Category: Market Action

Market Action

March 31, 2015

The BCSC has released an attempt to justify their existence:

In support of Fraud Prevention Month, the British Columbia Securities Commission (BCSC) Chair and CEO Brenda Leong today announced the results of research commissioned by the BCSC into the fraud vulnerability of older British Columbians.
…
Key findings from the survey include:

• One-in-eight British Columbians over 50 are vulnerable to investment fraud. When presented with an investment opportunity that guaranteed 14% to 25% monthly and no risk, 10% said they would either look into it further and 3% said they simply didn’t know, suggesting they are not sure enough to reject the offer.
• Nearly two-in-five British Columbians over 50 (37%) are afraid of running out of money during retirement. This proportion is significantly higher among those vulnerable to fraud (49%) and those who have been past victims of fraud (47%). It is also higher among those with no savings (51%) and women under 65 (51%).
• Only 44% of respondents have a reasonable expectation of annual returns on investments. When asked about annual rates of return, less than half of the respondents expected a rate of return of less than 6% (The five-year average nominal return between 2010 and 2014 on a portfolio containing three common investment types – three-month Treasury bills, Canadian bonds, and Canadian equities – was 5.98%).

I’ve had a look at the survey; I am surprised that so many felt that touted returns of “14% to 25% monthly and no risk” was worth looking into, but it’s not clear exactly what “looking into” means. There’s a clue in the report:

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It looks to me as if only about half of those who would look into the scheme further are actually vulnerable … and vulnerable is a pretty loose term, too. I’m vulnerable to being hit by an asteroid, but I’m not worried about it, nor am I particularly interested in funding bureaucrats to follow me around with umbrellas.

Additionally, most of us will realize that the simple existence of a problem does not mean that the organization talking about it has a clue. If the BCSC is so convinced that the only appropriate response to a pitch like this from a friend or colleague (a rather important qualifier disclosed in the report but unmentioned in the press release) is to ignore it, then my questions are:

What are they doing about it?
Do they have any grounds to believe that what they’re doing will have any effect, or is it just guess-and-hope?
How effective have their previous efforts along these lines been?

But there’s no discussion of this; in fact, I can only remember seeing one advertisement that discussed ‘investments with no risk’:

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The second point of the BCSC press release is peculiar: according to the survey:

Do you agree or disagree with the following statement? I am afraid of running out of money during my retirement.

I don’t understand why anybody would disagree with that statement. Well … I tell a fib. I’ve met a couple of people who have so much loot it doesn’t matter what they do, as far as maintaining their standard of living for the next hundred years-odd is concerned. But most people are afraid of running out of money and quite rightly. So I’ll just write this section off as baffling.

The third sections was the most fun and – surprisingly – fairly accurately described in the press release except that they didn’t disclose that the 5.85% average was of an equal weighting of bonds, bills and equities. I wonder if we can take this as a BCSC endorsement of “1/N investing”, in which an investor choosing between N offered choices puts an equal amount into each of them. (This is a real thing, by the way. There’s been some research done on the way DC pension plans get allocated).

So everybody expecting an average return in the future of more than 6% has, according to the BCSC, an unreasonable expectation of annual returns on investments.

Just for fun, I looked at the policies of the CPPIB:

Using reasonable capital market assumptions, the Reference Portfolio is expected to earn at least the real rate of return over the long term that is required over the 75-year projection period in the latest Actuarial Report to sustain the plan at the minimum contribution rate specified therein, assuming all other assumptions by the Chief Actuary are realized. The 26th Actuarial Report assumes a 4.0% real rate of return over the long term. The Board expect the 65% equity/35% debt weighting of the Reference Portfolio to earn at least this rate of return (annualized over the long term).

Phew! Made it! I am relieved to learn that the Canada Pension Plan is in good hands! But maybe the BCSC should take its road-show down south … according to the National Association of State Retirement Administrators’ NASRA Issue Brief: Public Pension Plan Investment Return Assumptions:

Although public pension funds, like other investors, experienced sub-par returns in the wake of the 2008-09 decline in global equity values, median public pension fund returns over longer periods meet or exceed the assumed rates used by most plans. As shown in Figure 1, at 8.8 percent, the median annualized investment return for the 25-year period ended June 30, 2014, exceeds the median assumption of 7.75 percent (see Figure 4), while the 10-year return is below this level.

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So the US pension plans appear to be basing their future expectations on past performance, just like the BCSC implies we all should be doing … and their future expectations are distributed accordingly:

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Since we’re on the topic of pensions, it’s alarming to learn that Canadian DB pensions lost ground on funding in 2015Q1:

Canadian pension plans continued to see their funding decline in the first three months of 2015 as a result of declining long-term interest rates.

A survey of 449 pension plans by consulting firm Aon Hewitt shows average funding stood at 89 per cent as of March 30, a six-percentage-point drop from 95 per cent funding a year earlier.
…
The survey found only 18 per cent of pension plans in Canada were fully funded as of March 30, which a sharp decline from a year earlier, when 36 per cent of pension plans were fully funded.

OSFI released its 2015-16 Report on Plans and Priorities, but there was not much of interest in it:

In the insurance sector, we will continue to implement the reforms set out in the Update to the Life Insurance Regulatory Framework and the changes to property and casualty insurance capital requirements.

TransCanada has issued USD 750 million of 4.6% Senior Notes with a maturity date of March 31, 2045.

BSD.PR.A has been confirmed at Pfd-4(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the rating of Pfd-4 (low) on the Preferred Securities issued by Brookfield Soundvest Split Trust (the Trust). The rating confirmation is in connection with the extension of the termination date from March 31, 2015 to March 31, 2020. The interest rate on the Preferred Securities for the extended term will remain the same at 6.0% per annum.
…
Since the last rating confirmation of the Preferred Shares at Pfd-4 (low) on December 5, 2014, the performance of the Company has been volatile, with downside protection fluctuating between 17.6% and 23.2%. The Portfolio consisted of 72.0% Canadian common stock, 22.0% REITs, 4.0% limited partnerships and 2.0% Canadian preferred stock. Downside protection available to holders of the Preferred Securities was 20.4% as of March 24, 2015. Based on the Q3 2014 Statement of Investments and the yield on the Portfolio as of March 24, 2015, the distribution coverage ratio is 0.63x. The rating on the Preferred Securities continues to be constrained by the large percentage of underlying securities in the Portfolio that are not rated by any rating agency and by the grind on the Portfolio due to distributions exceeding income.

The Canadian preferred share market closed the day on a violently mixed note, with PerpetualDiscounts up 33bp, FixedResets off 36bp and DeemedRetractibles gaining 6bp. The Performance Highlights table is predictably heavy with FixedReset losers, notably BAM, ENB and MFC issues. Floaters did well! Volume was quite high, with a very good crop of issues breaking the 100,000 mark.

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

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

Here’s TRP:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.32 to be $1.23 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.01 cheap at its bid price of 24.98.

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Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. 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 23.91 to be $0.64 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.60 to be $0.69 cheap.

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The fit on this series has suddenly become atrocious. It will be most interesting to see how long it takes for things to readjust.

The cheapest issue relative to its peers is BAM.PF.F, resetting at +286bp on 2019-9-30, bid at 23.52 to be $1.15 cheap (but, mind you, the bid is suspiciously low – see the discussion in the Performance Highlights table, below). BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.12 and appears to be $1.36 rich.

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This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.20, looks $1.59 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.70 and is $1.15 rich.

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Investment-grade pairs predict an average over the next five years of a little over 0.20%. TRP.PR.A / TRP.PR.F has normalized. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.48%.

The two new junk pairs, AIM.PR.A / AIM.PR.B and FFH.PR.E / FFH.PR.F, are surprisingly well-behaved at +0.24% and +0.72%, respectively.

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Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	1.5866 %	2,369.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.5866 %	4,142.2
Floater	3.20 %	3.21 %	64,321	19.18	3	1.5866 %	2,518.5
OpRet	4.06 %	0.69 %	111,633	0.22	1	0.1589 %	2,768.0
SplitShare	4.35 %	4.15 %	34,526	3.46	4	0.0299 %	3,218.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1589 %	2,531.1
Perpetual-Premium	5.31 %	-0.62 %	59,782	0.08	25	-0.0283 %	2,525.2
Perpetual-Discount	4.95 %	4.94 %	157,382	15.22	9	0.3259 %	2,827.7
FixedReset	4.43 %	3.49 %	249,819	16.48	85	-0.3632 %	2,406.6
Deemed-Retractible	4.90 %	0.93 %	113,045	0.15	37	0.0565 %	2,659.4
FloatingReset	2.46 %	2.82 %	79,035	6.28	8	0.0582 %	2,359.7

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.F	FixedReset	-5.96 %	Not real. The day’s low was 24.21, nearly 3% above the last bid, so this is just more Toronto Stock Exchange nonsense. I have not checked whether this is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. It’s bad enough whenever this happens … but pretty disgraceful when it happens on a quarter-end. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 22.59 Evaluated at bid price : 23.52 Bid-YTW : 4.03 %
BAM.PR.T	FixedReset	-3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 3.95 %
BAM.PR.R	FixedReset	-2.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.03 %
ENB.PR.P	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.44 %
ENB.PR.Y	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.39 %
ENB.PR.F	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.46 %
HSE.PR.A	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 3.91 %
BNS.PR.Y	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.48 Bid-YTW : 4.23 %
BAM.PF.G	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 22.99 Evaluated at bid price : 24.55 Bid-YTW : 3.82 %
ENB.PR.T	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.46 %
ENB.PR.D	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.36 %
ENB.PR.H	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.35 %
MFC.PR.J	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.67 %
MFC.PR.N	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 3.92 %
MFC.PR.I	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 3.71 %
BAM.PF.E	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 22.83 Evaluated at bid price : 24.12 Bid-YTW : 3.64 %
CIU.PR.C	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 3.17 %
SLF.PR.G	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.55 Bid-YTW : 6.34 %
MFC.PR.C	Deemed-Retractible	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 4.95 %
BAM.PR.C	Floater	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 3.21 %
BAM.PR.K	Floater	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 3.21 %
BAM.PR.B	Floater	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 15.74 Evaluated at bid price : 15.74 Bid-YTW : 3.16 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CU.PR.C	FixedReset	445,232	Desjardins crossed blocks of 116,100 and 170,000, both at 24.90. RBC crossed blocks of 17,000 and 85,000 at the same price. TD crossed 50,000 at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 23.48 Evaluated at bid price : 24.82 Bid-YTW : 3.21 %
ENB.PR.B	FixedReset	381,592	RBC crossed 360,600 at 18.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 4.36 %
BMO.PR.S	FixedReset	273,252	Nesbitt crossed blocks of 150,000 and 60,000, both at 25.16. Scotia crossed 47,700 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 23.28 Evaluated at bid price : 25.15 Bid-YTW : 3.14 %
TD.PF.D	FixedReset	201,350	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 23.15 Evaluated at bid price : 25.02 Bid-YTW : 3.46 %
TD.PF.C	FixedReset	175,374	TD bought blocks of 18,800 and 12,400 from Canaccord at 24.69, and crossed blocks of 75,000 and 25,000, at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 23.07 Evaluated at bid price : 24.70 Bid-YTW : 3.17 %
TD.PF.B	FixedReset	120,213	TD crossed 100,000 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 23.10 Evaluated at bid price : 24.67 Bid-YTW : 3.17 %
CM.PR.G	Perpetual-Premium	118,192	Called for redemption effective April 30. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-30 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 1.47 %
IFC.PR.C	FixedReset	111,603	Nesbitt crossed 100,000 at 25.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.55 %
There were 42 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.F	FixedReset	Quote: 23.52 – 24.63 Spot Rate : 1.1100 Average : 0.6073 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 22.59 Evaluated at bid price : 23.52 Bid-YTW : 4.03 %
ENB.PR.F	FixedReset	Quote: 19.31 – 19.80 Spot Rate : 0.4900 Average : 0.3483 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.46 %
PWF.PR.R	Perpetual-Premium	Quote: 26.51 – 26.85 Spot Rate : 0.3400 Average : 0.2255 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 4.55 %
MFC.PR.I	FixedReset	Quote: 25.34 – 25.75 Spot Rate : 0.4100 Average : 0.2980 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 3.71 %
MFC.PR.H	FixedReset	Quote: 25.60 – 25.99 Spot Rate : 0.3900 Average : 0.2930 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 3.42 %
GWO.PR.N	FixedReset	Quote: 18.36 – 18.70 Spot Rate : 0.3400 Average : 0.2576 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.36 Bid-YTW : 5.78 %

Market Action

March 30, 2015

The Economist has a good piece on income inequality:

Mr Piketty argues that over the long run the rate of return on wealth exceeds economic growth. Over time, this relationship increases inequality as the share of national income going to those who own capital (the rich) rises, while the portion going to labour (everyone else) falls. He also argues that the return on capital in recent history has been remarkably stable, even as economic growth has fallen, and that this trend will continue in the future.

Mr Rognlie has three main criticisms of all this. Several commentators have pointed out that the rate of return from capital should decline in the long run, rather than remaining high as Mr Piketty maintains, owing to the law of diminishing returns. Mr Rognlie expands on this, arguing that Mr Piketty has an inflated idea of the current return. Modern forms of capital, such as software, depreciate faster in value than equipment did in the past: a giant metal press might have a working life of decades whereas a new piece of database-management software will be obsolete in a few years at most. This means that returns from wealth may not necessarily be growing in net terms, since a rising share of the gains that flow to the owners of capital must be reinvested.

Second, Mr Rognlie finds that higher returns to wealth have not been distributed equally across all investments. The return on assets other than housing has been remarkably stable since 1970. In fact, surging house prices are almost entirely responsible for growing returns on capital.

Third, the idea that workers’ share of wealth can continue to decline rests on the assumption that it is easy to substitute capital (ie, robots) for workers. But if lots of the capital in question is tied up in houses, then this switch would be far harder than Mr Piketty suggests.

I don’t find these arguments particularly convincing. With respect to the first point, once capital invested in software depreciates fast enough, it becomes a labour cost in capital clothing: if you need a permanent staff of programmers on hand to keep your business running (whether they are in-house or external), then that’s a labour cost.

The second and third points are interesting, but I suggest that people are spending more on housing because the return on capital is relatively low and relatively volatile – should returns on actual capital increase, then people will stop buying second houses for rental purposes and put their money into the stock market.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 11bp, FixedResets down 31bp and DeemedRetractibles off 19bp. The Performance Highlights table is relatively length and almost all losers, with Enbridge issues again being prominent on the bad side. Volume was on the high side of average.

Here’s TRP:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.26 to be $1.12 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.13 cheap at its bid price of 24.90.

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Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.93 to be $0.56 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.75 to be $0.69 cheap.

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The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 20.60 to be $0.78 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.88 and appears to be $0.78 rich.

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This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.07, looks $1.72 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.71 and is $1.13 rich.

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Investment-grade pairs predict an average over the next five years of about 0.20%. TRP.PR.A / TRP.PR.F has almost normalized, but remains an outlier at +0.05%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.87%.

Tomorrow we’ll get two more data points for junk: AIM.PR.A / AIM.PR.B and FFH.PR.E / FFH.PR.F.

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Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-1.3085 %	2,332.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.3085 %	4,077.5
Floater	3.25 %	3.25 %	64,608	19.09	3	-1.3085 %	2,479.1
OpRet	4.07 %	1.40 %	108,400	0.22	1	-0.0794 %	2,763.7
SplitShare	4.35 %	4.21 %	33,378	3.46	4	0.1198 %	3,217.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0794 %	2,527.1
Perpetual-Premium	5.31 %	-0.80 %	57,957	0.08	25	0.0892 %	2,525.9
Perpetual-Discount	4.97 %	4.95 %	158,734	15.22	9	0.1103 %	2,818.5
FixedReset	4.41 %	3.46 %	250,790	16.54	85	-0.3141 %	2,415.4
Deemed-Retractible	4.90 %	1.25 %	110,100	0.15	37	-0.1874 %	2,657.9
FloatingReset	2.46 %	2.84 %	82,221	6.29	8	0.0688 %	2,358.3

Performance Highlights
Issue	Index	Change	Notes
ENB.PR.N	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 4.43 %
TRP.PR.C	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 3.67 %
ENB.PF.E	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.29 Evaluated at bid price : 21.29 Bid-YTW : 4.39 %
BAM.PR.R	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 3.92 %
BAM.PR.K	Floater	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 3.27 %
ENB.PF.A	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 4.38 %
BNS.PR.Y	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 3.96 %
FTS.PR.H	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 16.07 Evaluated at bid price : 16.07 Bid-YTW : 3.50 %
MFC.PR.K	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 3.95 %
ENB.PR.J	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 4.26 %
BAM.PR.T	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 3.82 %
BAM.PR.B	Floater	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 3.22 %
MFC.PR.F	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.61 Bid-YTW : 5.97 %
ENB.PF.G	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 4.41 %
CIU.PR.C	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.21 %
MFC.PR.C	Deemed-Retractible	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.93 Bid-YTW : 5.10 %
BAM.PR.C	Floater	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 15.31 Evaluated at bid price : 15.31 Bid-YTW : 3.25 %
ENB.PR.T	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.39 %
ENB.PR.F	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.37 %
CGI.PR.D	SplitShare	1.23 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 3.44 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.P	FixedReset	138,628	Desjardins crossed 126,000 at 20.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 4.35 %
BNS.PR.Z	FixedReset	110,872	Nesbitt crossed 100,000 at 23.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.58 Bid-YTW : 3.38 %
CM.PR.Q	FixedReset	101,360	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 23.09 Evaluated at bid price : 24.84 Bid-YTW : 3.49 %
TD.PF.D	FixedReset	90,353	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 23.14 Evaluated at bid price : 25.00 Bid-YTW : 3.46 %
CM.PR.O	FixedReset	88,715	Scotia crossed two blocks of 40,000 each, both at 24.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 23.05 Evaluated at bid price : 24.55 Bid-YTW : 3.20 %
TRP.PR.G	FixedReset	64,710	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 23.09 Evaluated at bid price : 24.90 Bid-YTW : 3.67 %
There were 36 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ENB.PR.T	FixedReset	Quote: 19.80 – 20.30 Spot Rate : 0.5000 Average : 0.3640 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.39 %
ENB.PF.G	FixedReset	Quote: 21.35 – 21.73 Spot Rate : 0.3800 Average : 0.2516 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 4.41 %
BAM.PR.R	FixedReset	Quote: 20.60 – 20.90 Spot Rate : 0.3000 Average : 0.1799 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 3.92 %
MFC.PR.N	FixedReset	Quote: 24.40 – 24.69 Spot Rate : 0.2900 Average : 0.1720 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 3.79 %
MFC.PR.C	Deemed-Retractible	Quote: 23.93 – 24.25 Spot Rate : 0.3200 Average : 0.2138 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.93 Bid-YTW : 5.10 %
BAM.PR.K	Floater	Quote: 15.25 – 15.73 Spot Rate : 0.4800 Average : 0.3827 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 3.27 %

And finally, it seems to me that housing prices is related to wealth, whereas income inequality has increased and is measurable.

Market Action

March 27, 2015

The new issue of LBS / LBS.PR.A was priced today at 19.60, compared to its March 26 NAVPU of 18.74. Nice work if you can get it! I have updated the post announcing the offering.

Brookfield Renewable Power Preferred Equity Inc., proud issuer of BRF.PR.A, BRF.PR.C, BRF.PR.E and BRF.PR.F, was confirmed at Pfd-3(high) by DBRS:

DBRS Limited (DBRS) has confirmed the Issuer Rating and the rating on the Senior Unsecured Debentures and Notes of Brookfield Renewable Energy Partners L.P. (BREP or the Company) at BBB (high), and the Class A Preference Shares at Pfd-3 (high), all with Stable trends. The rating actions reflect DBRS’s expectation that BREP will continue to prudently finance its growth initiatives to maintain its deconsolidated key credit metrics in line with the current rating. BREP’s ratings reflect its geographic and resource diversification, and highly contracted portfolio with investment-grade counterparties, while also factoring in the inherent renewable resource risk.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 5bp, FixedResets down 23bp and DeemedRetractibles gaining 6bp. The Performance Highlights table was of normal (for the past four months) size and comprised entirely of FixedResets. Volume was average.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.41 to be $1.16 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.17 cheap at its bid price of 24.93.

Click for Big

Most expensive is MFC.PR.N, resetting at +230 on 2020-3-19, bid at 24.64 to be $0.53 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.87 to be $0.64 cheap.

Click for Big

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 20.95 to be $0.62 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.74 and appears to be $0.49 rich.

Click for Big

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.30, looks $1.59 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.71 and is $1.08 rich.

Click for Big

Investment-grade pairs predict an average over the next five years of about 0.20% after a big increase today.TRP.PR.A / TRP.PR.F remains an outlier at -0.16%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.06%.

Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.0644 %	2,363.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0644 %	4,131.5
Floater	3.21 %	3.22 %	64,992	19.19	3	0.0644 %	2,512.0
OpRet	4.07 %	1.01 %	110,149	0.23	1	0.1192 %	2,765.8
SplitShare	4.36 %	4.03 %	32,793	3.48	4	0.2102 %	3,213.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1192 %	2,529.1
Perpetual-Premium	5.31 %	2.61 %	58,333	0.09	25	0.0094 %	2,523.6
Perpetual-Discount	4.97 %	4.99 %	158,961	15.21	9	-0.0465 %	2,815.4
FixedReset	4.40 %	3.39 %	235,021	16.75	85	-0.2263 %	2,423.0
Deemed-Retractible	4.89 %	-1.13 %	110,808	0.14	37	0.0629 %	2,662.9
FloatingReset	2.42 %	2.78 %	80,666	6.30	8	0.2229 %	2,356.7

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.E	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 22.66 Evaluated at bid price : 23.74 Bid-YTW : 3.66 %
TRP.PR.C	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 3.49 %
ENB.PR.H	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.23 %
ENB.PR.F	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.35 %
MFC.PR.M	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 3.69 %
BAM.PR.R	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 3.79 %
MFC.PR.I	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.77 Bid-YTW : 3.15 %
CU.PR.C	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 23.37 Evaluated at bid price : 24.56 Bid-YTW : 3.19 %
CIU.PR.C	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 3.09 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.N	FixedReset	93,275	Desjardins crossed 26,800 at 24.64. Scotia crossed 40,000 at the same price and bought 15,100 from RBC at 24.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.64 Bid-YTW : 3.64 %
TRP.PR.D	FixedReset	76,905	Nesbitt crossed 66,900 at 24.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 22.80 Evaluated at bid price : 23.90 Bid-YTW : 3.33 %
BNS.PR.Y	FixedReset	63,080	RBC crossed 40,300 at 22.16. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.17 Bid-YTW : 3.66 %
RY.PR.D	Deemed-Retractible	50,650	Nesbitt crossed 50,000 at 25.59. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-26 Maturity Price : 25.25 Evaluated at bid price : 25.53 Bid-YTW : -4.35 %
RY.PR.J	FixedReset	42,220	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 23.15 Evaluated at bid price : 25.01 Bid-YTW : 3.39 %
TRP.PR.E	FixedReset	40,392	Desjardins crossed 25,000 at 24.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 22.98 Evaluated at bid price : 24.41 Bid-YTW : 3.28 %
There were 31 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.F	FloatingReset	Quote: 19.35 – 22.00 Spot Rate : 2.6500 Average : 1.4486 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 3.10 %
BAM.PF.E	FixedReset	Quote: 23.74 – 24.35 Spot Rate : 0.6100 Average : 0.3693 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 22.66 Evaluated at bid price : 23.74 Bid-YTW : 3.66 %
CGI.PR.D	SplitShare	Quote: 25.30 – 26.10 Spot Rate : 0.8000 Average : 0.6403 YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.61 %
SLF.PR.I	FixedReset	Quote: 25.36 – 25.74 Spot Rate : 0.3800 Average : 0.2607 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 3.38 %
ENB.PR.F	FixedReset	Quote: 19.50 – 19.89 Spot Rate : 0.3900 Average : 0.2729 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.35 %
RY.PR.K	FloatingReset	Quote: 24.17 – 24.45 Spot Rate : 0.2800 Average : 0.1800 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.17 Bid-YTW : 2.93 %

Market Action

March 26, 2015

GMP Capital Inc., proud issuer of GMP.PR.B, was confirmed at Pfd-3(low) [Trend Negative] by DBRS:

DBRS Limited (DBRS) has today confirmed the Pfd-3 (low) rating on the Cumulative Preferred Shares of GMP Capital Inc. (GMP or the Company). The trend remains Negative. The rating reflects the strength of the Company’s business franchise as a provider of investment banking and capital markets products and services to its targeted market of mid-sized, primarily Canadian, companies. However, DBRS remains very cautious about the continuing adverse market environment. While GMP’s results in the early part of 2014 demonstrated the Company’s ability to weather weak market conditions, the continuation of the Negative trend reflects the challenges posed by the dramatic decline in oil and gas prices as indicated by GMP’s losses in Q4 2014. To the extent that GMP can adjust to this changed environment, the trend could return to Stable, but sustained weakness in results that indicated a significant deterioration in GMP’s franchise strength or earnings power would likely increase the negative pressure on the rating.

Canaccord Genuity Group Inc., proud issuer of CF.PR.A and CF.PR.C, was confirmed at Pfd-3(low) by DBRS:

DBRS Limited (DBRS) has today confirmed its rating of the Cumulative Preferred Shares of Canaccord Genuity Group Inc. (Canaccord Genuity or the Company) at Pfd-3 (low) with a Stable trend. The Company has successfully integrated recent acquisitions, improved geographic diversity, enhanced its wealth management business segment and demonstrated resilience through the extended weak market environment. Nevertheless, the Company continues to face significant challenges.

Weakness in the energy sector, which has had an impact on many of Canaccord Genuity’s traditional Capital Markets clients, resulted in a loss in the last quarter of 2014 that also reflected impairment of goodwill/intangibles. As a result, the Company implemented expense control initiatives and other actions. The Company announced a planned 4% reduction in its overall workforce, primarily affecting the U.K./Europe and U.S. operations. In addition, there were a number of changes to the executive structure, including the appointment of a CEO for the combined North American capital markets and changes to the investment banking executive team.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 8bp, FixedResets off 10bp and DeemedRetractibles up 15bp. The Performance Highlights table is dominated by losing FixedResets, with a notable presence of Enbridge issues. Volume was above average.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.83 to be $1.40 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.27 cheap at its bid price of 24.91.

Click for Big

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 24.15 to be $0.49 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.47 to be $0.72 cheap.

Click for Big

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 21.21 to be $0.64 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.25 and appears to be $0.83 rich.

Click for Big

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.31, looks $1.62 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.71 and is $1.13 rich.

Click for Big

Investment-grade pairs predict an average over the next five years of about 0.10% – except for one outlier, TRP.PR.A / TRP.PR.F, which has a break-even of -0.24%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.31%.

Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.3014 %	2,361.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.3014 %	4,128.9
Floater	3.21 %	3.21 %	65,192	19.21	3	0.3014 %	2,510.4
OpRet	4.07 %	1.51 %	109,900	0.23	1	-0.2378 %	2,762.6
SplitShare	4.37 %	4.32 %	34,163	3.47	4	-0.2695 %	3,206.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2378 %	2,526.1
Perpetual-Premium	5.30 %	1.67 %	56,991	0.08	25	-0.0031 %	2,523.4
Perpetual-Discount	4.97 %	4.99 %	160,970	15.23	9	0.0792 %	2,816.7
FixedReset	4.39 %	3.38 %	245,903	16.77	85	-0.1031 %	2,428.5
Deemed-Retractible	4.90 %	-1.18 %	111,362	0.14	37	0.1547 %	2,661.2
FloatingReset	2.42 %	2.76 %	80,504	6.31	8	0.4479 %	2,351.5

Performance Highlights
Issue	Index	Change	Notes
ENB.PR.Y	FixedReset	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 4.20 %
PWF.PR.P	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 3.25 %
ENB.PR.P	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.22 %
ENB.PR.N	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.27 %
MFC.PR.J	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 3.51 %
BAM.PF.G	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 23.17 Evaluated at bid price : 25.07 Bid-YTW : 3.66 %
BAM.PR.T	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 21.33 Evaluated at bid price : 21.63 Bid-YTW : 3.65 %
TRP.PR.F	FloatingReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 3.11 %
MFC.PR.M	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 3.54 %
GWO.PR.H	Deemed-Retractible	1.33 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : -5.74 %
MFC.PR.C	Deemed-Retractible	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 4.95 %
CIU.PR.C	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.12 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.E	FixedReset	230,005	Scotia crossed blocks of 25,000 shares, 50,000 and 25,000, all at 24.90. RBC crossed blocks of 50,000 and 25,000 at the same price. Desjardins crossed blocks of 35,000 and 15,000 at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 23.13 Evaluated at bid price : 24.83 Bid-YTW : 3.26 %
ENB.PR.B	FixedReset	147,515	RBC crossed 125,000 at 19.28. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.21 %
SLF.PR.H	FixedReset	104,013	Nesbitt crossed 101,400 at 22.58. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.58 Bid-YTW : 4.27 %
TD.PF.D	FixedReset	72,900	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 23.14 Evaluated at bid price : 25.01 Bid-YTW : 3.41 %
FTS.PR.M	FixedReset	58,569	Desjardins crossed 20,300 at 25.09. RBC crossed 15,900 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 23.23 Evaluated at bid price : 25.15 Bid-YTW : 3.25 %
CM.PR.Q	FixedReset	49,450	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 23.09 Evaluated at bid price : 24.85 Bid-YTW : 3.44 %
There were 37 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CIU.PR.C	FixedReset	Quote: 17.50 – 18.39 Spot Rate : 0.8900 Average : 0.5730 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.12 %
CGI.PR.D	SplitShare	Quote: 25.35 – 25.96 Spot Rate : 0.6100 Average : 0.4652 YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 3.58 %
PWF.PR.P	FixedReset	Quote: 18.75 – 19.12 Spot Rate : 0.3700 Average : 0.2650 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 3.25 %
ENB.PR.N	FixedReset	Quote: 20.65 – 21.00 Spot Rate : 0.3500 Average : 0.2467 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.27 %
ENB.PF.A	FixedReset	Quote: 21.46 – 21.78 Spot Rate : 0.3200 Average : 0.2205 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 4.26 %
CU.PR.C	FixedReset	Quote: 24.30 – 24.59 Spot Rate : 0.2900 Average : 0.2088 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-26 Maturity Price : 23.26 Evaluated at bid price : 24.30 Bid-YTW : 3.24 %

Market Action

March 25, 2015

Big Pharma is watching you!

As Novartis AG’s chief executive, [Joe] Jimenez is barreling down untested paths at the frontier of biology and digital technology to prepare for a future in which the use of smartphones and other digital devices to monitor health will be the key to getting paid.
…
Projects and products include pills and inhalers with sensors that tell on patients who miss a dose; clinical tests that rely on Microsoft’s Kinect, the motion-sensing technology used with Xboxes, to measure walking speed and balance in people with multiple sclerosis; and Google contact lenses that focus automatically and can deduce diabetics’ blood-sugar levels from their tears — a gamble that Jimenez says could transform eyesight.

Equities have no direction this month:

Stringing together gains in the American stock market has become next to impossible.

Knocked down 1.5 percent Wednesday, the Standard & Poor’s 500 Index has now gone 26 days without posting gains in back-to-back sessions, the longest stretch since 1994, data compiled by Bloomberg show. Losses in biotechnology and chip companies dragged U.S. stocks to a third day of declines, interrupting another run at a record for the Nasdaq Composite Index as investors sold the year’s best-performing equities.

The Fed is concerned about the mechanics of a rate hike:

In the past, the Fed increased the cost of overnight bank borrowing by raising the funds rate. The trillions of dollars in excess reserves that exist, compared with a few billion at the start of 2007, have obviated the need for banks to borrow daily and forced U.S. monetary authorities to come up with ways to influence market rates directly.

It has been evident since 2008, when the Fed gained the ability to pay interest on excess reserves, that the new rate wasn’t anchoring borrowing costs as envisioned. Government-sponsored agencies including regional Federal Home Loan Banks, primary providers of cash in the overnight market, aren’t able to receive such interest, which has enabled the funds rate to drift below IOER [Interest On Excess Reserves], now at 0.25 percent.

To make matters worse, widespread negative yields abroad, and heightened regulation on banks and money funds, have sapped the supply of safe short-term assets and buoyed demand. That further casts doubt on whether a tightening of policy will be smooth.

Strategists have expressed concern that, when the Fed starts to tighten policy by raising IOER, other market rates may not follow, leaving monetary conditions too accommodative. While banks receiving interest on surplus reserves have dimmed their desire to dump excess cash into the money markets, the funds rate has still consistently traded below the IOER. The reverse repo program thus far has helped provide a floor for the funds rate.

Problems with the Effective Fed Funds rate became apparent during the Credit Crunch, as discussed at Effective Fed Funds Rate Continues to Confuse, Effective Fed Funds Rate: A Technical Explanation? and Effective Fed Funds and Interest on Excess Reserves.

There will be a secondary offering of Capital Power common:

Capital Power Corporation (TSX: CPX) (“Capital Power”) and EPCOR Utilities Inc. (“EPCOR”) announced today that Capital Power and EPCOR have entered into an agreement with a syndicate of underwriters, co-led by CIBC and TD Securities Inc., as bookrunners, for a secondary offering by EPCOR Power Development Corporation (“EPDC”), a subsidiary of EPCOR, on a bought deal basis, of 9,000,000 common shares of Capital Power at an offering price of $23.85 per common share. Capital Power will not receive any of the proceeds ($215 million, before giving effect to the over-allotment option) from the sale of common shares by EPDC.

The underwriters have also been granted an option to purchase up to an additional 450,000 common shares at the issue price to cover over-allotments, if any. If exercised, EPDC will receive additional gross proceeds of approximately $10.7 million. The over-allotment option is exercisable, in whole or in part, by the underwriters at any time up to 30 days after the closing of the offering. Capital Power will not receive any proceeds from the exercise of the over-allotment option.

Capital Power doesn’t appear to be hard up for cash. They’ve suspended their DRIP:

Effective for the expected June 30, 2015 dividend, Capital Power will be suspending its Dividend Reinvestment Plan (DRIP) for its common shares until further notice. Shareholders participating in the DRIP will begin receiving cash dividends on the expected July 31, 2015 payment date. If the Company elects to reinstate the DRIP in the future, shareholders that were enrolled in the DRIP at suspension and remained enrolled at reinstatement, will automatically resume participation in the DRIP.

Capital Power is the proud issuer of CPX.PR.A, CPX.PR.C and CPX.PR.E, all FixedResets.

Loblaw Companies Limited, proud issuer of L.PR.A, was confirmed at Pfd-3 by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating, Medium-Term Notes rating and Debentures rating of Loblaw Companies Limited (Loblaw or the Company) at BBB, its Cumulative Redeemable Second Preferred Shares, Series A rating at Pfd-3 and its Short-Term Issuer Rating at R-2 (middle), all with Stable trends. DBRS also confirmed the Senior Unsecured Debt rating of Shoppers Drug Mart Corporation (Shoppers) at BBB with a Stable trend, based on guarantee by Loblaw. The confirmation primarily reflects Loblaw’s continued deleveraging efforts, which should result in credit metrics considered acceptable for the current rating by the end of 2015, as well as, its solid operating performance in 2014.
…
DBRS expects that Loblaw’s financial leverage should continue to decline as the Company uses free cash flow to repay debt pursuant to its deleveraging plan following the acquisition of Shoppers. Cash flow from operations should track operating income over the medium term, while capital expenditures (capex) should remain in the current $1.2 billion to $1.4 billion per year with a shifting focus toward retail investments. The cash outlay related to dividends is expected to remain above the $400 million level. DBRS, therefore, continues to believe that Loblaw will generate free cash flow in the $700 million per year range. Loblaw is expected to use free cash flow in the near term primarily for debt repayment. DBRS forecasts that lease-adjusted debt-to-EBITDAR attributable to the retail operations should return below 3.50 times (x) by the end of 2015, a level considered acceptable for the current rating. Over the longer term, DBRS expects that Loblaw will begin using free cash flow to complete share repurchases. Should operating performance remain solid and credit metrics improve further toward the Company’s stated target (i.e., lease-adjusted debt-to-EBITDAR of 3.25x) as a result of growing operating income and/or continuing debt repayment, a positive rating action would likely result.

George Weston Limited, proud issuer of WN.PR.A, WN.PR.C, WN.PR.D and WN.PR.E (all Straight Perpetuals) was confirmed at Pfd-3 by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating and Medium-Term Notes and Debentures rating of George Weston Limited (Weston or the Company) at BBB, its Short-Term Issuer Rating at R-2 (high) and its Preferred Shares rating at Pfd-3, all with Stable trends. The confirmations reflect the confirmation of the ratings of Loblaw Companies Limited (Loblaw; see separate press release) as well as Weston’s stable balance-sheet debt levels despite pressure on the Weston Foods bakery business from higher commodity costs.
…
Weston’s financial profile is expected to remain relatively stable going forward based on the Company’s ownership in Loblaw, its cash-on-hand, and its stable balance-sheet debt levels. Weston announced a strategic plan in 2015, which includes expansionary capex of approximately $300 million in 2015 and approximately $170 million in 2016 to increase capacity (including two new facilities in the United States) and innovation in key growth areas. As a result of the increase in capex, Weston Foods is expected to incur a free cash flow deficit through the end of 2016. DBRS believes the Company will use a portion of its cash-on-hand to fund such investments, while maintaining at least $1 billion of cash-on-hand and short-term investments through the end of Loblaw’s deleveraging plans expected to be completed at the end of 2015. Over the longer-term DBRS expects the Company will continue to use cash-on-hand and free cash-flow generated to invest in growth (organic and/or acquisitions) and/or to increase returns to shareholders. Weston’s ownership interest in Loblaw could return above the 50% level in the medium term as Loblaw is expected to use free cash flow to complete share repurchases once it completes its deleveraging plan. DBRS notes that a positive rating action at Loblaw would not necessarily result in a corresponding rating action at Weston.

It was a modestly negative day for the Canadian preferred share market, with PerpetualDiscounts down 7bp, FixedResets losing 14bp and DeemedRetractibles off 4bp. The Performance Highlights table is notable for a large contingent of Enbridge FixedReset losers. Volume was high.

PerpetualDiscounts now yield 4.99%, equivalent to 6.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.6% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, a widening from the 280bp reported March 18.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.80 to be $1.29 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.32 cheap at its bid price of 24.95.

Click for Big

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 24.15 to be $0.52 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.47 to be $0.67 cheap.

Click for Big

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 21.21 to be $0.67 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.14 and appears to be $0.64 rich.

Click for Big

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.33, looks $1.49 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.71 and is $1.10 rich.

Click for Big

Investment-grade pairs predict an average over the next five years of a little under 0.10% – except for one outlier, TRP.PR.A / TRP.PR.F, which has a break-even of -0.51%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.09%.

Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	1.8864 %	2,354.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.8864 %	4,116.5
Floater	3.22 %	3.22 %	61,060	19.18	3	1.8864 %	2,502.8
OpRet	4.06 %	0.48 %	101,768	0.24	1	0.1190 %	2,769.1
SplitShare	4.35 %	4.26 %	34,254	3.48	4	0.1700 %	3,215.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1190 %	2,532.1
Perpetual-Premium	5.30 %	1.77 %	57,064	0.08	25	0.0027 %	2,523.5
Perpetual-Discount	4.97 %	4.99 %	163,378	15.20	9	-0.0651 %	2,814.5
FixedReset	4.38 %	3.37 %	239,358	16.78	85	-0.1429 %	2,431.0
Deemed-Retractible	4.91 %	-0.20 %	112,356	0.17	37	-0.0427 %	2,657.1
FloatingReset	2.43 %	2.82 %	80,805	6.31	8	-0.1118 %	2,341.0

Performance Highlights
Issue	Index	Change	Notes
ENB.PF.A	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 4.21 %
ENB.PF.C	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 4.25 %
MFC.PR.C	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.87 Bid-YTW : 5.13 %
ENB.PF.G	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 21.41 Evaluated at bid price : 21.71 Bid-YTW : 4.25 %
ENB.PR.J	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 4.13 %
ENB.PR.F	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.27 %
IFC.PR.A	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.20 Bid-YTW : 4.96 %
HSE.PR.A	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 3.72 %
GWO.PR.I	Deemed-Retractible	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 4.99 %
MFC.PR.L	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 3.79 %
BAM.PR.K	Floater	4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 15.43 Evaluated at bid price : 15.43 Bid-YTW : 3.23 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.M	FixedReset	208,600	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 23.00 Evaluated at bid price : 24.65 Bid-YTW : 3.35 %
RY.PR.J	FixedReset	154,275	Scotia crossed 122,000 at 25.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 23.18 Evaluated at bid price : 25.10 Bid-YTW : 3.37 %
ENB.PR.T	FixedReset	147,624	RBC crossed 140,000 at 20.47. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 4.21 %
GWO.PR.M	Deemed-Retractible	79,595	Scotia crossed 70,000 at 26.22. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-30 Maturity Price : 26.00 Evaluated at bid price : 26.20 Bid-YTW : -3.27 %
TD.PF.D	FixedReset	76,980	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 23.15 Evaluated at bid price : 25.02 Bid-YTW : 3.41 %
CM.PR.Q	FixedReset	74,225	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 23.10 Evaluated at bid price : 24.88 Bid-YTW : 3.44 %
There were 47 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.G	FixedReset	Quote: 23.51 – 23.91 Spot Rate : 0.4000 Average : 0.2391 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 22.68 Evaluated at bid price : 23.51 Bid-YTW : 3.16 %
BNS.PR.M	Deemed-Retractible	Quote: 25.67 – 25.98 Spot Rate : 0.3100 Average : 0.1915 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-07-27 Maturity Price : 25.25 Evaluated at bid price : 25.67 Bid-YTW : 1.50 %
TRP.PR.D	FixedReset	Quote: 24.01 – 24.44 Spot Rate : 0.4300 Average : 0.3202 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 22.85 Evaluated at bid price : 24.01 Bid-YTW : 3.36 %
MFC.PR.C	Deemed-Retractible	Quote: 23.87 – 24.24 Spot Rate : 0.3700 Average : 0.2688 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.87 Bid-YTW : 5.13 %
ENB.PR.F	FixedReset	Quote: 19.86 – 20.14 Spot Rate : 0.2800 Average : 0.1934 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-25 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.27 %
MFC.PR.M	FixedReset	Quote: 24.67 – 24.89 Spot Rate : 0.2200 Average : 0.1371 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.67 Bid-YTW : 3.68 %

Market Action

March 24, 2015

It’s nice to see my number one market worry get some play in the press:

1. Fund managers decide how much their assets are worth

Legalese: “Asset valuations will be determined by managers. The fund does not intend to commission periodic appraisals of the investments and will not be obligated to provide fair market value estimates.”

What that means: Private equity managers often have large holdings in illiquid assets such as troubled companies and real estate, which are, in fact, difficult to value. That said, it’s in the managers’ best interests to assign generous values because the managers typically get to keep 20 percent of profits and rely on historical returns to pitch new funds to investors.

Fed watching has become more intensive:

The euro made its third attempt this month to climb and stay above $1.10 as Federal Reserve Vice Chairman Stanley Fischer added to speculation U.S. interest rates will increase at a limited pace as stimulus expands in Europe.

The single currency extended its biggest weekly gain in three years on Monday after Fischer said there won’t be a “smooth upward path” for interest rates even as the first increase may be warranted before the end of 2015.
…
San Francisco Fed President John Williams, who votes on central bank policy this year, said in remarks prepared for delivery in Sydney Tuesday that a discussion should happen mid-year about tightening policy. He also said that he sees a stronger dollar pushing down growth.

“Williams gave dollar a bit of a lift because he didn’t rule out a tightening in June,” said Yuji Saito, director of foreign exchange at Credit Agricole SA in Tokyo. “Markets remain mixed over the outlook of the Fed tightening with Fischer’s comments blending with that of Williams’.”

Fischer said Monday in New York that “a smooth path upward in the federal funds rate will almost certainly not be realized” as the economy will encounter headwinds such as the surprise plunge in oil prices. He said while forward guidance on rates remains important, its role may diminish.

Traders predict 56 basis points of increases to the federal funds target rate over the next 12 months, down from 62 on March 6, according to a Credit Suisse Group AG swaps index.

Stanford’s just hired a new honcho for their $21-billion endowment fund. I know nothing more about the guy than what’s in the Bloomberg notice – but what I do know, I like!

Wallace graduated from Yale in New Haven, Connecticut, in 2002 and went to work for the university’s renowned investment arm, which is run by David Swensen, according to the office. In 2005, he joined Alta Advisers, an investment company serving the family of Swedish industrialist Hans Rausing.

Before his career in investment management, Wallace danced professionally for 16 years with the American Ballet Theater, the Boston Ballet and the Washington Ballet, according to a profile. He has also served on an investment committee for Cambridge University and as a governor of the Royal Ballet School in London.

See – he’s buy-side! Always has been buy-side! Uncontaminated by any sell-side idiocy and – presumably! – with a good record of buy-side performance. And the fact that he had an actual career before going into the biz is also a plus – it increases the chance that he’s not a dork, although you never can be sure …

Did you load up on debt in the past couple of years? You’re in good company:

Vancouver, B.C. – TELUS announced today it is offering $1.75 billion of senior unsecured notes in three series, the first with a 3-year maturity, the second with a 7-year maturity and the third with a long 30-year maturity. The notes are offered through a syndicate of agents led by CIBC World Markets, Scotia Capital, and TD Securities. Closing of the offering is expected to occur on or about March 27, 2015.

The 1.50 per cent 3-year Notes, Series CS, were priced at $99.962 per $100 principal amount for an effective yield of 1.513 per cent per annum and will mature on March 27, 2018. The 2.35 per cent 7-year Notes, Series CT, were priced at $99.731 per $100 principal amount for an effective yield of 2.392 per cent per annum and will mature on March 28, 2022. The 4.40 per cent long 30-year Notes, Series CU, were priced at $99.972 per $100 principal amount for an effective yield of 4.402 per cent per annum and will mature on January 29, 2046.

The net proceeds will be used to fund all or a portion of the remaining $1.2 billion required to acquire the AWS-3 spectrum licences and repay short term indebtedness, with any remaining balance used for general corporate purposes.

Of course, all that debt comes with a price:

DBRS Limited (DBRS) has today placed the Issuer Rating, Notes rating and Commercial Paper rating of TELUS Corporation (TELUS or the Company; rated A (low), A (low) and R-1 (low), respectively) and the Senior Debentures rating of TELUS Communications Inc. (rated A (low)) Under Review with Negative Implications. The rating action follows the Company’s announcement that it has secured 15 megahertz (MHz) of AWS-3 (advanced wireless services) spectrum for $1.5 billion. While DBRS recognizes the importance of investing sufficiently in spectrum over the long term, the Negative Implications of the review status reflect DBRS’s concern that this particularly large spectrum purchase will likely be financed with debt and weaken the financial risk profile of TELUS well beyond its previously stated policy range (net debt-to-EBITDA of 1.5 times (x) to 2.0x) and levels appropriate for the current rating categories. Operationally and financially, DBRS expects TELUS will continue to perform well and deliver mid-single digit growth in EBITDA to approximately $4.4 billion in 2015, based on the Company’s growing subscriber bases across both wireless and wireline, increasing revenues per user and ongoing network expansion.
…
Notwithstanding the Company’s prospects for growth in earnings over the near to medium term, DBRS questions TELUS’ willingness and ability to deleverage toward its previously stated leverage target within a reasonable time frame (i.e., two years), given its capital investment plan and anticipated returns to shareholders. In its ongoing review with management, DBRS will focus on an update of the Company’s business strategy going forward (including capital investment and spectrum purchases) and its financial management intentions (including dividend distributions, share repurchases and financing sources) in order to determine whether a downgrade is warranted. DBRS aims to receive clarity from TELUS management on the aforementioned issues in the coming weeks in order to resolve the Under Review status of the ratings.

But don’t worry! All that debt will be inflated away:

Data today showed the cost of living in the U.S. excluding food and fuel rose more than forecast in February, reflecting broad-based gains that helped keep a floor under inflation.

The so-called core consumer-price index climbed 0.2 percent for a second month, a Labor Department report showed Tuesday in Washington. A broader measure of prices overall also climbed 0.2 percent, the first advance in four months, as fuel costs stabilized.

Purchases of new homes in the U.S. unexpectedly rose in February to a seven-year high as stronger job gains helped bolster industry activity amid severe weather. Sales climbed 7.8 percent to a 539,000 annualized pace, the most since February 2008.

But the US has a problem: too many jobs:

Now, Goldman Sachs Group Inc. is weighing in. Job growth will have to slow going forward to catch down to the rest of the data, according to David Mericle, a Goldman Sachs economist, who says the pace of employment gains has “been running ‘too hot’ recently” relative to overall economic growth.

“Our model suggests that the recent 275-300k rate of monthly payroll gains is likely to be as good as it gets,” Mericle wrote in a note to clients. “Under our baseline forecast for 3% real GDP growth this year and next, we expect a gradual deceleration to a roughly 200k rate. The risks to both the GDP and employment numbers in 2016 are a bit to the downside.”

Outsize payroll growth in recent months has helped generate a swift decline in the unemployment rate. In February, it was 5.5 percent, down from 6.7 percent a year earlier.

The speed of the drop has taken Federal Reserve policy makers by surprise, and it prompted them to lower their year-end forecasts for the unemployment rate at the Federal Open Market Committee’s March meeting. The central tendency of those projections, which excludes the top and bottom three of the 17 committee members’ forecasts, fell to 5 percent to 5.2 percent from 5.2-5.3 percent in December, when the previous set of projections were published.

That 5-5.2 percent range matches the central tendency of what Fed officials deem to be “full employment.” Fed officials would say lower rates of unemployment would start to spur an acceleration in consumer price increases

It isn’t just Big Data that’s watching you … it’s your colleagues!

Stroz Friedberg, a New York-based consulting firm that specializes in digital forensics, is rolling out software called Scout, which evaluates users through the content of their e-mails and other communications using linguistic and behavioral analysis techniques developed by the FBI. The software establishes a base line and then scans for variations that may signal that an employee presents a growing risk to the company. Red flags could include a spike in references to financial stresses such as “late rent” and “medical bills.”

Edward Stroz, the firm’s founder and a former FBI agent, says that while companies may have found this idea too intrusive in the past, he’s seen a change in perception in the past year. He’s still careful when discussing the software, describing it as a way to help employers build a “caring workplace.”
…
Some of the methods at companies that hire Securonix make even Baikalov wonder how much is too much. He cites the practice of matching information on user behavior online with feeds from video cameras and other systems that monitor physical locations. Some companies, he says, have created ticket systems so employees can report suspicious behavior by colleagues. “Is it too much, or is it actually the right amount of diligence?” he says. “I’m really curious how much we will get out of it. It’s really the extreme in kind of Orwell-like monitoring.”

And it’s been too long since my last rant on university tuition:

Some top-ranked business schools are raising tuition by between 2 percent and 10 percent this fall, bumping up the cost of classes for the 2015-16 academic year to nearly $66,000 at the high end. Throw in room and board, fees, and textbooks, and it will cost as much as $99,000 to attend B-school next year, according to data compiled by Bloomberg Business.

Half of the MBA programs ranked in Bloomberg Businessweek’s top 20 have announced updated tuition numbers so far this year. Of that group, the University of Maryland’s Smith School of Business has biggest tuition hike, with tuition up by 9.9 percent next year for out-of-state residents, bringing the cost of classes to $52,380 from $47,655.

It’s ridiculous. How can a university education possibly cost that much? How can it possibly be worth that much?

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts and FixedResets both gaining 13bp, while DeemedRetractibles were off 8bp. The Performance Highlights table is back to it’s usual (for the past four months) length. Volume was on the high side of average.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.75 to be $1.23 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.24 cheap at its bid price of 24.95.

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Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 24.41 to be $0.74 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.54 to be $0.64 cheap.

Click for Big

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 21.36 to be $0.61 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.30 and appears to be $0.70 rich.

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This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.32, looks $1.47 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.71 and is $1.06 rich.

Click for Big

Investment-grade pairs predict an average over the next five years of about 0.10% – except for one outlier, TRP.PR.A / TRP.PR.F, which has a break-even of -0.48%. The DC.PR.B / DC.PR.D pair has gone completely insane and now predicts an average bill rate over the next 4 3/4 years of -5.15% … but the indicated bid of 19.08 on DC.PR.D is just a little bit more Toronto Stock Exchange idiocy, since the low for the day was 21.65 on frenetic volume of 1,500 shares.

Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-1.2562 %	2,310.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.2562 %	4,040.3
Floater	3.28 %	3.24 %	61,794	19.12	3	-1.2562 %	2,456.5
OpRet	4.07 %	0.97 %	102,798	0.24	1	0.0000 %	2,765.8
SplitShare	4.36 %	4.42 %	32,890	3.48	4	0.2807 %	3,209.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,529.1
Perpetual-Premium	5.30 %	1.00 %	58,783	0.09	25	-0.0658 %	2,523.4
Perpetual-Discount	4.97 %	5.00 %	168,673	15.26	9	0.1305 %	2,816.3
FixedReset	4.38 %	3.38 %	231,905	16.83	85	0.1295 %	2,434.5
Deemed-Retractible	4.90 %	0.53 %	112,569	0.17	37	-0.0842 %	2,658.2
FloatingReset	2.43 %	2.82 %	82,031	6.31	8	0.1173 %	2,343.6

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 14.78 Evaluated at bid price : 14.78 Bid-YTW : 3.37 %
CU.PR.D	Perpetual-Premium	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 24.59 Evaluated at bid price : 25.03 Bid-YTW : 4.92 %
GWO.PR.H	Deemed-Retractible	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.78 Bid-YTW : 4.98 %
MFC.PR.K	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.16 Bid-YTW : 3.70 %
FTS.PR.H	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 16.32 Evaluated at bid price : 16.32 Bid-YTW : 3.35 %
SLF.PR.G	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.65 Bid-YTW : 6.18 %
IFC.PR.A	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 4.81 %
BNS.PR.Z	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.59 Bid-YTW : 3.29 %
MFC.PR.C	Deemed-Retractible	1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.95 %
ENB.PR.F	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 4.21 %
CIU.PR.C	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 3.19 %
PWF.PR.P	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 3.20 %
HSE.PR.A	FixedReset	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 17.32 Evaluated at bid price : 17.32 Bid-YTW : 3.68 %
ENB.PR.J	FixedReset	1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 21.43 Evaluated at bid price : 21.76 Bid-YTW : 4.04 %

Volume Highlights
Issue	Index	Shares Traded	Notes
FTS.PR.G	FixedReset	155,021	Nesbitt crossed 148,900 at 23.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 22.78 Evaluated at bid price : 23.71 Bid-YTW : 3.12 %
TD.PF.A	FixedReset	153,647	RBC crossed 42,800 at 24.96. TD crossed two blocks of 50,000 each at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 23.16 Evaluated at bid price : 24.92 Bid-YTW : 3.06 %
TRP.PR.C	FixedReset	143,666	Nesbitt crossed 131,300 at 17.21. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 3.44 %
TD.PF.C	FixedReset	126,115	TD crossed two blocks of 50,000 each, both at 24.71. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 23.06 Evaluated at bid price : 24.69 Bid-YTW : 3.12 %
RY.PR.M	FixedReset	115,625	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 23.00 Evaluated at bid price : 24.65 Bid-YTW : 3.35 %
CM.PR.P	FixedReset	110,344	Desjardins crossed 100,000 at 24.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 23.12 Evaluated at bid price : 24.85 Bid-YTW : 3.01 %
There were 36 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.H	Deemed-Retractible	Quote: 24.78 – 25.18 Spot Rate : 0.4000 Average : 0.2519 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.78 Bid-YTW : 4.98 %
CU.PR.D	Perpetual-Premium	Quote: 25.03 – 25.45 Spot Rate : 0.4200 Average : 0.3114 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-24 Maturity Price : 24.59 Evaluated at bid price : 25.03 Bid-YTW : 4.92 %
MFC.PR.K	FixedReset	Quote: 24.16 – 24.60 Spot Rate : 0.4400 Average : 0.3451 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.16 Bid-YTW : 3.70 %
MFC.PR.I	FixedReset	Quote: 25.80 – 26.08 Spot Rate : 0.2800 Average : 0.1894 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 3.09 %
GWO.PR.I	Deemed-Retractible	Quote: 24.35 – 24.57 Spot Rate : 0.2200 Average : 0.1562 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 4.85 %
SLF.PR.E	Deemed-Retractible	Quote: 23.76 – 24.08 Spot Rate : 0.3200 Average : 0.2603 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 5.16 %

Market Action

March 23, 2015

Negative yields bring reaching for yield:

Norway’s $870 billion sovereign wealth fund said this month that it added Nigeria and lifted its share of lower-rated company debt to the highest since at least 2006. Allianz SE, Europe’s biggest insurer, is shifting from German bunds to bulk up on mortgages. JPMorgan Asset Management is buying speculative-grade corporate debt to boost returns.
…
Norges Bank Investment Management, the world’s largest sovereign wealth fund, increased corporate bonds rated BBB or lower to 8.3 percent of its debt assets at the end of last year from 7.5 percent in the prior quarter, the fund said March 13.

Among those assets are about $200 million of bonds issued by Petroleo Brasiliero SA. Brazil’s state-controlled oil company, the biggest corporate debt issuer in emerging markets, has seen its benchmark 2024 bonds tumble almost 10 percent since allegations of kickbacks and bribes emerged in November.

The fund also added developing countries such as Ghana and Mauritius and invested in Nigeria’s currency for the first time. It has just 0.1 percent in top-rated corporate bonds.

Scotia has announced a sub-debt offering with a coupon of 2.58% to its pretend-maturity of 2022-3-30:

The Bank of Nova Scotia (“Scotiabank”) (TSX: BNS) (NYSE: BNS) today announced an inaugural Basel III-compliant offering of $1.25 billion of 2.58% Subordinated Debentures due 2027 (the “Debentures”) pursuant to its June 27, 2014 base shelf prospectus.

The Debentures, to be sold through an agency syndicate led by Scotiabank Global Banking & Markets, are expected to be issued on March 30, 2015. Interest will be payable semi-annually from the date of issue until March 30, 2022 at a rate of 2.58% per annum. From March 30, 2022 to maturity on March 30, 2027, the Debentures will pay a quarterly coupon at a rate equal to the 90 day bankers’ acceptance plus 1.19%, beginning June 30, 2022.

On or after March 30, 2022, Scotiabank may, at its option, with the prior approval of the Superintendent of Financial Institutions (Canada), in whole at any time or in part from time to time at a redemption price which is equal to par, plus accrued and unpaid interest, redeem the Debentures, on not less than 30 nor more than 60 days’ notice to registered holders.

Net proceeds from this transaction will be used for general banking purposes.

Scotiabank intends to file, in Canada, a pricing supplement to its June 27, 2014 base shelf prospectus. A copy of this document as well as the base shelf prospectus can be obtained at www.sedar.com.

This issue is rated A(low) by DBRS (emphasis added):

DBRS assigned the NVCC Sub Debt a rating equal to the Bank’s intrinsic assessment of AA (low) less three rating notches because the NVCC Sub Debt has the Office of the Superintendent of Financial Institutions (OSFI)-required non-viability contingent capital (NVCC) triggers and no additional triggers. Furthermore, DBRS has assumed that Scotiabank will follow the market precedent if issuing NVCC preferred shares in the future. Under this assumption, in the event of a conversion to common shares, the NVCC Sub Debt would have a potential for recovery that is sufficiently better than the NVCC Preferred Shares to allow for a differentiation in the NVCC Sub Debt rating relative to the NVCC Preferred Shares rating. Please see the DBRS press release entitled “DBRS Provides Guidance on Canadian Bank Non-Viability Contingent Capital Ratings” dated January 10, 2014, for more details.

I was hoping to learn today about the extent of the exercise of the hypothetical Unit Special Retraction Right of BSD / BSD.PR.A (discussed in the post BSD.PR.A Hypothetical Preferred Special Retraction Right: 44% Tender) but sadly there is nothing as yet.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 36bp, FixedResets off 4bp and DeemedRetractibles gaining 4bp. Volatility was much lower than what has become normal over the last four months. Volume was below average.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.72 to be $1.25 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.21 cheap at its bid price of 24.95.

Click for Big

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 24.30 to be $0.62 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.57 to be $0.61 cheap.

Click for Big

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 21.50 to be $0.54 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.52 and appears to be $0.92 rich.

Click for Big

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.51, looks $1.31 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.70 and is $0.99 rich.

Click for Big

Investment-grade pairs predict an average over the next five years of a little under 0.10% – except for one outlier, TRP.PR.A / TRP.PR.F, which has a break-even of -0.47%. The DC.PR.B / DC.PR.D pair has gone from the extreme to the ludicrous and now predicts an average bill rate over the next 4 3/4 years of -2.30%.

Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	2.5089 %	2,340.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	2.5089 %	4,091.7
Floater	3.24 %	3.24 %	62,102	19.15	3	2.5089 %	2,487.7
OpRet	4.07 %	0.96 %	103,794	0.24	1	0.0000 %	2,765.8
SplitShare	4.37 %	4.42 %	32,120	3.48	4	-0.4988 %	3,200.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,529.1
Perpetual-Premium	5.30 %	0.81 %	58,024	0.09	25	0.1094 %	2,525.1
Perpetual-Discount	4.97 %	5.02 %	170,899	15.21	9	-0.3621 %	2,812.7
FixedReset	4.38 %	3.44 %	237,616	16.82	85	-0.0421 %	2,431.4
Deemed-Retractible	4.90 %	-1.46 %	109,935	0.15	37	0.0352 %	2,660.4
FloatingReset	2.43 %	2.89 %	83,375	6.31	8	0.3048 %	2,340.9

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.D	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 22.85 Evaluated at bid price : 24.00 Bid-YTW : 3.36 %
ENB.PR.J	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 4.15 %
PVS.PR.C	SplitShare	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 4.75 %
BNS.PR.Z	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.31 Bid-YTW : 3.49 %
PWF.PR.T	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 23.41 Evaluated at bid price : 25.45 Bid-YTW : 3.11 %
TRP.PR.F	FloatingReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 3.15 %
HSE.PR.A	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 3.75 %
TRP.PR.C	FixedReset	2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 17.16 Evaluated at bid price : 17.16 Bid-YTW : 3.47 %
BAM.PR.K	Floater	8.48 %	Not significant – just a reversal of Friday‘s nonsense. Thank you, Toronto Stock Exchange! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 15.22 Evaluated at bid price : 15.22 Bid-YTW : 3.27 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.M	FixedReset	300,440	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 22.98 Evaluated at bid price : 24.60 Bid-YTW : 3.35 %
RY.PR.Z	FixedReset	202,531	Nesbitt crossed blocks of 111,000 and 75,000, both at 25.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 23.23 Evaluated at bid price : 25.01 Bid-YTW : 3.01 %
RY.PR.J	FixedReset	155,144	Scotia crossed 150,000 at 25.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 23.15 Evaluated at bid price : 25.00 Bid-YTW : 3.39 %
TD.PF.D	FixedReset	96,490	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 23.14 Evaluated at bid price : 24.99 Bid-YTW : 3.41 %
MFC.PR.L	FixedReset	87,807	Nesbitt crossed 84,000 at 24.43. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 3.71 %
BMO.PR.S	FixedReset	77,489	RBC crossed 75,000 at 25.12. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 23.23 Evaluated at bid price : 25.01 Bid-YTW : 3.11 %
There were 25 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: 24.03 – 24.70 Spot Rate : 0.6700 Average : 0.3918 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.03 Bid-YTW : 2.69 %
GWO.PR.N	FixedReset	Quote: 18.37 – 18.87 Spot Rate : 0.5000 Average : 0.2989 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.37 Bid-YTW : 5.70 %
ENB.PR.J	FixedReset	Quote: 21.35 – 21.80 Spot Rate : 0.4500 Average : 0.2841 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 4.15 %
PWF.PR.P	FixedReset	Quote: 18.72 – 19.14 Spot Rate : 0.4200 Average : 0.2841 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 3.25 %
BNS.PR.Z	FixedReset	Quote: 23.31 – 23.65 Spot Rate : 0.3400 Average : 0.2117 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.31 Bid-YTW : 3.49 %
TRP.PR.D	FixedReset	Quote: 24.00 – 24.30 Spot Rate : 0.3000 Average : 0.1997 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-23 Maturity Price : 22.85 Evaluated at bid price : 24.00 Bid-YTW : 3.36 %

Market Action

March 20, 2015

Greek bank depositors not only have to deal with the potential for bank failure should Greece exit the Euro, but I’m sure they’re also worried about a punitive tax on deposits in good banks. So they’ve found another option:

Click for Big

It nice to see a supervisor fired for poor supervision:

Citigroup Inc. fired a trader on Friday for allegedly mismarking an inflation-options book and dismissed his boss for lax oversight, according to a person familiar with the matter.

Carl Bonde lost his job in New York after the bank determined he’d inflated the value of his trading positions by less than $30 million, the person said. Keith Price, head of U.S. inflation trading, was dismissed for his failure to supervise Bonde, said the person, who asked not to be identified discussing a personnel matter.

How ’bout them equities, eh?

Global stocks powered to their best weekly rally in nearly two years, sending two of the biggest equity benchmarks to the brink of records, on speculation the U.S. Federal Reserve will leave interest rates at zero past mid-year while European policy makers press stimulus.

The MSCI All-Country World Index surged 3.2 percent for the five days, pushing the Nasdaq Composite Index to within 7 points of wiping out all its losses since the Internet bubble. The Stoxx Europe 600 Index soared 1.9 percent to close 0.4 percent from its March 2000 high.
…
Other benchmark indexes also gained during the week. The Standard & Poor’s 500 Index rose 2.7 percent to 2,108.10 in the five days, 0.4 percent away from a record. In London, the FTSE 100 Index hit a fresh record, climbing above 7,000 for the first time. The Russell 2000 Index gained 2.8 percent to an all-time high.

Capital Power Corporation, proud issuer of CPX.PR.A, CPX.PR.C and CPX.PR.E, has been confirmed at Pfd-3(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the rating of the Preferred Shares of Capital Power Corporation (CPC or the Company) at Pfd-3 (low) with a Stable trend. CPC’s Preferred Shares rating is based on the credit quality of its subsidiary, Capital Power L.P. (CPLP; rated BBB). Please see the CPLP rating report dated March 20, 2015, for more information on the credit quality of CPLP. The one-notch differential in the ratings of CPC and CPLP reflects the structural subordination at CPC.
…
CPC’s financial risk profile is based on its deconsolidated credit metrics. As CPC has no bonds/debentures issued at the parent level and is not expected to issue any debt in the foreseeable future, its adjusted leverage primarily consists of its preferred shares outstanding, which are treated as debt by DBRS. In the adjusted debt-to-capital calculation, the amount of preferred shares over the 20% preferred shares-to-equity threshold (defined as the percentage of preferred shares outstanding divided by total equity, excluding preferreds and minority interest) is treated as debt by DBRS. In 2014, CPC had $464 million of preferred shares outstanding, of which $67 million was treated as debt. As such, CPC’s unconsolidated debt-to-capital ratio was approximately 3% in 2014, which remains supportive of the current rating category. In addition, the unconsolidated fixed charge coverage ratio is expected to remain high at around five times.

It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 78bp, FixedResets up 10bp and DeemedRetractibles gaining 2bp. The Performance Highlights table has a good length, capped by winning PerpetualDiscounts. Volume was extremely high.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.81 to be $1.31 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.37 cheap at its bid price of 24.92.

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Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 24.48 to be $0.72 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 26.05 to be $0.63 cheap.

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The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 21.53 to be $0.56 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.51 and appears to be $0.93 rich

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This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.60, looks $1.28 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.70 and is $0.92 rich.

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Investment-grade pairs predict an average over the next five years of about 0.00% – except for one outlier, TRP.PR.A / TRP.PR.F, which has a break-even of -0.63%. The DC.PR.B / DC.PR.D pair has gone from the extreme to the ludicrous and now predicts an average bill rate over the next 4 3/4 years of -2.36%

Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-3.1190 %	2,282.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-3.1190 %	3,991.5
Floater	3.32 %	3.21 %	63,097	19.21	3	-3.1190 %	2,426.9
OpRet	4.07 %	0.93 %	105,377	0.25	1	-0.0397 %	2,765.8
SplitShare	4.46 %	4.31 %	57,630	4.43	5	-0.1429 %	3,216.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0397 %	2,529.1
Perpetual-Premium	5.29 %	1.26 %	57,461	0.09	25	0.0516 %	2,522.3
Perpetual-Discount	4.96 %	5.02 %	172,159	15.24	9	0.7483 %	2,822.9
FixedReset	4.38 %	3.42 %	241,019	16.83	85	0.0976 %	2,432.4
Deemed-Retractible	4.90 %	-1.43 %	112,770	0.11	37	0.0171 %	2,659.5
FloatingReset	2.49 %	2.90 %	86,537	6.31	8	-0.0748 %	2,333.7

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-9.54 %	A nonsensical closing bid, courtesy of those hard-working bank employees at the Toronto Stock Exchange. The issue traded 4,040 shares in a range of 15.41-72. As with the same issue on March 10, it is not clear whether this is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 14.03 Evaluated at bid price : 14.03 Bid-YTW : 3.55 %
ENB.PR.Y	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 4.14 %
TRP.PR.F	FloatingReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 3.25 %
SLF.PR.H	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.36 Bid-YTW : 4.39 %
CGI.PR.D	SplitShare	-1.21 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.60 %
BNS.PR.Z	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 3.33 %
IAG.PR.G	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.69 Bid-YTW : 2.99 %
BAM.PR.R	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 21.53 Evaluated at bid price : 21.53 Bid-YTW : 3.69 %
MFC.PR.L	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.48 Bid-YTW : 3.62 %
CIU.PR.C	FixedReset	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 3.25 %
BAM.PR.N	Perpetual-Discount	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 22.70 Evaluated at bid price : 23.04 Bid-YTW : 5.15 %
BAM.PF.C	Perpetual-Discount	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 23.12 Evaluated at bid price : 23.45 Bid-YTW : 5.17 %
CU.PR.F	Perpetual-Discount	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 23.63 Evaluated at bid price : 24.00 Bid-YTW : 4.71 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.M	FixedReset	276,913	Recent inventory blow-out. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 22.99 Evaluated at bid price : 24.61 Bid-YTW : 3.36 %
POW.PR.D	Perpetual-Premium	230,738	Nesbitt crossed blocks of 50,000 shares, 110,600 and 60,000, all at 25.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-19 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 1.26 %
IAG.PR.G	FixedReset	167,264	Nesbitt crossed 160,600 at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.69 Bid-YTW : 2.99 %
NA.PR.S	FixedReset	162,676	TD crossed 125,000 at 25.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 23.34 Evaluated at bid price : 25.32 Bid-YTW : 3.15 %
RY.PR.J	FixedReset	157,750	RBC crossed 69,800 at 24.99 and 16,000 at 25.00. RBC bought blocks of 17,700 and 19,900 from Nesbitt at 24.99. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 23.14 Evaluated at bid price : 24.97 Bid-YTW : 3.40 %
ENB.PR.N	FixedReset	146,462	RBC crossed 139,000 at 21.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.20 %
BMO.PR.S	FixedReset	142,232	Nesbitt crossed 48,300 at 25.06. RBC crossed 52,800 at 25.06 and 25,000 at 25.12. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 23.30 Evaluated at bid price : 25.20 Bid-YTW : 3.08 %
RY.PR.E	Deemed-Retractible	137,605	Nesbitt crossed blocks of 65,100 and 70,000, both at 25.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-19 Maturity Price : 25.25 Evaluated at bid price : 25.57 Bid-YTW : -7.21 %
ENB.PR.D	FixedReset	105,044	RBC crossed blocks of 35,000 and 51,400 at 19.54. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.21 %
CM.PR.Q	FixedReset	102,874	RBC crossed 35,500 at 24.87. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 23.09 Evaluated at bid price : 24.86 Bid-YTW : 3.45 %
ENB.PR.F	FixedReset	102,498	Nesbitt sold 18,500 to RBC at 20.00 and crossed 42,900 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 4.26 %
BMO.PR.T	FixedReset	101,392	TD crossed 50,000 and 45,000 at 24.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 23.10 Evaluated at bid price : 24.71 Bid-YTW : 3.09 %
There were 49 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.K	Floater	Quote: 14.03 – 15.89 Spot Rate : 1.8600 Average : 1.1308 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 14.03 Evaluated at bid price : 14.03 Bid-YTW : 3.55 %
CGI.PR.D	SplitShare	Quote: 25.30 – 25.80 Spot Rate : 0.5000 Average : 0.3579 YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.60 %
TD.PR.Z	FloatingReset	Quote: 23.85 – 24.26 Spot Rate : 0.4100 Average : 0.2781 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 2.94 %
MFC.PR.K	FixedReset	Quote: 24.32 – 24.80 Spot Rate : 0.4800 Average : 0.3627 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.32 Bid-YTW : 3.62 %
BMO.PR.R	FloatingReset	Quote: 23.90 – 24.20 Spot Rate : 0.3000 Average : 0.2021 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 2.87 %
ENB.PR.T	FixedReset	Quote: 20.48 – 20.79 Spot Rate : 0.3100 Average : 0.2233 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-20 Maturity Price : 20.48 Evaluated at bid price : 20.48 Bid-YTW : 4.18 %

Market Action

March 19, 2015

TIPS are in high demand:

The U.S. Treasury Department can thank the Federal Reserve for the surge in demand at Thursday’s auction of inflation-protected bonds.

The $13 billion in 10-year Treasury Inflation-Protected Securities, or TIPS, were sold at a yield of 0.2 percent, the lowest at an auction of the debt since May 2013. The Fed indicated Wednesday it isn’t in a rush to raise interest rates, leaving the door open for economic growth to stoke inflation.
…
Ten-year break-evens, the difference between yields on 10-year Treasury inflation protected securities and nominal equivalents, show investors expect U.S. consumer prices to rise 1.79 percent a year for the coming decade, up from a 2015 low of 1.49 percent on Jan. 14.

The gauge rose as much as 0.09 percentage point Thursday as rising prices for TIPS pulled their yields down and further away from yields on benchmark 10-year notes.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 11bp, FixedResets gaining 10bp and DeemedRetractibles off 2bp. There was no real pattern in the Performance Highlights table, other than that it was dominated by winners; Floaters did well. Volume was well above average.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.68 to be $1.23 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.40 cheap at its bid price of 24.85.

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Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 24.20 to be $0.47 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.85 to be $0.82 cheap.

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The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 21.29 to be $0.71 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.45 and appears to be $0.90 rich

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This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.70, looks $1.23 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.71 and is $0.91 rich.

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Investment-grade pairs predict an average over the next five years of about 0.00% – except for one outlier, TRP.PR.A / TRP.PR.F, which has a break-even of -0.40%. The DC.PR.B / DC.PR.D pair has gone from the extreme to the ludicrous and now predicts an average bill rate over the next 4 3/4 years of -2.78%

Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	1.8624 %	2,356.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.8624 %	4,120.0
Floater	3.22 %	3.21 %	63,980	19.22	3	1.8624 %	2,505.0
OpRet	4.07 %	0.76 %	106,654	0.25	1	0.1589 %	2,766.9
SplitShare	4.46 %	4.44 %	57,559	4.42	5	0.0159 %	3,221.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1589 %	2,530.1
Perpetual-Premium	5.29 %	0.08 %	56,492	0.09	25	0.1567 %	2,521.0
Perpetual-Discount	4.99 %	4.99 %	164,926	15.17	9	0.1124 %	2,801.9
FixedReset	4.38 %	3.52 %	241,768	16.69	85	0.1007 %	2,430.0
Deemed-Retractible	4.90 %	-1.42 %	110,252	0.12	37	-0.0224 %	2,659.1
FloatingReset	2.49 %	2.93 %	87,529	6.31	8	0.2894 %	2,335.5

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.A	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 3.97 %
TRP.PR.C	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 3.74 %
MFC.PR.C	Deemed-Retractible	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.04 Bid-YTW : 5.02 %
BAM.PR.B	Floater	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 15.56 Evaluated at bid price : 15.56 Bid-YTW : 3.20 %
TRP.PR.D	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 22.99 Evaluated at bid price : 24.34 Bid-YTW : 3.40 %
BAM.PR.C	Floater	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 15.42 Evaluated at bid price : 15.42 Bid-YTW : 3.23 %
FTS.PR.H	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 3.45 %
ENB.PR.Y	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 20.42 Evaluated at bid price : 20.42 Bid-YTW : 4.19 %
TRP.PR.F	FloatingReset	1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 3.21 %
BAM.PR.K	Floater	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 3.21 %
ELF.PR.H	Perpetual-Premium	2.87 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 5.11 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.M	FixedReset	483,371	Inventory blow-out sale. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 22.96 Evaluated at bid price : 24.53 Bid-YTW : 3.46 %
TD.PF.B	FixedReset	222,494	TD crossed blocks of 50,000 shares, 49,700 and 100,000, all at 24.88. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 23.16 Evaluated at bid price : 24.86 Bid-YTW : 3.17 %
RY.PR.H	FixedReset	184,144	RBC crossed 168,700 at 24.94 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 23.16 Evaluated at bid price : 24.86 Bid-YTW : 3.17 %
SLF.PR.I	FixedReset	135,882	Nesbitt crossed 118,700 at 25.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 3.58 %
BAM.PF.A	FixedReset	73,320	Nesbitt crossed 64,600 at 25.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 23.37 Evaluated at bid price : 25.20 Bid-YTW : 3.72 %
GWO.PR.L	Deemed-Retractible	71,300	Scotia crossed 20,000 at 26.18; Nesbitt crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-18 Maturity Price : 26.00 Evaluated at bid price : 26.18 Bid-YTW : -5.25 %
There were 43 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ENB.PF.E	FixedReset	Quote: 22.20 – 22.48 Spot Rate : 0.2800 Average : 0.1834 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 21.77 Evaluated at bid price : 22.20 Bid-YTW : 4.21 %
GWO.PR.P	Deemed-Retractible	Quote: 26.30 – 26.56 Spot Rate : 0.2600 Average : 0.1722 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-03-31 Maturity Price : 25.25 Evaluated at bid price : 26.30 Bid-YTW : 4.40 %
MFC.PR.H	FixedReset	Quote: 25.85 – 26.15 Spot Rate : 0.3000 Average : 0.2163 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 2.85 %
SLF.PR.I	FixedReset	Quote: 25.24 – 25.49 Spot Rate : 0.2500 Average : 0.1698 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 3.58 %
PWF.PR.P	FixedReset	Quote: 18.60 – 18.93 Spot Rate : 0.3300 Average : 0.2503 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-19 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 3.43 %
PWF.PR.L	Perpetual-Premium	Quote: 25.35 – 25.65 Spot Rate : 0.3000 Average : 0.2225 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 3.91 %

Market Action

March 18, 2015

Lucky Assiduous Readers! It’s time for me to get on my favourite hobby-horse again … one I’ve been riding for over twenty five years now … and will probably keep flogging even if it dies:

GICs also have a psychological benefit because, unlike bonds, GIC prices don’t change when interest rates rise or fall.

” GIC prices don’t change when interest rates rise or fall.”

This is not correct. Reported GIC prices generally don’t change, but the actual price you can get for it (if transferable) does – and so does the actual value of the cash flows.

The brokerage industry’s obfuscation of value with respect to GICs is going to be yet another competitive advantage for the banks when CRM2 and mandatory performance reporting come into force.

For a longer rant, see my essay Preferred Shares and GICs; those who are more interested in cheap entertainment can just look at the comments to the Globe story.

But the big news of the day was FOMC press release:

Consistent with its previous statement, the Committee judges that an increase in the target range for the federal funds rate remains unlikely at the April FOMC meeting. The Committee anticipates that it will be appropriate to raise the target range for the federal funds rate when it has seen further improvement in the labor market and is reasonably confident that inflation will move back to its 2 percent objective over the medium term. This change in the forward guidance does not indicate that the Committee has decided on the timing of the initial increase in the target range.
…
When the Committee decides to begin to remove policy accommodation, it will take a balanced approach consistent with its longer-run goals of maximum employment and inflation of 2 percent. The Committee currently anticipates that, even after employment and inflation are near mandate-consistent levels, economic conditions may, for some time, warrant keeping the target federal funds rate below levels the Committee views as normal in the longer run.

There was no dissent.

And the markets went wild!

The Federal Reserve dropped an assurance it will be “patient” in raising interest rates, ending an era in its communications policy and opening the door for higher borrowing costs as early as June.

“An increase in the target range for the federal funds rate remains unlikely at the April” meeting, the Federal Open Market Committee said in a statement Wednesday in Washington. Fed officials also lowered their median estimate for the federal funds rate at the end of 2015 to 0.625 percent, compared with 1.125 percent in December forecasts.
…
Stocks rose, erasing earlier losses, after the FOMC announcement. The Standard & Poor’s 500 Index was up 0.6 percent at 2,087.04 as of 2:11 p.m. in New York. Ten-year Treasury notes yielded 1.99 percent, down 6 basis points.
…
In December, the FOMC dropped a clause from its statement that it would hold rates low for a “considerable time” and instead said it would be “patient” in weighing an increase.

In fact, the market took the release as a whole to be a dovish indicator:

Money-market futures traders cut the odds of a Federal Reserve interest-rate increase below 50 percent until December after Chair Janet Yellen lowered her outlook for growth and the pace of policy tightening.

The likelihood that policy makers will lift their benchmark rate from near zero in September fell to 39 percent from 55 percent on Tuesday, according to calculations by Bloomberg using federal fund futures contracts. Futures traders have wiped out the chance of an increase in June, assigning it an 11 percent probability.

While the policy-setting Federal Open Market Committee dropped a commitment to be “patient” when raising rates, a key shift was policy makers’ lowering of their median estimate for benchmark borrowing costs during the next two years, according to Brian Smedley, an interest-rate strategist at Bank of America Corp. in New York. The fresh set of estimates reduced the median for the federal funds rate at the end of 2015 to 0.625 percent, compared with a December forecast of 1.125 percent.

The OECD is not impressed by Canada’s prospects:

Smacked by the oil crash, Canada has taken a big hit in a new OECD economic forecast.

In its updated projections released Wednesday, the Organization for Economic Co-operation and Development cut its outlook for growth in Canada this year to 2.2 per cent, down from 2.6 per cent in its November forecast.

For 2016, the group now sees growth of 2.1 per cent, down from 2.4 per cent.

“Oil and commodity exporters are facing weaker growth prospects as the result of lower prices,” the OECD said.
…
Like Canada, the forecast for Brazil has been cut.

“The main class of countries for which near-term growth prospects have worsened since the November 2014 economic outlook is the commodity exporters,” the OECD said.

“The interim projections are significantly lower for oil-exporters Canada and Brazil, with short-term growth prospects in Brazil also being restrained by monetary and fiscal tightening and increasing political uncertainty,” it added.

“Growth has already slowed in many other oil-exporting countries, and with the fall in commodity prices going well beyond oil, exporters of metals, coal and some agricultural commodities also face less favourable growth prospects this year.”

It was a mildly positive day for the Canadian preferred share market, with PerpetualDiscounts gaining 3bp, FixedResets flat, and DeemedRetractibles up 6bp. The overall calmness masked a lot of volatility, with a fairly lengthy Performance Highlights table dominated by losing FixedResets. Volume was very high.

PerpetualDiscounts now yield 4.99%, equivalent to 6.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 280bp, a widening from the 270bp reported March 11.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.55 to be $1.15 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.32 cheap at its bid price of 24.90.

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Most expensive is MFC.PR.M, resetting at +236 on 2019-12-19, bid at 24.95 to be $0.40 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.99 to be $0.67 cheap.

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The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 21.33 to be $0.61 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.41 and appears to be $0.91 rich.

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This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.42, looks $1.45 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.82 and is $1.09 rich.

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Investment-grade pairs predict an average over the next five years of about 0.00% – except for one outlier, TRP.PR.A / TRP.PR.F, which has a break-even of -0.75%. The DC.PR.B / DC.PR.D pair has gone from the extreme to the ludicrous and now predicts an average bill rate over the next 4 3/4 years of -2.06%

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Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-1.2762 %	2,313.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.2762 %	4,044.7
Floater	3.28 %	3.28 %	64,441	19.05	3	-1.2762 %	2,459.2
OpRet	4.07 %	1.38 %	108,246	0.25	1	-0.0397 %	2,762.6
SplitShare	4.46 %	4.42 %	57,844	4.43	5	-0.0040 %	3,220.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0397 %	2,526.1
Perpetual-Premium	5.30 %	1.28 %	56,233	0.08	25	-0.1768 %	2,517.1
Perpetual-Discount	5.00 %	4.99 %	164,286	15.43	9	0.0281 %	2,798.8
FixedReset	4.39 %	3.51 %	244,388	16.67	85	-0.0036 %	2,427.6
Deemed-Retractible	4.90 %	-1.61 %	106,628	0.12	37	0.0587 %	2,659.6
FloatingReset	2.50 %	2.93 %	90,485	6.31	8	-0.0214 %	2,328.8

Performance Highlights
Issue	Index	Change	Notes
ELF.PR.H	Perpetual-Premium	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 24.58 Evaluated at bid price : 25.06 Bid-YTW : 5.56 %
MFC.PR.F	FixedReset	-2.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.90 Bid-YTW : 5.82 %
SLF.PR.G	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.66 Bid-YTW : 6.31 %
TRP.PR.C	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 3.70 %
HSE.PR.A	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 3.92 %
BAM.PR.C	Floater	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 15.17 Evaluated at bid price : 15.17 Bid-YTW : 3.28 %
BMO.PR.Q	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 3.61 %
MFC.PR.L	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.06 Bid-YTW : 3.89 %
BAM.PR.K	Floater	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 15.12 Evaluated at bid price : 15.12 Bid-YTW : 3.29 %
BAM.PR.B	Floater	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 3.24 %
ENB.PR.T	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 20.39 Evaluated at bid price : 20.39 Bid-YTW : 4.31 %
GWO.PR.N	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.35 Bid-YTW : 5.83 %
PWF.PR.P	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 3.41 %
FTS.PR.M	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 23.23 Evaluated at bid price : 25.15 Bid-YTW : 3.34 %
MFC.PR.N	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.66 Bid-YTW : 3.67 %
CIU.PR.C	FixedReset	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 3.45 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.G	Perpetual-Premium	322,060	Called for redemption April 30. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : -0.26 %
RY.PR.M	FixedReset	315,655	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 22.91 Evaluated at bid price : 24.40 Bid-YTW : 3.48 %
FTS.PR.H	FixedReset	230,857	TD crossed blocks of 41,900 and 70,000 at 16.94, then crossed 110,900 at 16.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 16.42 Evaluated at bid price : 16.42 Bid-YTW : 3.51 %
W.PR.H	Perpetual-Premium	194,892	Desjardins crossed blocks of 96,300 and 96,800 at 25.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 24.87 Evaluated at bid price : 25.18 Bid-YTW : 5.55 %
CU.PR.C	FixedReset	165,965	Desjardins crossed 159,200 at 24.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 23.16 Evaluated at bid price : 24.11 Bid-YTW : 3.39 %
BNS.PR.R	FixedReset	145,300	Nesbitt crossed 62,700 and 75,000 at 25.67. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.64 Bid-YTW : 3.05 %
BMO.PR.T	FixedReset	144,975	Nesbitt crossed 46,900 and 75,000 at 24.79. TD sold 19,900 to anonymous at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 23.10 Evaluated at bid price : 24.70 Bid-YTW : 3.18 %
RY.PR.B	Deemed-Retractible	114,122	Nesbitt crossed 111,200 at 25.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-17 Maturity Price : 25.25 Evaluated at bid price : 25.62 Bid-YTW : -9.44 %
There were 56 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ELF.PR.H	Perpetual-Premium	Quote: 25.06 – 26.00 Spot Rate : 0.9400 Average : 0.5411 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 24.58 Evaluated at bid price : 25.06 Bid-YTW : 5.56 %
BAM.PR.K	Floater	Quote: 15.12 – 15.89 Spot Rate : 0.7700 Average : 0.5081 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 15.12 Evaluated at bid price : 15.12 Bid-YTW : 3.29 %
MFC.PR.L	FixedReset	Quote: 24.06 – 24.54 Spot Rate : 0.4800 Average : 0.3081 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.06 Bid-YTW : 3.89 %
FTS.PR.J	Perpetual-Premium	Quote: 24.60 – 25.25 Spot Rate : 0.6500 Average : 0.4875 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 24.18 Evaluated at bid price : 24.60 Bid-YTW : 4.84 %
MFC.PR.C	Deemed-Retractible	Quote: 23.75 – 24.23 Spot Rate : 0.4800 Average : 0.3527 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 5.18 %
FTS.PR.H	FixedReset	Quote: 16.42 – 16.83 Spot Rate : 0.4100 Average : 0.2940 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-18 Maturity Price : 16.42 Evaluated at bid price : 16.42 Bid-YTW : 3.51 %

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