approved an extension of the redemption date for both classes of shares to December 1, 2019.
…
Since the last rating confirmation in May 2014, the NAV of the Company has been generally stable, with downside protection fluctuating from 37% to 41% over the past year. The Preferred Share dividend coverage ratio is below 1.0 times and the monthly Class A Share distribution is expected to result in an average grind on the portfolio of 5.3% annually for the remaining term until maturity. As a result, the rating of the Preferred Shares has been confirmed at Pfd-4 (high).

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts down 19bp, FixedResets losing 20bp and DeemedRetractibles off 3bp. The Performance Highlights table is of more-or-less average length, dominated by FixedReset losers. Volume was low.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.05 to be $0.91 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.80 cheap at its bid price of 25.00.

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.N, resetting at +230 on 2020-3-19, bid at 23.92 to be $0.38 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.00 to be $0.55 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.61 to be $0.81 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 24.87 and appears to be $0.48 rich.

FTS.PR.H, with a spread of +145bp, and bid at 16.10, looks $1.01 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.91 and is $0.61 rich.

Investment-grade pairs predict an average over the next five-odd years of about 0.30%, including the TRP.PR.A / TRP.PR.F at -0.29% and the BNS.PR.Y / BNS.PR.D pair at +0.71. On the junk side, the FFH.PR.E / FFH.PR.F pair is at -0.99%, while BRF.PR.A / BRF.PR.B is at -0.81%.

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	1.0576 %	2,329.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.0576 %	4,073.6
Floater	3.12 %	3.25 %	53,558	19.07	4	1.0576 %	2,476.8
OpRet	4.46 %	-4.81 %	37,076	0.13	2	-0.0271 %	2,774.2
SplitShare	4.58 %	4.31 %	60,926	3.38	3	1.0633 %	3,257.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0271 %	2,536.7
Perpetual-Premium	5.46 %	1.34 %	62,909	0.08	18	-0.0022 %	2,520.6
Perpetual-Discount	5.06 %	5.05 %	121,054	15.35	15	-0.1896 %	2,781.7
FixedReset	4.40 %	3.71 %	269,085	16.38	86	-0.2027 %	2,420.2
Deemed-Retractible	4.92 %	3.39 %	111,416	0.77	35	-0.0272 %	2,643.2
FloatingReset	2.59 %	2.92 %	61,930	6.18	7	-0.0243 %	2,333.2

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.G	FixedReset	-3.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.53 Bid-YTW : 6.73 %
TRP.PR.C	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 3.72 %
ENB.PR.J	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 4.40 %
MFC.PR.M	FixedReset	-2.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.11 %
MFC.PR.K	FixedReset	-2.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.37 Bid-YTW : 4.24 %
FTS.PR.J	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 23.61 Evaluated at bid price : 24.00 Bid-YTW : 4.94 %
FTS.PR.H	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 3.84 %
ENB.PF.G	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 21.66 Evaluated at bid price : 22.05 Bid-YTW : 4.38 %
RY.PR.Z	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 23.10 Evaluated at bid price : 24.59 Bid-YTW : 3.31 %
PVS.PR.D	SplitShare	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 4.83 %
PVS.PR.C	SplitShare	1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 4.31 %
BAM.PR.K	Floater	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 3.28 %
BAM.PR.B	Floater	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 15.46 Evaluated at bid price : 15.46 Bid-YTW : 3.25 %
BAM.PR.C	Floater	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 3.29 %
CIU.PR.C	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 3.69 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.A	OpRet	421,300	Called for redemption 2015-6-19. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-19 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 1.26 %
CM.PR.Q	FixedReset	135,310	RBC sold 35,000 to anonymous at 25.00. Desjardins crossed 60,900 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 23.11 Evaluated at bid price : 24.89 Bid-YTW : 3.69 %
TD.PF.D	FixedReset	119,839	TD crossed 100,000 at 24.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 23.09 Evaluated at bid price : 24.84 Bid-YTW : 3.70 %
RY.PR.K	FloatingReset	46,000	Nesbitt crossed 45,000 at 24.21. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 3.00 %
PWF.PR.T	FixedReset	40,100	TD crossed 39,500 at 25.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 23.32 Evaluated at bid price : 25.11 Bid-YTW : 3.40 %
TRP.PR.B	FixedReset	36,853	TD crossed 25,000 at 15.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 15.77 Evaluated at bid price : 15.77 Bid-YTW : 3.68 %
There were 22 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.M	FixedReset	Quote: 24.00 – 24.60 Spot Rate : 0.6000 Average : 0.4240 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.11 %
ENB.PF.G	FixedReset	Quote: 22.05 – 22.39 Spot Rate : 0.3400 Average : 0.2162 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 21.66 Evaluated at bid price : 22.05 Bid-YTW : 4.38 %
FTS.PR.J	Perpetual-Discount	Quote: 24.00 – 24.42 Spot Rate : 0.4200 Average : 0.3188 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 23.61 Evaluated at bid price : 24.00 Bid-YTW : 4.94 %
HSE.PR.A	FixedReset	Quote: 17.36 – 17.65 Spot Rate : 0.2900 Average : 0.1957 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 17.36 Evaluated at bid price : 17.36 Bid-YTW : 4.10 %
FTS.PR.F	Perpetual-Discount	Quote: 24.25 – 24.55 Spot Rate : 0.3000 Average : 0.2166 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-15 Maturity Price : 23.99 Evaluated at bid price : 24.25 Bid-YTW : 5.05 %
GWO.PR.R	Deemed-Retractible	Quote: 24.95 – 25.20 Spot Rate : 0.2500 Average : 0.1785 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.93 %

The Bank of Canada published the Bank of Canada Review – Spring 2015, which is a bust as far as capital markets articles are concerned. Articles are:

• Inflation Dynamics in the Post-Crisis Period
• The Slowdown in Global Trade
• Improving the Foundation of Canada’s Payments System
• The “Bank” at the Bank of Canada
• The Use of Cash in Canada

Some investors thought they heard opportunity knock today … but only the ding-dongs:

Fooling investors is surprisingly easy. You can even do it on the government’s official site for company filings.

The latest reminder unspooled within a few minutes Thursday when a notice came out that a purported private-equity firm made a bid to buy Avon Products Inc. In a market where computers scrape filings and trade automatically on news headlines, the stock shot up 20 percent before the company said it was a hoax.

The notice, submitted by a firm registered at an empty office, was filed on the Securities and Exchange Commission’s Edgar system, which houses more than 20 million company filings for investors to peruse. Already more than 4,700 filings have been submitted today.

The SEC doesn’t verify whether entities using its filing systems “are real or have money,” said James Maloney, a former SEC official now at law firm Gibson Dunn & Crutcher. Getting access to Edgar “is no more complicated than signing up for an e-mail account,” he said.
…
Should the SEC vet Edgar filings before they go out? Maloney says no.

“It would be the equivalent of saying don’t let anyone have e-mail or Twitter because they might use it for bad purposes,” he said.

Live by the sword, die by the sword. Good riddance.

Still, it was a pretty good day, all in:

The Standard & Poor’s 500 Index closed at an all-time high, halting a three-session slide, as Microsoft Corp. and Apple Inc. led a rally in technology shares and the weaker dollar spurred gains in multi-national companies.

It looks like infrastructure investors have another target:

Greece will continue with efforts to privatize the country’s largest port and regional airports as it seeks ways to attract investment for other state assets, Economy Minister George Stathakis said, in a government concession in talks with its creditors.

The privatization process that is already underway for the Piraeus Port Authority SA, operator of Greece’s largest harbor, and for 14 regional airports will continue, Stathakis said today in an interview in Tbilisi, Georgia. “We’re trying to revise some elements of these privatizations in order to improve them and I think we’ll get a sensible agreement for both.”

A sale of the Piraeus Port would be a reversal on the part of Greece’s Syriza party-led government, which had earlier pledged to block such moves. As part of ongoing negotiations to unlock aid to Europe’s most-indebted nation, Greek’s European creditors have asked for more specific policy proposals in areas including labor market deregulation, a pension-system overhaul, sales tax reform and privatization of state-held assets. Still, Stathakis said the government doesn’t plan to sell other assets at the moment.

Fed hikes? What Fed hikes?

The longer U.S. central bankers wait to initiate their tightening cycle, the more traders push back their expectations for when borrowing costs will start rising. On Thursday, futures contracts were implying that traders saw the fed funds rate at about 0.3 percent rate by December. That’s the lowest estimate of the year, and about half the forecast for the overnight lending benchmark that the Fed gave in March.

The market is essentially calling the Fed’s bluff. Traders are betting that policy makers won’t be able to raise rates this year without disrupting stocks and bonds, something that they’d really rather not do. So either U.S. policy makers will have to risk another market-wide tantrum, or they’ll give in to traders who embrace the idea of these historically low borrowing costs sticking around for longer.

I’m not going to try and guess whether hikes will come this year, next year, or not until after my retirement. But my fears of a disorderly return to normal are growing.

It was a mixed day for the Canadian preferred share market today, with PerpetualDiscounts off 7bp, FixedResets up 4bp and DeemedRetractibles gaining 1bp. The Performance Highlights table is shorter than it has been of late, but still much longer than the 2014 average. Volume was very low.

PerpetualDiscounts now yield 5.06%, equivalent to 6.58% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 255bp, a slight (and perhaps spurious) widening from the 250bp reported May 6.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.15 to be $0.94 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.79 cheap at its bid price of 24.92.

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.M, resetting at +236 on 2019-12-19, bid at 24.75 to be $0.51 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.35 to be $0.65 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.54 to be $0.86 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 24.93 and appears to be $0.52 rich.

FTS.PR.H, with a spread of +145bp, and bid at 16.33, looks $0.98 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 22.00 and is $0.57 rich.

Investment-grade pairs predict an average over the next five-odd years of about 0.30%, including the TRP.PR.A / TRP.PR.F at -0.36% and the BNS.PR.Y / BNS.PR.D pair at +0.78. On the junk side, the FFH.PR.E / FFH.PR.F pair is at -0.85%, while BRF.PR.A / BRF.PR.B is at -1.05%.

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	0.3167 %	2,305.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.3167 %	4,031.0
Floater	3.15 %	3.30 %	53,697	18.96	4	0.3167 %	2,450.8
OpRet	4.43 %	-4.72 %	38,605	0.13	2	0.0123 %	2,774.9
SplitShare	4.57 %	4.80 %	60,523	3.34	3	-0.0267 %	3,223.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0123 %	2,537.4
Perpetual-Premium	5.46 %	2.09 %	63,637	0.08	18	-0.0283 %	2,520.6
Perpetual-Discount	5.05 %	5.06 %	120,016	15.38	15	-0.0687 %	2,787.0
FixedReset	4.39 %	3.73 %	271,447	16.57	86	0.0412 %	2,425.1
Deemed-Retractible	4.92 %	3.35 %	111,028	0.62	35	0.0137 %	2,644.0
FloatingReset	2.59 %	2.89 %	61,323	6.18	7	-0.1154 %	2,333.7

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.C	FixedReset	-3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 3.63 %
RY.PR.Z	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 23.00 Evaluated at bid price : 24.34 Bid-YTW : 3.36 %
CU.PR.E	Perpetual-Discount	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 24.30 Evaluated at bid price : 24.76 Bid-YTW : 4.93 %
CU.PR.D	Perpetual-Discount	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 24.73 Evaluated at bid price : 25.20 Bid-YTW : 4.85 %
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 : 18.15 Bid-YTW : 6.27 %
ENB.PR.T	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.55 %
PWF.PR.A	Floater	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 2.78 %
MFC.PR.K	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 3.98 %
BAM.PR.R	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 4.08 %
IFC.PR.A	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 5.37 %

Volume Highlights
Issue	Index	Shares Traded	Notes
PWF.PR.T	FixedReset	159,112	RBC crossed 108,600 at 25.29. TD bought blocks of 10,000 and 30,000 from Scotia, both at 25.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 23.35 Evaluated at bid price : 25.20 Bid-YTW : 3.38 %
PWF.PR.P	FixedReset	130,633	Nesbitt sold 23,800 to RBC at 18.65 and another 16,200 to TD at 18.60, then crossed 90,000 at 18.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 3.64 %
BMO.PR.T	FixedReset	53,326	RBC crossed 50,000 at 24.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 23.00 Evaluated at bid price : 24.40 Bid-YTW : 3.36 %
BAM.PR.Z	FixedReset	52,397	Nesbitt crossed 44,700 at 24.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 23.28 Evaluated at bid price : 24.56 Bid-YTW : 4.12 %
ENB.PR.T	FixedReset	45,126	RBC crossed 34,200 at 20.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.55 %
BMO.PR.L	Deemed-Retractible	38,400	RBC crossed two blocks of 19,100 each, both at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-24 Maturity Price : 25.50 Evaluated at bid price : 25.71 Bid-YTW : -3.13 %
There were 18 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PR.T	FloatingReset	Quote: 24.10 – 24.54 Spot Rate : 0.4400 Average : 0.2733 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 2.85 %
HSE.PR.C	FixedReset	Quote: 25.00 – 25.40 Spot Rate : 0.4000 Average : 0.2404 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 23.19 Evaluated at bid price : 25.00 Bid-YTW : 4.15 %
PWF.PR.P	FixedReset	Quote: 18.57 – 19.06 Spot Rate : 0.4900 Average : 0.3676 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 3.64 %
RY.PR.Z	FixedReset	Quote: 24.34 – 24.78 Spot Rate : 0.4400 Average : 0.3358 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 23.00 Evaluated at bid price : 24.34 Bid-YTW : 3.36 %
PWF.PR.A	Floater	Quote: 17.90 – 18.35 Spot Rate : 0.4500 Average : 0.3746 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-14 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 2.78 %
GWO.PR.N	FixedReset	Quote: 18.15 – 18.40 Spot Rate : 0.2500 Average : 0.1807 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.15 Bid-YTW : 6.27 %

On April 30, S&P published its 2014 Annual Global Corporate Default Study And Rating Transitions:

In a year marked by considerable geopolitical turmoil, the ending of the Federal Reserve’s monthly asset purchases, and the steep decline in the price of oil, corporate borrowers fared very well by historical standards. In the full year, 60 global corporate issuers defaulted, considerably lower than the 81 last year and the lowest total since 2011 (see table 1). These 60 defaulted issuers accounted for a total of $91.6 billion in debt, down from $97.3 billion in 2013.

Overall, credit quality and rating stability remained high in 2014 (see table 6). The ratio of downgrades to upgrades increased marginally relative to 2013, but the rate of upgrades still outpaced that of downgrades. Overall, the percentage of rating actions decreased, and the magnitude of individual rating changes remained muted. This pushed the average number of notches recorded among downgrades to 1.36 from 1.38 in 2013. Meanwhile, the average number of notches for upgrades remained nearly unchanged, at 1.16 versus 1.15 in 2013 (see chart 13). (Watch the related CreditMatters TV segment titled, “Standard & Poor’s Global Corporate Default And Rating Transitions Study,” dated April 30, 2015.)

Overview

• •The number of global defaults in 2014 declined to 60 from 81 in 2013. This helped push the global speculative-grade default rate down to 1.42% from 2.28% at the end of 2013. Similar to 2013, this decline is a result of both a smaller number of defaults and an increase in the number of speculative-grade issuers in 2014–up to 3,163 from 2,804 a year earlier.
• •The one-year global Gini ratio rose to 93 in 2014, which is the second highest in 34 years. This is largely attributable to the roughly 91% of the rated defaulters in 2014 beginning the year with ratings of ‘B-‘ or lower.
• •The overall rate of rating actions decreased in 2014. The downgrade rate decreased to 8.4% from 9.4% in 2013, while the upgrade rate declined to 9.3% from 11.4%. Ratings stability increased, with the rate of unchanged ratings hitting a 10-year high of 74.5%.
• •Consistent with past years, the U.S. continues to account for the majority of defaults globally in 2014, at 55%. However, this is the lowest percentage in the past 34 years. Following the U.S., emerging markets accounted for just over 25% of the remaining defaulters.

They have also published a bit more commentary:

U.S. corporate credit performed exceptionally well in 2014 as the number of rated companies defaulting declined to its lowest number since 2007. While the Federal Reserve completed its round of tapering, winding down its monthly large-scale asset purchases, interest rates for highly rated credits fell from already low levels. Corporate bond issuance surpassed $1 trillion for a third consecutive year, and investment-grade and Treasury bond yields fell. As the speculative-grade market faced rising volatility during the year brought about by falling oil prices and rising geopolitical strains, the speculative-grade default rate fell to below 2%, less than one half of its long-term average. Slow but steady economic growth continued to support business conditions, and the upgrade to downgrade ratio improved as more U.S. companies were upgraded than downgraded in 2014. The number of U.S. corporate defaulters fell to 33 from 45 in 2013. The defaulting companies were either unrated or were rated ‘B-‘ and lower as of the beginning of 2014, consistent with our findings that Standard & Poor’s Ratings Services’ U.S. corporate credit ratings continue to serve as effective indicators of relative credit risk. (Watch the related CreditMatters TV segment titled, “Standard & Poor’s U.S. Corporate Default And Rating Transitions Study,” dated May 11, 2015.)

Overview

• •In 2014, 33 U.S. companies with $82 billion in outstanding debt defaulted; by comparison, 45 U.S. corporates defaulted with $64.9 billion of outstanding debt in 2013.
• •The U.S. speculative-grade (‘BB+’ and lower) corporate default rate fell to 1.59% as of year-end 2014 from 2.16% as of year-end 2013. Of the companies that defaulted in 2014, the highest rated was ‘B-‘.
• •Companies in the lowest rating categories had the highest default rates: 25% of the companies rated ‘CCC’/’C’ at the beginning of the year had defaulted by the end of the year.
• •The one-year Gini ratio for Standard & Poor’s 2014 ratings’ performance climbed to a new high of 96.1%. This is the highest one-year Gini recorded for U.S. corporates in our data going back to 1981.
• •Overall, ratings were more stable in 2014 than in 2013: Nearly 76% of ratings were unchanged in 2014, up from 72% the prior year.

SEC Chair Mary Jo White gave a speech lauding the opportunities that market complexity gives for regulatory employment, and the fine job the SEC is doing, titled Optimizing Our Equity Market Structure. These were Opening Remarks at the Inaugural Meeting of the Equity Market Structure Advisory Committee:

It is fitting that today we are starting our market structure discussion with an assessment of Rule 611 of Regulation NMS — the order protection rule. The selection of this rule for the inaugural meeting is reflective of how important it is to examine the fundamentals of our current market and regulatory structure, to explore their impact and assess their continued utility. This is not done just for an interesting discussion — although I am sure it will be that. Rather, we are about the serious business of optimizing the structure of our equity markets through a careful, data-driven assessment where no issue is off limits or any assumption unquestioned. And Rule 611 is most certainly a rule that features prominently in the discussion of market structure, with different views of its various impacts, including critiques that it has: (1) contributed to excessive fragmentation; (2) led to increased off-exchange trading; (3) harmed institutional investors; and (4) failed to achieve the objective of enhancing displayed liquidity. The Division of Trading and Markets has prepared and posted on our website a memorandum that is intended to help explore the extent to which these claims may or may not be accurate. Addressing Rule 611 will no doubt serve to highlight the other forces that have shaped our market structure, whether they be regulatory, competitive, or technological.

Rule 611 is part of Regulation NMS:

Regulation NMS includes new substantive rules that are designed to modernize and strengthen the regulatory structure of the U.S. equity markets. First, the “Order Protection Rule” requires trading centers to establish, maintain, and enforce written policies and procedures reasonably designed to prevent the execution of trades at prices inferior to protected quotations displayed by other trading centers, subject to an applicable exception. To be protected, a quotation must be immediately and automatically accessible. Second, the “Access Rule” requires fair and non-discriminatory access to quotations, establishes a limit on access fees to harmonize the pricing of quotations across different trading centers, and requires each national securities exchange and national securities association to adopt, maintain, and enforce written rules that prohibit their members from engaging in a pattern or practice of displaying quotations that lock or cross automated quotations. Third, the “Sub-Penny Rule” prohibits market participants from accepting, ranking, or displaying orders, quotations, or indications of interest in a pricing increment smaller than a penny, except for orders, quotations, or indications of interest that are priced at less than $1.00 per share. Finally, the Commission is adopting amendments to the “Market Data Rules” that update the requirements for consolidating, distributing, and displaying market information, as well as amendments to the joint industry plans for disseminating market information that modify the formulas for allocating plan revenues (“Allocation Amendment”) and broaden participation in plan governance (“Governance Amendment”).

After all the garbage coming from the regulators, it’s nice to see that someone gets it:

An ex-Jefferies & Co. trader convicted last year of lying to buyers and sellers of mortgage-backed bonds may have done nothing worse in one judge’s view than what a homeowner does when selling a house.

There’s a “certain amount of license and puffery” that goes on in the bond market, especially with “big boys” “who are capable of very sophisticated analysis,” U.S. Circuit Judge Barrington D. Parker said Wednesday during the appeal of Jesse Litvak’s conviction. “This kind of thing goes on all the time.”

Litvak, 40, was found guilty by a federal jury in New Haven, Connecticut, in March 2014, becoming the first person convicted of fraud tied to the Troubled Asset Relief Program set up by the U.S. amid the 2008 financial crisis. On appeal, Litvak says the case would make crimes out of statements in everyday negotiations such as car sales and that his lies weren’t material to the bond transactions.

Parker, one of three judges hearing the case in the U.S. Court of Appeals in New York, may agree. He asked Assistant U.S. Attorney Jonathan Francis if a real estate broker would be making a material misrepresentation by falsely telling a home buyer that a seller wouldn’t accept a lower offer.

Francis said the rules are different in the securities industry and that a higher standard is needed to discourage deceit and ensure that markets are fair and that investors won’t be ripped off.

Mr. Francis’ position is, of course, bullshit. The reason there is more regulation in the securities industry than in real-estate is because there are more layers of middlemen in securities transactions and these middlemen are giant corporations who pay regulatory fees as a part of doing business and pass them on to clients without itemization. If clients knew how much regulation was costing them, directly and indirectly, there would be a lot less regulation.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 24bp, FixedResets off 3bp and DeemedRetractibles down 7bp. The performance highlights table shows volatility remains a big factor, with Enbridge issues prominent on the bad side. Volume was on the low side of average.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.20 to be $0.99 rich, while TRP.PR.B, resetting 2015-6-30 at +128, is $0.79 cheap at its bid price of 15.78.

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.M, resetting at +236 on 2019-12-19, bid at 24.75 to be $0.60 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.33 to be $0.61 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.52 to be $0.83 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 24.97 and appears to be $0.56 rich.

FTS.PR.H, with a spread of +145bp, and bid at 16.46, looks $1.01 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 22.08 and is $0.50 rich.

Investment-grade pairs predict an average over the next five-odd years of about 0.30%, including the TRP.PR.A / TRP.PR.F at -0.36%. On the junk side, the FFH.PR.E / FFH.PR.F pair is at -1.06%, while BRF.PR.A / BRF.PR.B is at -1.36%.

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	-0.4728 %	2,298.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.4728 %	4,018.3
Floater	3.16 %	3.30 %	54,370	18.96	4	-0.4728 %	2,443.1
OpRet	4.41 %	-4.13 %	38,819	0.13	2	0.0980 %	2,774.6
SplitShare	4.57 %	4.81 %	59,198	3.34	3	0.0802 %	3,224.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0980 %	2,537.1
Perpetual-Premium	5.46 %	2.38 %	63,834	0.08	18	0.0052 %	2,521.3
Perpetual-Discount	5.04 %	5.04 %	121,767	15.29	15	0.2370 %	2,788.9
FixedReset	4.39 %	3.76 %	272,135	16.42	86	-0.0255 %	2,424.1
Deemed-Retractible	4.92 %	3.24 %	110,399	0.62	35	-0.0696 %	2,643.6
FloatingReset	2.58 %	2.92 %	61,974	6.18	7	-0.0729 %	2,336.4

Performance Highlights
Issue	Index	Change	Notes
ENB.PR.N	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 4.59 %
ENB.PR.Y	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.59 %
HSE.PR.A	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 17.48 Evaluated at bid price : 17.48 Bid-YTW : 4.07 %
ENB.PR.P	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 4.52 %
ENB.PR.F	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.61 %
TRP.PR.D	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 22.62 Evaluated at bid price : 23.51 Bid-YTW : 3.68 %
ENB.PR.D	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.46 %
ENB.PR.T	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 4.60 %
ENB.PR.B	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.47 %
ELF.PR.H	Perpetual-Premium	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 24.72 Evaluated at bid price : 25.20 Bid-YTW : 5.49 %
ELF.PR.G	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 23.11 Evaluated at bid price : 23.40 Bid-YTW : 5.11 %
ENB.PR.A	Perpetual-Premium	1.04 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-12 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : -14.37 %
RY.PR.Z	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 23.15 Evaluated at bid price : 24.72 Bid-YTW : 3.29 %
SLF.PR.H	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 4.96 %
CM.PR.P	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 23.00 Evaluated at bid price : 24.50 Bid-YTW : 3.34 %
CU.PR.D	Perpetual-Discount	1.23 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-09-01 Maturity Price : 25.25 Evaluated at bid price : 25.50 Bid-YTW : 4.61 %
CIU.PR.C	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 3.76 %
PWF.PR.S	Perpetual-Discount	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 24.33 Evaluated at bid price : 24.75 Bid-YTW : 4.86 %
MFC.PR.M	FixedReset	2.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 3.85 %
MFC.PR.L	FixedReset	3.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.59 Bid-YTW : 4.31 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.H	FixedReset	121,407	Nesbitt crossed 100,000 at 18.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 4.47 %
MFC.PR.A	OpRet	89,420	Called for redemption June 19. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 0.32 %
BAM.PF.G	FixedReset	44,659	Desjardins crossed 40,000 at 24.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 23.14 Evaluated at bid price : 24.97 Bid-YTW : 3.94 %
SLF.PR.H	FixedReset	41,221	Nesbitt crossed 38,300 at 21.90. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 4.96 %
ENB.PR.P	FixedReset	27,576	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 4.52 %
RY.PR.H	FixedReset	24,106	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 23.07 Evaluated at bid price : 24.59 Bid-YTW : 3.34 %
There were 29 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.K	FixedReset	Quote: 23.82 – 24.50 Spot Rate : 0.6800 Average : 0.4164 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.82 Bid-YTW : 4.12 %
ELF.PR.H	Perpetual-Premium	Quote: 25.20 – 25.65 Spot Rate : 0.4500 Average : 0.3273 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 24.72 Evaluated at bid price : 25.20 Bid-YTW : 5.49 %
ENB.PR.N	FixedReset	Quote: 20.35 – 20.73 Spot Rate : 0.3800 Average : 0.2644 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 4.59 %
ENB.PR.F	FixedReset	Quote: 19.55 – 19.87 Spot Rate : 0.3200 Average : 0.2273 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-13 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.61 %
MFC.PR.I	FixedReset	Quote: 25.48 – 25.73 Spot Rate : 0.2500 Average : 0.1654 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.48 Bid-YTW : 3.85 %
IFC.PR.A	FixedReset	Quote: 20.78 – 21.15 Spot Rate : 0.3700 Average : 0.2903 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.78 Bid-YTW : 5.53 %