Category: Market Action

The Boston Fed published a paper by Daniel Cooper and J. Christina Wang titled Student Loan Debt and Economic Outcomes:

This policy brief advances the growing literature on how student loan debt affects individuals’ other economic decisions. Specifically, it examines the impact of student loan liabilities on individuals’ homeownership status and wealth accumulation. The analysis employs a rich set of financial and demographic control variables that are not available in many of the existing studies that use credit bureau data. Overall, student debt lowers the likelihood of homeownership for a group of students who attended college during the 1990s. There is also a fairly strong negative correlation between student loan debt and wealth (excluding student loan debt) for a group of households with at least some college experience.
…
Indeed, student loan debt has now surpassed credit card debt to become the second largest amount of household debt outstanding after mortgage debt (see Figure 1). Unlike credit card debt and other household liabilities, however, student debt cannot be discharged in bankruptcy.
…
Consistent with the previous literature on socio-economic inequality in the United States, African Americans and Hispanics have substantially less wealth than Caucasians. This negative effect is largely reversed, however, among those minority homeowners with student loan debt outstanding. This result likely reflects the fact that, among minorities, those who pursued higher education—even if they had to borrow to do so—likely have greater earning power and can accumulate more assets while they are young than minorities who did not attend college.

They also published an interesting paper by Claire Greene and Scott Schuh titled U.S. Consumers’ Holdings and Use of $100 Bills:

Conventional wisdom asserts that $100 bills are often associated with crime and foreign cash holdings, leading some commentators to call for their elimination; in light of this view, it is useful to examine the legal, domestic use of cash. This report uses new data from the 2012 Diary of Consumer Payment Choice (DCPC) to evaluate consumer use of $100 bills as a means of payment. On a typical day in the United States, 5.2 percent of consumers have a $100 bill in their pocket, purse, or wallet. But only 22 percent of U.S. consumers have at least $100 in their wallet, pocket, or purse. Of these cash-intensive consumers, the main association with holding a $100 bill is the amount of cash carried. A consumer who carries $400 to $699 has a 64 percent probability of carrying at least one $100 bill.
…
Recently, Harvard economist Kenneth Rogoff called for the total elimination of $100 bills.4 According to Rogoff (2014), the evidence suggests that, in most countries, more than 50 percent of currency is used to facilitate anonymous transactions for tax evasion or other illegal activities.
…
The DCPC shows that consumers still use cash heavily as a means of payment. U.S. consumers age 18 and older carry an average of $56 on their person (pocket, purse, or wallet), and the median consumer carries $22. Cash is still the most common method of payment for consumers (40.3 percent of the number of payments per month), even though the dollar value of these payments is relatively low (14.2 percent of value per month) because the average cash payment is small ($20.73). Only 6.6 percent of reported cash payments by number of transactions (12.3 percent by value) were in categories that were not well defined or documented and, therefore, might be more likely to be associated with criminal or underground economic activity.
…
Over the last three decades, the value of 100s shipped by the Fed to depository institutions has increased dramatically relative to other denominations. This could be due in part to inflation, to the elimination of the larger denominations, and/or to an increase in demand for U.S. currency outside the United States. Hundreds represented just about 10 percent of the value of cash shipped in January 1974, compared with 45 percent in 2010.8 In 2013, the value of $100 bills in circulation was $925 billion—enough for every person in the United States (including children) to hold $3,000 in $100 bills.
…
On any given day in October 2012, 5.2 percent of U.S. consumers carried at least one $100 bill in their pocket, purse, or wallet (on person). This statistic is somewhat incomplete because only consumers carrying at least $100 of cash (total of all denominations) could be carrying a $100 bill. As shown in Figure 6, cash holdings on person by U.S. consumers are skewed toward values much less than $100: 78 percent of consumers carried $99 or less, including 28 percent who carried $19 or less. A small proportion of consumers carry the largest amounts of cash in value. Only 22 percent of U.S. consumers carried $100 or more; just 8 percent carried $200 or more. Therefore, it is necessary to ask who carries $100 before asking who carries a $100 bill.
…
Among consumers who carry $100 or more, about one in six (17.6 percent) carries at least one $100 bill. The probability of carrying a $100 bill rises as a consumer’s total cash on person increases, as shown in Figure 8. For consumers carrying between $400 and $699, the probability of carrying $100 bill is more than 60 percent. The probability jumps to 94 percent when cash holdings exceed $700. In addition, as cash on person increases, consumers carry more $100 bills (Figure 9).
…
If they are carrying at least $100 and all other factors are equal, women are more likely than men to carry a $100 bill or bills and people younger than 25 are more likely than people 25 years old or older to carry a $100 bill or bills. No other demographic characteristics are helpful in explaining the probability of holding a $100 bill by a consumer who carries at least $100.

Patricia L. Olasker and Mindy Gilbert of Davies Ward Phillips & Vineberg LLP have submitted a comment letter on the National Securities Regulator legislation:

The PCMA introduces numerous substantive changes from the current securities law of Ontario. These include:

• •change to the long-standing and widely used definition of “misrepresentation”;
• •the broadening of the insider trading prohibition to include conduct that stops short of a sale of a security and to include transactions in securities of non-reporting companies;
• •change to the exception to the tipping prohibition;
• •introduction of a novel fiduciary relationship between underwriters and their clients;
• •unprecedented regulation of shareholders holding 20% or more of a public company as if they were “market participants”; and
• •introduction of a novel “obstruction” prohibition prohibiting the withholding of information from the regulatory authority and potentially intruding on the solicitor/client relationship.

…
We are also concerned about the extent to which the PCMA takes a platform approach to legislation. Not only are entire areas of the law proposed to be addressed in regulations, but the legislation omits a number of well-established elements of securities law. We believe that fundamental established elements of the existing law should be enshrined in the legislation itself. The commentary accompanying the release of the draft legislation noted that the platform approach was intended to promote “regulatory flexibility allowing the Authority to respond to market developments in a timely manner”. Our concern with this is threefold:

• 1.It allows for legislation by regulatory fiat with limited political accountability.
• 2.It undermines one of the key features of a sound capital market − namely, stability and predictability in the legal and regulatory regime, which are essential to transaction planning. With vast sections of the law, including key cornerstone elements, being left to regulation, there is significant risk of instability in the law, with the potential for substantive changes to be effected through a process subject to no more discipline than a 90-day request for comments.
• 3.We are sceptical of the premise that more regulatory flexibility is required than exists under the current regime. In fact, with the introduction of the federal Capital Markets Stability Act, which will allow the cooperative regulator to act to address systemic risks to the capital markets, one could argue that less rather than more regulatory flexibility is necessary at the PCMA level.

This echoes many of the concerns raised by Jeffrey MacIntosh.

And the BOC has published a paper by Gregory Bauer titled International House Price Cycles, Monetary Policy and Risk Premiums:

Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals. Corrections are typically triggered by a sharp tightening in the monetary policy interest rate relative to a baseline level in each country. Two different assessments of the current and future baseline estimates of monetary policy interest rates are provided: a simple Taylor rule and one extracted from a term structure model. A case study based on the Canadian housing market is presented.
…
In this paper, we construct a model to forecast house price corrections in the national housing markets of 18 OECD countries. We focus on large corrections: the (real) national house price index must decline by at least 10 per cent and the correction must last at least four quarters. There are 43 such corrections in our post-1975 sample, which highlights the advantage of an international data set. More importantly for policy-makers, the corrections appear to be triggered by increases in central bank policy rates.
…
In theory, it should be possible to estimate the degree of house price overvaluation and the consequent likelihood of a correction using the data from a single country only. However, it will be di¢ cult to estimate the degree of overvaluation in a given country if the values of homes in the markets are already away from their fundamental values. Regressing one upward-trending series (such as real house prices) on another trending series (such as real per capita income) will always produce a coefficient that can justify most of the current level of valuation. The addition of many other countries, with housing market cycles that may be different from that of Canada, will impose more discipline on the estimation of such a coefficient.
…
Figure 2 displays the real house price index in each country along with the periods that have been identified as corrections. The country with the highest number of corrections is Spain, at six corrections between 1975Q1 and 2014Q2. Denmark has experienced …five corrections over its history. Japan records the longest duration of a housing market correction at 61 quarters, or 15 years. Other notable countries with long correction durations are Spain (26 quarters), Germany (25 quarters), Italy (25 quarters) and Sweden (25 quarters).

Canada’’s historical record shows two such corrections. Prices declined by a total of 30 per cent over a period of six quarters starting in 1981Q3, and by 17 per cent over a one-year period beginning in 1990Q2. For comparison, the United States also saw two housing market corrections. The first occurred in 2006Q4 and lasted seven quarters, and the second began in 2009Q1 and ended …five quarters later. During these two periods, the country experienced house price declines of 10 per cent and 14 per cent, respectively.
…
The Canadian and other country average amounts of overvaluation are shown in Figure 3. The average amount of overvaluation across the other 17 OECD countries (black line) shows considerable variation over time, reaching approximately 15 per cent at the height of the latest boom period. Canadian house prices (red line) were considered to be “fairly” valued in 2004, but are now estimated to be overvalued by slightly over 20 per cent (as of 2014Q2). The interquartile range of the 18 country estimates (the 25th and 75th percentile of overvaluation at each point in time) is shown in dotted lines.
…
There are a number of conclusions of interest to policy-makers. First, the relatively simple way of assessing house price overvaluation has good forecasting power for subsequent corrections. The variable is signifi…cant in all specifi…cations and at all horizons. Second, while the two methods of estimating the monetary policy stance of the central banks produce similar results, the method of extracting a global risk premium from the long-term interest rate has some advantages. The expectations component is forward looking and rises well in advance of the corrections. This may be quite useful to policy-makers today who face the zero lower bound on current policy rates while the long-term rates incorporate expectations of future rate increases.

Third, there is a distinct forecast-horizon aspect to the results. Attempting to forecast a house price decline that is going to start in the next quarter is extremely difficult. The signals from this modelling approach are very weak and would be engulfed by the noise.

The BoC warned of rising illiquidity in the Canadian corporate bond market:

The Bank of Canada warned that investors in the nation’s corporate bond market may be underestimating the difficulty of selling the securities in a market downturn, putting them at risk of greater losses.

Rising holdings of corporate bonds in mutual and exchange-traded funds could exacerbate price swings if the funds are forced to sell in a rout, the central bank said in its semi-annual Financial System Review. Some market participants also “believe” dealers are reducing market-making activity, or acting as the middleman between trades, which may make it harder to unwind large positions, the bank said.

“A potential deterioration of liquidity in Canadian corporate bond markets may not be fully priced in,” according to the report. “Market trends suggest that more sizable price swings might be observed in the future than previously, should investors seek to simultaneously unwind large positions.”

The greater role of ETFs and mutual funds in the market could cause “price dislocations” if investors cash out and funds are forced to sell underlying corporate bond holdings at lower prices, the report said.

I’ll try to review the Review in a while.

Update: The Financial System Review, December 2014 isn’t really all that interesting, although I may review their article on ETFs tomorrow. The Bloomberg story is a fair synopsis of what is said about corporate bonds on pp. 21-22 of the publication, except that the bank is concerned that rising holdings by foreigners could increase exposure to external shocks.

And, oh yeah, there was a little bit of action in the equities market:

Canadian stocks sank the most in 17 months, sending the benchmark gauge to the lowest level since February, as crude resumed a selloff after OPEC said demand will drop next year.

Penn West Petroleum Ltd. and Crescent Point Energy Corp. plunged at least 9.8 percent as energy producers sank to a 2012 low. Laurentian Bank of Canada (LB) dropped 5.3 percent to pace declines among financial services stocks. All 10 main groups in the benchmark index lost at least 0.4 percent.

The Standard & Poor’s/TSX Composite Index (SPTSX) fell 342.78 points, or 2.4 percent, to 13,852.95 at 4 p.m. in Toronto. The equity gauge has dropped 4.3 percent this week, paring its advance this year to 1.7 percent. Trading volume was 38 percent above the 30-day average.

Oil, bank and raw-materials are the biggest laggards in Canada for the first time since at least 1988, fueling concern the nation’s economy is fading just as the U.S. is taking off. The three industries, which collectively account for two-thirds of the S&P/TSX, are the worst performers among 10 groups this year, led by a 18 percent slump in energy, according to data compiled by Bloomberg.

Which is kind of tough news for preferred share investors who have tried to escape the downturn.

Technically, it was a mixed day for the Canadian preferred share market, with PerpetualDiscounts losing 92bp, FixedResets down 25bp and DeemedRetractibles squeaking out a gain of 3bp; PUT THAT GUN DOWN, IT WASN’T THAT BAD! The loss for PerpetualDiscounts is grossly overstated due to some more Toronto Stock Exchanges idiocy (either with respect to its market makers, or its reporting, I’m not sure which). About 60bp of the reported tumble in PerpetualDiscounts is due to an overstatement of the bad day experienced by FTS.PR.F; see the Performance Highlights table for an explanation. The Performance Highlights table is, again, dominated by lower-spread FixedResets and has a good contingent of credit-nervous ENB issues. Volume was average.

PerpetualDiscounts now yield 5.14% (the mispricing of FTS.PR.H is not a disaster, since this is a median figure), equivalent to 6.68% interest at the standard conversion factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 255bp, a significant increase from the 235bp reported November 26.

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:

So according to this, TRP.PR.A, bid at 20.84, is $0.76 cheap, but it has already reset. TRP.PR.B, bid at 17.35, resetting 2015-6-30 and TRP.PR.C, bid at 19.01, resetting 2016-1-30 are both fairly priced. The TRP issues seem to be steadily rationalizing, but there continues to be pressure on TRP.PR.A.

The MFC series continues to be weird.

Clearly MFC.PR.F, resetting at +141 on 2016-06-19, is out of step with the others and is screwing up the calculation. To the extent that one can trust both Implied Volatility Theory AND the market’s reasonably more-or-less consistent application of it, MFC.PR.F should be bid significantly higher than its current 19.75 and the calculated Implied Volatility should be higher than the distorted value of 14%. The fit is pretty poor – all one can really tell is that the Spread is more than about 80bp and the Implied Volatility is more than about 12%.

The BAM series is now also a little out of whack:

BAM.PR.X, with a +180bp spread, bid at 20.70, looks $0.80 cheap and doesn’t reset until 2017-6-30 while BAM.PR.R, with a +230bp spread, bid at 25.23, looks $1.36 rich and resets 2016-6-30. So go figure that one out, wise guy. As with the MFC series above, it seems that the extreme cheapness of the lowest-spread issue is materially distorting the calculation of Implied Volatility.

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 19.16, looks $0.71 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp, and bid at 24.62, looks $0.75 expensive and resets 2019-3-1

Oddly, the fit for BCE is pretty good, with the model having no problem fitting BCE.PR.K, resetting at +188bp on 2016-12-30, to the curve formed by the other BCE FixedResets.

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	0.0711 %	2,525.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0711 %	3,997.5
Floater	2.99 %	3.11 %	61,290	19.38	4	0.0711 %	2,684.2
OpRet	4.41 %	-6.03 %	28,395	0.08	2	-0.0196 %	2,751.5
SplitShare	4.30 %	4.02 %	38,826	3.73	5	-0.2087 %	3,171.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0196 %	2,515.9
Perpetual-Premium	5.44 %	-1.34 %	72,943	0.08	20	-0.0959 %	2,474.5
Perpetual-Discount	5.24 %	5.14 %	111,527	15.23	15	-0.9199 %	2,615.3
FixedReset	4.28 %	3.75 %	206,125	16.26	75	-0.2491 %	2,514.4
Deemed-Retractible	5.00 %	1.75 %	101,180	0.14	40	0.0319 %	2,599.1
FloatingReset	2.55 %	1.89 %	60,563	3.47	5	-0.2508 %	2,544.2

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.F	Perpetual-Discount	-11.87 %	The “Last” quote, sold to me by the Toronto Stock Exchange of 21.60-24.82 is nonsensical, since there were a number of tiny trades at 3:55pm at about 24.20 (thirteen, all of 100 shares, plus one 95-share odd-lot). The low for the day was 24.19. It is not clear whether this huge burst of market activity overwhelmed the market maker who ran home crying before the bell, or whether a bid was cancelled between the “Close” and the “Last” and I’m not going to spend time and money figuring it out either because, frankly, I’m sick of these clowns. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 5.72 %
FTS.PR.H	FixedReset	-3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 3.83 %
TRP.PR.C	FixedReset	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.09 %
TRP.PR.A	FixedReset	-2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 20.84 Evaluated at bid price : 20.84 Bid-YTW : 4.06 %
ENB.PF.C	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 22.46 Evaluated at bid price : 23.36 Bid-YTW : 4.44 %
ENB.PF.E	FixedReset	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 22.47 Evaluated at bid price : 23.41 Bid-YTW : 4.44 %
ENB.PR.N	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 22.43 Evaluated at bid price : 23.16 Bid-YTW : 4.38 %
FTS.PR.J	Perpetual-Discount	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 23.62 Evaluated at bid price : 24.00 Bid-YTW : 4.96 %
ENB.PF.A	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 22.57 Evaluated at bid price : 23.56 Bid-YTW : 4.40 %
ENB.PF.G	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 22.54 Evaluated at bid price : 23.56 Bid-YTW : 4.43 %
MFC.PR.F	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.75 Bid-YTW : 5.87 %
SLF.PR.G	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 5.81 %
BNS.PR.Z	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.37 Bid-YTW : 3.42 %
BAM.PR.X	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 4.22 %
MFC.PR.B	Deemed-Retractible	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 5.58 %
GWO.PR.N	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.61 Bid-YTW : 5.66 %
MFC.PR.L	FixedReset	3.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.75 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PF.C	FixedReset	180,591	Nesbitt sold 10,700 to RBC at 23.89 and crossed 146,700 at 23.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 22.46 Evaluated at bid price : 23.36 Bid-YTW : 4.44 %
BAM.PR.X	FixedReset	105,958	Nesbitt crossed 94,700 at 20.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 4.22 %
TRP.PR.A	FixedReset	94,514	Will reset at 3.266% effective December 31. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 20.84 Evaluated at bid price : 20.84 Bid-YTW : 4.06 %
HSE.PR.C	FixedReset	79,500	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 23.15 Evaluated at bid price : 24.98 Bid-YTW : 4.47 %
ENB.PR.A	Perpetual-Premium	65,438	Scotia bought two blocks from Nesbitt, of 26,000 and 20,000, both at 25.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-09 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : -4.93 %
ENB.PR.D	FixedReset	59,120	Nesbitt crossed 40,000 at 23.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 22.31 Evaluated at bid price : 22.83 Bid-YTW : 4.21 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.F	Perpetual-Discount	Quote: 21.60 – 24.80 Spot Rate : 3.2000 Average : 1.7894 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 5.72 %
HSE.PR.A	FixedReset	Quote: 19.41 – 20.21 Spot Rate : 0.8000 Average : 0.5156 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.20 %
FTS.PR.H	FixedReset	Quote: 19.16 – 19.74 Spot Rate : 0.5800 Average : 0.3744 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 3.83 %
MFC.PR.G	FixedReset	Quote: 25.60 – 26.10 Spot Rate : 0.5000 Average : 0.3390 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 3.13 %
NEW.PR.D	SplitShare	Quote: 32.51 – 33.23 Spot Rate : 0.7200 Average : 0.5696 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-26 Maturity Price : 32.07 Evaluated at bid price : 32.51 Bid-YTW : 3.22 %
FTS.PR.J	Perpetual-Discount	Quote: 24.00 – 24.50 Spot Rate : 0.5000 Average : 0.3510 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-10 Maturity Price : 23.62 Evaluated at bid price : 24.00 Bid-YTW : 4.96 %

Securities market participants will be gratified to learn that the tradition of administrative efficiency in Canadian securities regulation will be continued by the national securities regulator:

Canada’s new securities regulator is facing another delay on the bumpy road to its launch in 2015.

The group of participating provinces announced Friday that the regulations to outline the operating details of the new Cooperative Capital Markets Regulator will now be delayed until early spring and will not be out by Dec. 19, as previously anticipated.

Greek markets are beginning to resemble Canadian ones:

Greek stocks suffered their steepest daily fall in more than a quarter century on Tuesday and its bond yields jumped after Prime Minister Antonis Samaras brought forward a presidential election in a gamble over his, and the country’s future.

If Mr. Samaras fails to secure victory in parliament for his presidential candidate, snap national elections will be called that the leftist Syriza party – a fierce opponent of Greece’s bailout deal with the European Union and IMF – is likely to win.
…
The Athens general stock index tumbled 12.8 pe rcent, its biggest loss in a day since 1987. An index of Greece’s listed banks fell 14.7 per cent, with Attica Bank down 27.5 per cent.

The decision sent 10-year Greek government bond yields up 74 basis points to 8.09 per cent.

Canadian preferred share investors are currently looking for indicators to guide them through current market turmoil:

The Canadian preferred share market took another good whacking today, with PerpetualDiscounts losing 41bp, FixedResets down 39bp and DeemedRetractibles off 20bp. The performance highlights table contains its usual lengthy list of FixedReset losers, but it is of interest to note that a large number of the credit-uncertain Enbridge issues were included. Volume was above average.

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

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

Here’s TRP:

So according to this, TRP.PR.A, bid at 21.37, is $0.44 cheap, but it has already reset. TRP.PR.B, bid at 17.46, is $0.18 cheap, but it resets 2015-6-30. TRP.PR.C, bid at 19.55, is $0.21 expensive, but it resets 2016-1-30. The TRP issues seem to be steadily rationalizing.

The MFC series is just weird.

Clearly MFC.PR.F, resetting at +141 on 2016-06-19, is out of step with the others and is screwing up the calculation. To the extent that one can trust both Implied Volatility Theory AND the market’s reasonably more-or-less consistent application of it, MFC.PR.F should be bid significantly higher than its current 20.00 and the calculated Implied Volatility should be higher than the distorted value of 28%. The fit is pretty poor – all one can really tell is that the Spread is more than about 80bp and the Implied Volatility is more than about 13%.

The BAM series is now also a little out of whack:

BAM.PR.X, with a +180bp spread, bid at 20.91, looks $0.68 cheap and doesn’t reset until 2017-6-30 – but Implied Volatility continues to drop rapidly (a reduction in Implied Volatility flattens the curve and causes low-spread issues to underperform). BAM.PR.R, with a +230bp spread, bid at 25.34, looks $1.43 rich and resets 2016-6-30. So go figure that one out, wise guy.

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 19.82, looks $0.35 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp, and bid at 24.62, looks $0.53 expensive and resets 2019-3-1

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	-0.2129 %	2,523.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2129 %	3,994.7
Floater	2.99 %	3.11 %	62,134	19.38	4	-0.2129 %	2,682.3
OpRet	4.41 %	-6.18 %	28,767	0.08	2	-0.2345 %	2,752.0
SplitShare	4.29 %	4.01 %	39,096	3.73	5	0.0202 %	3,178.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2345 %	2,516.4
Perpetual-Premium	5.44 %	-1.52 %	72,150	0.09	20	0.0196 %	2,476.9
Perpetual-Discount	5.19 %	5.12 %	112,430	15.22	15	-0.4110 %	2,639.6
FixedReset	4.27 %	3.74 %	199,857	16.40	75	-0.3933 %	2,520.7
Deemed-Retractible	5.00 %	1.77 %	102,744	0.21	40	-0.2029 %	2,598.2
FloatingReset	2.54 %	1.89 %	60,996	3.47	5	0.0000 %	2,550.6

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.L	FixedReset	-3.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.06 Bid-YTW : 4.22 %
MFC.PR.F	FixedReset	-3.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 5.72 %
ENB.PR.H	FixedReset	-3.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 20.68 Evaluated at bid price : 20.68 Bid-YTW : 4.45 %
ENB.PF.C	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 22.73 Evaluated at bid price : 23.93 Bid-YTW : 4.31 %
ENB.PR.Y	FixedReset	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 4.40 %
ENB.PF.G	FixedReset	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 22.68 Evaluated at bid price : 23.86 Bid-YTW : 4.36 %
ENB.PF.A	FixedReset	-1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 22.73 Evaluated at bid price : 23.90 Bid-YTW : 4.33 %
ENB.PF.E	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 22.71 Evaluated at bid price : 23.90 Bid-YTW : 4.33 %
ENB.PR.F	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 22.53 Evaluated at bid price : 23.25 Bid-YTW : 4.24 %
ENB.PR.P	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 22.21 Evaluated at bid price : 22.80 Bid-YTW : 4.33 %
MFC.PR.B	Deemed-Retractible	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 5.72 %
CU.PR.C	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.55 %
BAM.PR.R	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 23.83 Evaluated at bid price : 25.34 Bid-YTW : 3.79 %
CU.PR.D	Perpetual-Discount	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 23.61 Evaluated at bid price : 24.00 Bid-YTW : 5.12 %
GWO.PR.I	Deemed-Retractible	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.69 Bid-YTW : 5.71 %
BAM.PR.X	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 20.91 Evaluated at bid price : 20.91 Bid-YTW : 4.18 %
TRP.PR.C	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 3.97 %
SLF.PR.B	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.92 Bid-YTW : 5.35 %
ENB.PR.J	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 22.71 Evaluated at bid price : 23.74 Bid-YTW : 4.28 %
ENB.PR.N	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 22.67 Evaluated at bid price : 23.60 Bid-YTW : 4.28 %
CU.PR.E	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 23.61 Evaluated at bid price : 24.00 Bid-YTW : 5.12 %
SLF.PR.D	Deemed-Retractible	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 5.71 %
CGI.PR.D	SplitShare	1.09 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.09 Bid-YTW : 3.71 %
MFC.PR.M	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 3.76 %
TRP.PR.B	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 17.46 Evaluated at bid price : 17.46 Bid-YTW : 3.95 %
SLF.PR.G	FixedReset	3.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.75 Bid-YTW : 5.66 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSE.PR.C	FixedReset	619,946	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 23.16 Evaluated at bid price : 25.01 Bid-YTW : 4.46 %
BMO.PR.P	FixedReset	133,054	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 0.37 %
IAG.PR.E	Deemed-Retractible	125,050	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 26.00 Evaluated at bid price : 25.97 Bid-YTW : 4.17 %
TRP.PR.A	FixedReset	113,648	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 3.95 %
ENB.PR.D	FixedReset	83,910	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 22.41 Evaluated at bid price : 23.00 Bid-YTW : 4.17 %
TD.PF.B	FixedReset	77,745	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 23.21 Evaluated at bid price : 25.07 Bid-YTW : 3.63 %
There were 39 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.L	FixedReset	Quote: 24.06 – 25.06 Spot Rate : 1.0000 Average : 0.5532 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.06 Bid-YTW : 4.22 %
PVS.PR.C	SplitShare	Quote: 25.61 – 26.83 Spot Rate : 1.2200 Average : 0.8660 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 4.01 %
ELF.PR.H	Perpetual-Premium	Quote: 25.35 – 26.00 Spot Rate : 0.6500 Average : 0.4410 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 24.88 Evaluated at bid price : 25.35 Bid-YTW : 5.49 %
GWO.PR.N	FixedReset	Quote: 19.36 – 19.99 Spot Rate : 0.6300 Average : 0.4257 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.36 Bid-YTW : 5.81 %
TRP.PR.C	FixedReset	Quote: 19.55 – 20.14 Spot Rate : 0.5900 Average : 0.4054 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 3.97 %
TRP.PR.D	FixedReset	Quote: 24.90 – 25.34 Spot Rate : 0.4400 Average : 0.2816 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-09 Maturity Price : 23.18 Evaluated at bid price : 24.90 Bid-YTW : 3.80 %

Assiduous Reader JP, who often sends me interesting snippets, unlike youse other bums, brings to my attention a small preferred share issue from China:

Industrial and Commercial Bank of China will issue US$5.7 billion worth of preferred shares in three currencies in what will be the largest offshore issuance of hybrid securities from a mainland firm.

ICBC proposed issuing US$2.94 billion in dollar-denominated shares, €600 million (HK$5.73 billion) and 12 billion yuan (HK$15.13 billion) all priced at 6 per cent, according to a regulatory filing.

The shares will count as additional tier-1 capital, boosting the bank’s capital adequacy ratio as defined by Basel III, an international accord aimed at raising the viability of banks and avoiding public bailouts.

The record deal also marked the first time a mainland bank issued offshore preferred shares denominated in three currencies.

ICBC International was the sole global coordinator and UBS, Bank of America Merrill Lynch and Goldman Sachs were joint book-runners on the deal.

It’s nice to see some real progress on solar power efficiency:

UNSW’s solar researchers have converted over 40% of the sunlight hitting a solar system into electricity, the highest efficiency ever reported.

The world-beating efficiency was achieved in outdoor tests in Sydney, before being independently confirmed by the National Renewable Energy Laboratory (NREL) at their outdoor test facility in the United States.

The work was funded by the Australian Renewable Energy Agency (ARENA) and supported by the Australia–US Institute for Advanced Photovoltaics (AUSIAPV).

“This is the highest efficiency ever reported for sunlight conversion into electricity,” UNSW Scientia Professor and Director of the Australian Centre for Advanced Photovoltaics (ACAP) Professor Martin Green said.

The price wasn’t mentioned, but the basic idea comes first, right? Then give it to the engineers to make it cheap. Too bad this research wasn’t done in Ontari-ari-ari-owe, but we blew our solar budget on political grandstanding.

After posting the MAPF November statements, I posted the following on the Canada Post Facebook Page:

I just sent a batch of letters with Madonna & Child stamps when a thought struck me and caused me to check your website.

I see your “Holiday 2014” collection is dominated by Santa Claus – rather childish in my view, but the important thing is that they are stamps and you stick them on letters and they get delivered.

But why are there no stamps with an Islamic theme? No Jewish stamps? No stamps for Kwanzai, Bohdi Day, Pancha Ganapati or Yule? It would make things more interesting.

It was an awful day for equities:

Oil, bank and raw-materials are the biggest laggards in Canada for the first time since at least 1988, fueling concern the nation’s economy is fading just as the U.S. is taking off.

The three industries, which collectively account for two-thirds of the Standard & Poor’s/TSX Composite Index, are the worst performers among 10 groups this year, according to data compiled by Bloomberg. The nation’s largest banks joined oil and materials in a rout that erased 4.1 percent from the benchmark index in three days, including the biggest one-day retreat since June 2013.

The selloff in the biggest pillars of the Canadian equity market comes as data showing a weaker jobs market coupled with slowing exports suggest a tentative economic recovery. Banks have slumped as earnings last week collectively missed estimates amid declining trading revenue and sluggish consumer borrowing. Meanwhile, the S&P 500 Index has reached all-time highs on signs of accelerating growth.
…
The S&P 500/TSX tumbled 329.53 points, or 2.3 percent, to 14,144.17 yesterday as the selloff in oil accelerated, with energy companies plunging the most since August 2011 as crude dropped to a five-year low.
…
The Canadian benchmark equity gauge has plunged 9.7 percent since reaching a record on Sept. 3, wiping out more than C$270 billion in market value and reducing its gain for the year to 3.8 percent. The S&P/TSX, which was the second-best performing market among developed nations through the first half of the year, now ranks 16th.

Happy crowds of preferred share investors held parades for their portfolios today.

And with TXPR and TXPL down 0.76% and 0.96%, why not?

It was an appallingly poor day for the Canadian preferred share market, with PerpetualDiscounts off 24bp, FixedResets losing 85bp and DeemedRetractibles down 36bp. There is a very lengthy list of losers, dominated by FixedResets. Volume was high.

And given these massive changes, let’s have another look at some pictures of Implied Volatility. 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:

So according to this, TRP.PR.A, bid at 21.36, is $0.57 cheap, but it has already reset. TRP.PR.B, bid at 17.20, is $0.55 cheap, but it resets 2015-6-30. TRP.PR.C, bid at 19.75, is $0.30 expensive, but it resets 2016-1-30. It looks like the market is beginning to realize that TRP.PR.C is overpriced.

MFC implied volatility is still very high. The low-spread MFC.PR.F looks a little cheap … and it doesn’t reset until 2016-6-19.

BAM.PR.X, with a +180bp spread, bid at 21.15, looks $0.79 cheap and doesn’t reset until 2017-6-30 – but Implied Volatility is still a little high and is dropping rapidly (a reduction in Implied Volatility flattens the curve and causes low-spread issues to underperform). BAM.PR.R, with a +230bp spread, bid at 25.51, looks $1.56 rich and resets 2016-6-30. So go figure that one out, wise guy.

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 20.00, looks $0.41 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp, and bid at 24.70, looks $0.54 expensive and resets 2019-3-1

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	-0.3254 %	2,528.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.3254 %	4,003.2
Floater	2.98 %	3.09 %	62,509	19.42	4	-0.3254 %	2,688.0
OpRet	4.40 %	-11.74 %	26,639	0.08	2	-0.0195 %	2,758.5
SplitShare	4.30 %	3.92 %	40,711	3.73	5	-0.2697 %	3,177.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0195 %	2,522.4
Perpetual-Premium	5.44 %	-1.70 %	70,645	0.08	20	-0.4542 %	2,476.4
Perpetual-Discount	5.17 %	5.11 %	113,618	15.27	15	-0.2392 %	2,650.5
FixedReset	4.25 %	3.71 %	182,150	16.54	74	-0.8512 %	2,530.6
Deemed-Retractible	4.99 %	0.67 %	103,056	0.14	40	-0.3755 %	2,603.5
FloatingReset	2.54 %	1.89 %	60,065	0.08	5	-0.0861 %	2,550.6

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.C	FixedReset	-3.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 3.92 %
ENB.PR.T	FixedReset	-3.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 22.28 Evaluated at bid price : 22.95 Bid-YTW : 4.30 %
PWF.PR.P	FixedReset	-3.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 3.87 %
MFC.PR.F	FixedReset	-3.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 5.27 %
SLF.PR.G	FixedReset	-3.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 6.06 %
ENB.PR.P	FixedReset	-2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 22.39 Evaluated at bid price : 23.12 Bid-YTW : 4.26 %
MFC.PR.I	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 3.73 %
GWO.PR.N	FixedReset	-2.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.33 Bid-YTW : 5.83 %
HSE.PR.A	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.21 %
ENB.PR.J	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 22.84 Evaluated at bid price : 24.02 Bid-YTW : 4.21 %
ENB.PR.F	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 22.72 Evaluated at bid price : 23.60 Bid-YTW : 4.17 %
ENB.PF.E	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 22.88 Evaluated at bid price : 24.31 Bid-YTW : 4.24 %
ENB.PF.G	FixedReset	-1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 22.88 Evaluated at bid price : 24.35 Bid-YTW : 4.25 %
ENB.PF.A	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 22.92 Evaluated at bid price : 24.35 Bid-YTW : 4.22 %
MFC.PR.M	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 3.95 %
MFC.PR.C	Deemed-Retractible	-1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.41 Bid-YTW : 5.89 %
BNS.PR.Y	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.67 Bid-YTW : 3.44 %
IGM.PR.B	Perpetual-Premium	-1.52 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 5.00 %
ENB.PF.C	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 22.94 Evaluated at bid price : 24.44 Bid-YTW : 4.19 %
SLF.PR.A	Deemed-Retractible	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.11 Bid-YTW : 5.20 %
GWO.PR.Q	Deemed-Retractible	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.06 %
BAM.PR.T	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 23.36 Evaluated at bid price : 24.61 Bid-YTW : 3.88 %
SLF.PR.E	Deemed-Retractible	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 5.66 %
ENB.PR.D	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 22.44 Evaluated at bid price : 23.05 Bid-YTW : 4.16 %
POW.PR.G	Perpetual-Premium	-1.30 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 4.57 %
ENB.PR.H	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 4.30 %
ELF.PR.H	Perpetual-Premium	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 24.83 Evaluated at bid price : 25.30 Bid-YTW : 5.50 %
PWF.PR.T	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 23.39 Evaluated at bid price : 25.50 Bid-YTW : 3.71 %
SLF.PR.B	Deemed-Retractible	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 5.20 %
PWF.PR.R	Perpetual-Premium	-1.10 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.06 Bid-YTW : 4.85 %
GWO.PR.I	Deemed-Retractible	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 5.53 %
SLF.PR.I	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 2.56 %
BAM.PF.C	Perpetual-Discount	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 21.27 Evaluated at bid price : 21.56 Bid-YTW : 5.72 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.P	FixedReset	259,575	Desjardins crossed 200,000 at 25.32. TD crossed 53,600 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 0.73 %
TRP.PR.A	FixedReset	182,016	Will reset to 3.266% effective December 31. Nesbitt crossed 30,000 at 21.36. TD crossed 25,000 at the same price and Scotia crossed 30,000 at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 3.95 %
ENB.PR.T	FixedReset	102,709	RBC crossed 50,700 at 23.15 and 21,800 at 23.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 22.28 Evaluated at bid price : 22.95 Bid-YTW : 4.30 %
BAM.PF.F	FixedReset	87,304	Desjardins crossed 75,000 at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 4.09 %
FTS.PR.M	FixedReset	73,932	RBC crossed 70,000 at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 3.69 %
MFC.PR.M	FixedReset	54,843	Scotia crossed 35,000 at 25.25. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 3.95 %
There were 41 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.A	Floater	Quote: 19.20 – 20.20 Spot Rate : 1.0000 Average : 0.6772 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-08 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 2.75 %
MFC.PR.I	FixedReset	Quote: 25.42 – 25.95 Spot Rate : 0.5300 Average : 0.3221 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 3.73 %
IGM.PR.B	Perpetual-Premium	Quote: 26.00 – 26.46 Spot Rate : 0.4600 Average : 0.2744 YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 5.00 %
MFC.PR.M	FixedReset	Quote: 24.81 – 25.23 Spot Rate : 0.4200 Average : 0.2506 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 3.95 %
MFC.PR.F	FixedReset	Quote: 20.75 – 21.20 Spot Rate : 0.4500 Average : 0.2812 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 5.27 %
MFC.PR.C	Deemed-Retractible	Quote: 22.41 – 23.10 Spot Rate : 0.6900 Average : 0.5286 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.41 Bid-YTW : 5.89 %

Jobs, jobs, jobs!

A November surprise that included a jump in wages as well as the biggest hiring surge in almost three years suggests the world’s largest economy is putting aside doubts about the strength of the expansion.

The 321,000 advance in payrolls followed a 243,000 increase in October that was stronger than previously reported, Labor Department figures showed today in Washington. The jobless rate held at a six-year low of 5.8 percent and earnings rose by the most since June of last year.
…
The breadth of industries hiring last month was the broadest since 1998, a sign the benefits of the expansion were rippling through the economy.

Factory payrolls rose by the most in a year, professional and business services companies took on more employees than at any time since November 2010, financial firms boosted payrolls by the most since early 2012 and hiring at retailers picked up.
…
The yield on the benchmark 10-year Treasury note rose to 2.31 percent at 2:47 p.m. in New York from 2.24 percent late yesterday. The Bloomberg Dollar Spot Index, which tracks the greenback against 10 trading partners, gained 0.8 percent, and the Standard & Poor’s 500 Index advanced 0.2 percent.

Up north, not so much:

The Canadian dollar reached a five-year low as data showed the economy lost jobs in November while U.S. payrolls swelled, adding to speculation the Federal Reserve will raise interest rates before the Bank of Canada.

The currency erased a weekly gain as the report showed employment fell by 10,700 jobs. The drop bolstered a Bank of Canada statement this week that, while the recovery shows signs of broadening, the labor market “continues to indicate significant slack in the economy.” The nation added 117,200 jobs over the previous two months.
…
Canadian government bonds fell, pushing the yield on the benchmark 10-year security up five basis points, or 0.05 percentage point, to 1.96 percent. It reached 1.98 percent, the highest level since Nov. 25. The price of the debt dropped 46 cents to C$104.67.

Employment declined after jumps of 43,100 and 74,100 the last two months, Statistics Canada said today from Ottawa. The unemployment rate rose to 6.6 percent from a six-year low of 6.5 percent. Economists surveyed by Bloomberg News projected employment would be unchanged and the jobless rate would rise to 6.6 percent, according to median forecasts.

And things are still sluggish in Germany:

But Germany’s Bundesbank halved its 2015 growth forecast for Germany to 1.0 per cent and also cut its estimate for this year to 1.4 per cent from a forecast of 1.9 per cent made in June. It also trimmed its prediction for 2016 to 1.6 per cent.

“However, there is reason to hope that the current sluggish phase will prove to be short-lived,” Bundesbank President Jens Weidmann said in a statement, adding that opportunities abroad would likely increase again next year.

He also said that if crude oil prices remained subdued for a longer period, gross domestic product (GDP) could expand by an additional 0.1-0.2 percentage points in both 2015 and 2016.

… and in Italy:

Standard & Poor’s cut Italy’s sovereign credit rating on Friday from triple-B to triple-B-minus, just one notch above junk, saying weak growth and poor competitiveness undermined the sustainability of its huge public debt.

The downgrade is a blow for Prime Minister Matteo Renzi, who came to office in February pledging an ambitious reform agenda to lift Italy out of recession, but has seen the economy continue to shrink.

S&P said the new triple-B-minus rating carried a stable outlook. It forecast Italian economic growth would be just 0.2 per cent in 2015 and would average 0.5 per cent in 2014-2017.

As recently as June, the agency had confirmed Italy’s triple-B rating and forecast average growth of 1.0 per cent over the three-year period.

Italy’s economy is expected to shrink in 2014 for the third consecutive year.

There’s an interesting paper by Gregory Thwaites titled Why are real interest rates so low? Secular stagnation and the relative price of investment goods:

Over the past four decades, real interest rates have risen then fallen across the industrialised world. Over the same period, nominal investment rates are down, while house prices and household debt are up. I explain these four trends with a fifth – the widespread fall in the relative price of investment goods. I present a simple closed-economy OLG model in which households finance retirement in part by selling claims on the corporate sector (capital goods) accumulated over their working lives. As capital goods prices fall, the interest rate must fall to reflect capital losses. And in the long run, a given quantity of saving buys more capital goods. This has ambiguous effects on interest rates in the long run: if the production function is inelastic, in line with most estimates in the literature, interest rates stay low even after relative prices have stopped falling. Lower interest rates reduce the user cost of housing, raising house prices and, given that housing is bought early in life, increasing household debt. I extend the model to allow for a heterogeneous bequest motive, and show that wealth inequality rises but consumption inequality falls. I test the model on cross-country data and find support for its assumptions and predictions. The analysis in this paper shows recent debates on macroeconomic imbalances and household and government indebtedness in a new light. In particular, low real interest rates may be the new normal. The debt of the young provides an alternative outlet for the retirement savings of the old; preventing the accumulation of debt, for example through macroprudential policy, leads to a bigger fall in interest rates.
…
This paper fleshes out a new, complementary explanation for the falls in real interest rates, rises in household debt and falling investment rates across the industrialised world. The story is based on the widespread fall in the price of investment goods – the machines, equipment and buildings that firms buy – relative to the prices of other things the economy produces. This fall has reduced the demand for savings, rather than the supply.

This makes sense to me. When you’re starting a business, you don’t (usually) need $100-million for a new factory any more; $10,000 for a couple of new computers will (often) do the trick. Thanks to Ian McGugan of the Globe for writing a review.

It’s a black day … the UK is redeeming some perps:

U.K. Chancellor George Osborne is to repay the state’s century-old war debt. By current standards, the undated stock is expensive for the government to service. Terms give holders of the hard-to-trade bond a decent payoff. It looks like a win-win. Time could prove a harsher judge of the deal.

The British government issued its War Loan in 1917. At first, the undated debt offered a yield of 5 per cent. It was restructured in 1947 to pay 3.5 per cent. Even that lower figure looks expensive by current standards. Weak economic growth and low inflation have suppressed long-dated yields. Ten-year UK government debt gives only 2 per cent at present.

I’ve always been fond of the British perps … fortunately, my all-time favourite, the 2.5% annuities issued in 1853 are still outstanding … all £1-million of them!

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

As of December 1, 2014, the Portfolio consisted of 72.0% Canadian common stock, 22.0% REITs, 4.0% limited partnerships and 2.0% Canadian preferred stock. The rating was last confirmed in December 2013 and performance has been generally positive in the first half year of 2014, but has since been volatile. Downside protection available to holders of the Preferred Securities rose to 29.9% in June 2014, but has since been volatile, dropping to approximately 20.0% at the end of November 2014 (similar to November 2013 levels). The yield on the Portfolio has decreased slightly, causing the distribution coverage ratio to drop to 0.70 times (as of November 28, 2014). 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 the grind on the Portfolio due to distributions exceeding income.

I suggest that preferred share investors stop looking at their monitors and go for a nice walk … like this guy:

It was another awful day for the Canadian preferred share market, with PerpetualDiscounts losing 38bp, FixedResets down 36bp and DeemedRetractibles off 5bp. Another lengthy Performance Report is – again – dominated by losing FixedResets which are – again – predominantly lower spread and Enbridge issues. Despite four issues (recent heavy losers) breaking the 100,000 share barrier, volume was slightly below average.

All this poor performance by the lower-reset issues should imply a decrease in Implied Volatility, so here are some pictures:

So according to this, TRP.PR.A, bid at 21.40, is $0.74 cheap, but it has already reset. TRP.PR.B, bid at 17.37, is $0.60 cheap, but it resets 2015-6-30. TRP.PR.C, bid at 20.52, is $0.86 expensive, but it resets 2016-1-30. So an alternative way of resolving the differences between these three issues is to expect the GOC-5 yield to stay at 1.48% until TRP.PR.B resets, but to increase to about 1.72% prior to TRP.PR.C resetting.

MFC volatility is still very high. The low-spread MFC.PR.F looks a little cheap … and it doesn’t reset until 2016-6-19.

BAM.PR.X, with a +180bp spread, bid at 21.40, looks $1.06 cheap and doesn’t reset until 2017-6-30. BAM.PR.R, with a +230bp spread, bid at 25.71, looks $1.48 rich and resets 2016-6-30. So go figure that one out, wise guy.

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 20.01, looks $0.39 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp, and bid at 24.81, looks $0.56 expensive and resets 2019-3-1.

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	0.7412 %	2,536.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.7412 %	4,016.3
Floater	2.97 %	3.08 %	62,774	19.45	4	0.7412 %	2,696.8
OpRet	4.40 %	-11.75 %	26,721	0.08	2	-0.0195 %	2,759.0
SplitShare	4.28 %	3.84 %	40,220	3.74	5	-0.3663 %	3,186.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0195 %	2,522.8
Perpetual-Premium	5.41 %	-2.53 %	73,249	0.09	20	0.0117 %	2,487.7
Perpetual-Discount	5.16 %	5.06 %	114,478	15.34	15	-0.3773 %	2,656.8
FixedReset	4.21 %	3.63 %	194,795	16.75	74	-0.3560 %	2,552.4
Deemed-Retractible	4.97 %	-0.83 %	102,250	0.15	40	-0.0505 %	2,613.3
FloatingReset	2.53 %	1.87 %	59,644	3.48	5	0.3221 %	2,552.8

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.G	FixedReset	-2.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.70 Bid-YTW : 5.60 %
GWO.PR.N	FixedReset	-2.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.80 Bid-YTW : 5.46 %
TRP.PR.B	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 17.37 Evaluated at bid price : 17.37 Bid-YTW : 3.85 %
PWF.PR.P	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 3.65 %
ENB.PR.B	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 22.92 Evaluated at bid price : 23.73 Bid-YTW : 3.96 %
CGI.PR.D	SplitShare	-1.51 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 3.84 %
TRP.PR.C	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 3.68 %
MFC.PR.C	Deemed-Retractible	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.79 Bid-YTW : 5.67 %
ENB.PR.H	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 21.33 Evaluated at bid price : 21.63 Bid-YTW : 4.15 %
ENB.PR.N	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 22.90 Evaluated at bid price : 24.10 Bid-YTW : 4.10 %
ENB.PR.D	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 22.62 Evaluated at bid price : 23.36 Bid-YTW : 4.02 %
PWF.PR.S	Perpetual-Discount	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 24.10 Evaluated at bid price : 24.50 Bid-YTW : 4.93 %
BAM.PR.B	Floater	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 17.18 Evaluated at bid price : 17.18 Bid-YTW : 3.08 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSE.PR.A	FixedReset	145,346	Nesbitt crossed 127,800 at 19.63. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.02 %
TRP.PR.A	FixedReset	132,032	Will reset at 3.266%. Nesbitt crossed 50,000 at 21.36. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 3.85 %
ENB.PF.G	FixedReset	122,942	RBC crossed blocks of 77,600 shares, 15,000 and 21,100, all at 24.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 23.05 Evaluated at bid price : 24.81 Bid-YTW : 4.08 %
ENB.PF.C	FixedReset	102,155	Desjardins sold blocks of 49,200 and 46,300 to anonymous, both at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 23.08 Evaluated at bid price : 24.80 Bid-YTW : 4.05 %
TD.PR.S	FixedReset	98,336	TD crossed 90,000 at 25.42. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 3.03 %
TRP.PR.E	FixedReset	67,400	RBC crossed 62,000 at 25.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 23.30 Evaluated at bid price : 25.40 Bid-YTW : 3.67 %
There were 24 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PVS.PR.C	SplitShare	Quote: 25.90 – 26.90 Spot Rate : 1.0000 Average : 0.8043 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-10 Maturity Price : 25.50 Evaluated at bid price : 25.90 Bid-YTW : 3.17 %
TD.PR.R	Deemed-Retractible	Quote: 26.27 – 26.88 Spot Rate : 0.6100 Average : 0.4440 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-04 Maturity Price : 25.75 Evaluated at bid price : 26.27 Bid-YTW : -12.23 %
ENB.PR.B	FixedReset	Quote: 23.73 – 24.23 Spot Rate : 0.5000 Average : 0.3427 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 22.92 Evaluated at bid price : 23.73 Bid-YTW : 3.96 %
MFC.PR.H	FixedReset	Quote: 25.90 – 26.45 Spot Rate : 0.5500 Average : 0.4146 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 2.90 %
MFC.PR.C	Deemed-Retractible	Quote: 22.79 – 23.27 Spot Rate : 0.4800 Average : 0.3517 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.79 Bid-YTW : 5.67 %
FTS.PR.F	Perpetual-Discount	Quote: 24.51 – 25.00 Spot Rate : 0.4900 Average : 0.3672 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-05 Maturity Price : 24.07 Evaluated at bid price : 24.51 Bid-YTW : 5.01 %

Europe is inching towards quantitative easing:

Mario Draghi dragged the European Central Bank toward more monetary stimulus with a pledge to assess the need early next year, disappointing some investors seeking faster action.

Even as he unveiled “substantially” lower forecasts for euro-area inflation and economic growth, the ECB president said officials will wait to evaluate whether they’re doing enough to revive the weakest consumer-price growth in five years. They are already intensifying preparations for further measures, including studying the merits of buying government debt.

If policy makers do see a need to combat a prolonged period of low inflation then “this would imply altering early next year the size, pace and composition of our measures,” Draghi told reporters in Frankfurt after his Governing Council met to set policy for the last time in 2014. “We don’t need unanimity” on the 24-member council to act, he said.

The ECB Governing Council expects to consider a proposal for a broad-based asset program including sovereign debt next month, according to two euro-area central-bank officials familiar with deliberations who asked not to be identified because the discussion is private. The package is envisaged to include various types of bonds, but no equities, and has yet to be designed, the people said.

Canadian equities got hammered:

Canadian stocks fell the most in more than a year as the nation’s biggest banks posted results that missed estimates and energy shares resumed a selloff with the price of crude.

Toronto-Dominion Bank (TD), the country’s largest lender by assets, tumbled the most in more than five years after posting fourth-quarter profit short of estimates. Energy stocks tumbled 2.1 percent as a group as oil fell. Canadian Oil Sands Ltd. (COS) sank 16 percent to a decade low after slashing its dividend. Enbridge Inc. jumped 10 percent to a record on plans to transfer C$17 billion ($14.9 billion) in assets to a fund.

The Standard & Poor’s/TSX Composite Index (SPTSX) slumped 284.11 points, or 1.9 percent, to 14,469.95 at 4 p.m. in Toronto, the biggest drop since June 2013. The equities benchmark pared its gain to 6.2 percent this year.
…
All of the 10 industries in the S&P/TSX dropped at least 0.6 percent on trading volume 45 percent higher than the 30-day average today. Global equities slumped after the European Central Bank said policy makers will reassess stimulus next quarter, damping hopes for additional bond purchases this year.

And whenever there’s a big market move there’s only one party at fault:

A nearly 1 per cent drop in the S&P/TSX composite index in the final hour of trading Thursday was due to a large order from Goldman Sachs to sell a basket of Canadian stocks, according to a note from the Bank of Montreal.

Canada’s main stock index recorded one of its biggest declines of the year on Thursday, as investors reacted to another push lower in the price of crude oil as well as a disappointing earnings report from Toronto-Dominion Bank.

According to BMO, the Goldman Sachs sell order was for approximately $600-million in a broad selection of Canadian stocks, but many were in the banking and energy sectors. The heaviest volumes sold by Goldman were shares in Royal Bank of Canada, TD Bank, Bank of Nova Scotia, Bank of Montreal, Canadian Natural Resources, Enbridge and Suncor.

The TSX closed down 284.1 points, or 1.93 per cent, at 14,469.95, far outpacing the 0.12 per cent fall in the S&P 500. The Canadian index had been down nearly 1 per cent prior to 3 p.m. (ET), which is around when the Goldman order was believed to be transacted.

The feds are shilling for the Toronto Exchange:

The Canadian government has approved Burger King Worldwide Inc.’s purchase of Tim Hortons Inc. on condition it maintains employment levels and list the company in Toronto.

To win approval under the nation’s foreign takeover law, Burger King has agreed to “work with Tim Hortons (THI) franchisees” to maintain employment levels across Canada, and accelerate expansion of new restaurants outside Canada at a “significantly greater pace than currently planned,” Industry Minister James Moore said in a statement.
…
Burger King has also agreed to establish the new company’s headquarters in Oakville, Ontario and list on the Toronto Stock Exchange, according to the statement. Other commitments include managing Tim Hortons as a “distinct brand” that won’t be co-branded with Burger King and the maintenance of franchise rent and royalty structure at current levels for the next five years.

Yay! Micromanagement and central planning! Soon we’ll all be RICH!

Bond salesmen won’t be rich, though (emphasis added):

Four of Canada’s six biggest banks have posted quarterly declines in trading, dragged down by plunging bond markets in October and one-time changes to how lenders value uncollaterized derivatives.

Toronto-Dominion Bank’s trading revenue dropped 14 percent to C$296 million ($260 million) in the period ended Oct. 31 from a year earlier, led by declines in interest-rate and credit trading, the company said today. The lender recorded a C$65 million pretax charge in its wholesale bank tied to the valuation adjustment.
…
Bank of Montreal (BMO) trading revenue tumbled 21 percent to C$186 million as fixed-income trading plunged 79 percent from a year earlier, the bank said in a Dec. 2 statement. The valuation adjustment reduced revenue by C$39 million.
…
CIBC trading revenue fell 81 percent to C$27 million, with a C$98 million loss in interest-rates trading, the Toronto-based bank said today in a statement. The lender said it recorded an C$82 million after-tax charge tied to funding valuation adjustments.

Trimming Capital

Royal Bank’s total trading revenue slid 43 percent to C$371 million, fueled by a 70 percent drop in trading of interest-rate and credit securities, the Toronto-based bank said yesterday. Royal Bank had a C$51 million after-tax charge tied to the adjustments.

Royal Bank has been trimming the capital devoted to bond trading as global regulations meant to prevent another credit crisis make it one of the lender’s most costly businesses, CFO Janice Fukakusa said.

So bond market liquidity just got a little worse. Just in time for the long-awaited crash due to policy rate changes!

I try to restrain myself from ranting on non-preferred share issues on this soap-box, but every now and then something irritates me enough that I think it would be a shame to deprive you of my views. Today’s rant is about a Bloomberg story titled Princeton Has a Shadow Fraternity System Nobody Controls. So in the first place, the headline is nonsense. The ‘shadow fraternity system’ certainly is under control by somebody, how could it be otherwise? The writer is merely upset that it’s not controlled by people of whom he approves.

When Princeton officials learned that a student had mass-emailed a photo of a woman performing oral sex at one of its 11 eating clubs (social clubs that resemble fraternities), it quietly began investigating the matter. Despite the fact that passing around a photo of a sex act without the consent of those pictured is a crime in New Jersey, the university did not inform local police. The school’s squeamish approach to the incident raises questions about how it can discipline its students — and abide by stricter government guidelines for handling sexual assault — when so much of social life at the institution lives outside the walls of campus.
…
“Our investigation began as soon as we received a report, just days after the alleged incident,” says Martin Mbugua, a University spokesman. The Princeton Police Department only found out about the email three weeks later, when an anonymous third party notified the police chief. Any misbehavior at the Tiger Inn, headquartered in a stately mansion on a street just off the main campus, technically falls under the jurisdiction of local police.

In November, the Department of Education found that Princeton botched its response to reports of sexual assault and the University formally agreed to tighten its handling of alleged sexual crimes. New guidelines implemented by the government require schools to investigate sexual violence reports that occur outside of school grounds if the incident has “continuing effects on campus.”

So the university is on the defensive about not being an official informer, and are expected to be Junior Policemen with respect to sexual violence. Sorry, buddies: these are university students we are talking about here – young men and young women. If they want something to be a police matter, they should be expected to know how to contact the police themselves. Junior Police and a Junior Justice System with the power to expel students are not the answer to anything. But meanwhile, the politicians bleat that 20-year olds are old enough to die in Afghanistan, but not old enough to take responsibility for themselves, and drip crocodile tears over the rising cost of tuition due to administrative overload.

There was one cry on the lips of FixedReset investors today:

One thing I can’t help but highlighting, given the horrible (second-worst) performance of TRP.PR.C today, is the Implied Volatility analysis for the TRP FixedResets:

Assiduous Readers will recognize that the overall appearance of the graph has not changed from the chart published as of the close on December 2, but Alert Assiduous Readers will notice that the fit to theory is much better. On Tuesday I asserted that:

Prices for the TRP issues are very strange: consider that TRP.PR.A, bid at 21.15, is priced lower than TRP.PR.C, which is a FixedReset, 4.40%+154, resetting 2016-1-30, bid at 21.77. … TRP.PR.A is now $1.44 cheap while TRP.PR.C is $1.73 expensive

Well, that was then. Now I say that TRP.PR.A is bid at 21.39 and is $0.89 cheap, while TRP.PR.C is bid at 20.82 and is $1.06 expensive. So according to me, there’s more adjustment yet to come!

Despite that – and despite a reported 42bp decline in TXPR and a 79bp hit for TXPL – it was a mixed day for the Canadian preferred share market today, with PerpetualDiscounts off 6bp, FixedResets down 62bp and DeemedRetractibles gaining 4bp. There is a very lengthy list of performance highlights, just like the old days of 2008, dominated of course by FixedReset losers with a large contingent of Enbridge issues, spooked by the credit muttering. Volume was average.

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	0.0285 %	2,518.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0285 %	3,986.7
Floater	2.99 %	3.10 %	63,408	19.41	4	0.0285 %	2,677.0
OpRet	4.39 %	-11.90 %	27,137	0.08	2	-0.0390 %	2,759.6
SplitShare	4.27 %	3.63 %	41,879	3.75	5	0.0791 %	3,198.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0390 %	2,523.3
Perpetual-Premium	5.41 %	-2.69 %	73,001	0.09	20	0.0605 %	2,487.4
Perpetual-Discount	5.14 %	5.03 %	115,315	15.40	15	-0.0652 %	2,666.9
FixedReset	4.20 %	3.58 %	196,880	8.57	74	-0.6162 %	2,561.5
Deemed-Retractible	4.97 %	-0.69 %	94,662	0.15	40	0.0446 %	2,614.7
FloatingReset	2.54 %	1.88 %	60,146	3.48	5	-0.1569 %	2,544.6

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.A	FixedReset	-4.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 19.61 Evaluated at bid price : 19.61 Bid-YTW : 4.06 %
TRP.PR.C	FixedReset	-3.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 20.82 Evaluated at bid price : 20.82 Bid-YTW : 3.63 %
PWF.PR.P	FixedReset	-3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 3.58 %
GWO.PR.N	FixedReset	-3.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.30 Bid-YTW : 5.16 %
ENB.PR.Y	FixedReset	-2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 22.14 Evaluated at bid price : 22.75 Bid-YTW : 4.17 %
ENB.PR.H	FixedReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 21.63 Evaluated at bid price : 21.91 Bid-YTW : 4.09 %
FTS.PR.H	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 19.97 Evaluated at bid price : 19.97 Bid-YTW : 3.57 %
SLF.PR.G	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 5.30 %
ENB.PR.B	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.10 Evaluated at bid price : 24.10 Bid-YTW : 3.89 %
ENB.PR.D	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 22.78 Evaluated at bid price : 23.66 Bid-YTW : 3.95 %
BAM.PR.X	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 3.98 %
ENB.PR.J	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.08 Evaluated at bid price : 24.60 Bid-YTW : 4.02 %
ENB.PF.E	FixedReset	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.07 Evaluated at bid price : 24.82 Bid-YTW : 4.06 %
ENB.PF.A	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.11 Evaluated at bid price : 24.86 Bid-YTW : 4.05 %
ENB.PR.N	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.03 Evaluated at bid price : 24.41 Bid-YTW : 4.04 %
ENB.PR.T	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 22.78 Evaluated at bid price : 23.92 Bid-YTW : 4.01 %
ENB.PR.P	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 22.80 Evaluated at bid price : 23.92 Bid-YTW : 4.01 %
BAM.PF.B	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.20 Evaluated at bid price : 24.96 Bid-YTW : 3.99 %
TRP.PR.B	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 3.77 %
BAM.PF.A	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 4.13 %
ENB.PF.G	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.09 Evaluated at bid price : 24.92 Bid-YTW : 4.06 %
FTS.PR.J	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 24.04 Evaluated at bid price : 24.45 Bid-YTW : 4.86 %
IAG.PR.A	Deemed-Retractible	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 5.23 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.P	FixedReset	521,700	Desjardins sold 18,500 to Scotia at 24.10, then blocks of 125,500 shares, 241,000 shares, 15,600 and 16,000 to anonymous, all at 24.00, and finally crossed 65,200 at 24.00. Nice tickets! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 22.80 Evaluated at bid price : 23.92 Bid-YTW : 4.01 %
ENB.PF.C	FixedReset	199,713	Desjardins sold blocks of 111,200 and 55,200 to anonymous at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.13 Evaluated at bid price : 24.96 Bid-YTW : 4.01 %
TRP.PR.A	FixedReset	157,332	TD crossed 14,300 at 21.40 and 20,000 at 21.35. RBC crossed 37,300 at 21.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 21.39 Evaluated at bid price : 21.39 Bid-YTW : 3.85 %
MFC.PR.N	FixedReset	120,750	Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.06 Bid-YTW : 3.73 %
ENB.PF.E	FixedReset	67,617	National crossed 26,000 at 25.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.07 Evaluated at bid price : 24.82 Bid-YTW : 4.06 %
ENB.PF.G	FixedReset	37,700	RBC bought 11,500 from anonymous at 25.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.09 Evaluated at bid price : 24.92 Bid-YTW : 4.06 %
There were 29 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PVS.PR.C	SplitShare	Quote: 25.90 – 26.90 Spot Rate : 1.0000 Average : 0.5898 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-10 Maturity Price : 25.50 Evaluated at bid price : 25.90 Bid-YTW : 3.16 %
BAM.PF.E	FixedReset	Quote: 25.25 – 26.25 Spot Rate : 1.0000 Average : 0.5928 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.22 Evaluated at bid price : 25.25 Bid-YTW : 3.93 %
HSE.PR.A	FixedReset	Quote: 19.61 – 20.36 Spot Rate : 0.7500 Average : 0.4868 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 19.61 Evaluated at bid price : 19.61 Bid-YTW : 4.06 %
PWF.PR.P	FixedReset	Quote: 21.50 – 22.19 Spot Rate : 0.6900 Average : 0.4603 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 3.58 %
ENB.PR.Y	FixedReset	Quote: 22.75 – 23.10 Spot Rate : 0.3500 Average : 0.2344 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 22.14 Evaluated at bid price : 22.75 Bid-YTW : 4.17 %
BAM.PR.T	FixedReset	Quote: 25.02 – 25.49 Spot Rate : 0.4700 Average : 0.3566 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-04 Maturity Price : 23.52 Evaluated at bid price : 25.02 Bid-YTW : 3.73 %

The BoC announced its rate decision:

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

Inflation has risen by more than expected. The increase in inflation over the past year is largely due to the temporary effects of a lower Canadian dollar and some sector-specific factors, notably telecommunications and meat prices. Underlying inflation has edged up but remains below 2 per cent.

The U.S. economy has clearly strengthened, particularly business investment, which has benefitted Canada’s exports. Growth in the rest of the world, in contrast, continues to disappoint, leading authorities in some regions to deploy further policy stimulus. Oil prices have continued to fall, due to both supply and demand developments. In this context, global financial conditions have eased further.

Canada’s economy is showing signs of a broadening recovery. Stronger exports are beginning to be reflected in increased business investment and employment. This suggests that the hoped-for sequence of rebuilding that will lead to balanced and self-sustaining growth may finally have begun. However, the lower profile for oil and certain other commodity prices will weigh on the Canadian economy.

The net effect of these recent developments, together with upward revisions to historical data, is that the output gap appears to be smaller than the Bank had projected in the October Monetary Policy Report (MPR). However, the labour market continues to indicate significant slack in the economy.

While inflation is at a higher starting point relative to the October MPR, weaker oil prices pose an important downside risk to the inflation profile. This is tempered by a stronger U.S. economy, Canadian dollar depreciation, and recent federal fiscal measures. Household imbalances, meanwhile, present a significant risk to financial stability. Overall, the balance of risks remains within the zone for which the current stance of monetary policy is appropriate and therefore the target for the overnight rate remains at 1 per cent.

One pundit thinks the bank is preparing for a rate hike in 2015:

RBC Dominion Securities economist Mark Chandler said fading economic slack is “an important part of laying the groundwork for higher rates in 2015.”

… and household debt is increasing:

The central bank has oft cited this threat as household debt burdens rose to record levels. Its latest red flag went up on the same day as two reports underscored the swollen debts among Canadians just as the holiday shopping frenzy begins.

In one report, Equifax Canada said that “Canadian consumers have yet again tipped the scales setting a new benchmark of over $1.513-trillion in debt.”

That third-quarter figure marked an increase from $1.448-trillion in the second quarter and $1.409-trillion a year earlier, according to Equifax, whose numbers are based on more than 25 million unique consumer files.

Excluding mortgages, average debt held by Canadians has increased 2.7 per cent to $20,891.

There is a bright spot, however, in that delinquency rates declined.

Co-operators General Insurance Company, proud issuer of CCS.PR.C was confirmed at Pfd-3(high) by DBRS:

The Co-operators Group, by tradition, has strong presence in rural markets and obtains excellent brand recognition. The property and casualty operations rank in the top six by premiums in Canada. The Group is making efforts to achieve client growth in Québec and is utilizing direct response marketing in Ontario and Alberta. The Group maintains conservative regulatory capital ratios, which supports the rating given the capital raising constraints of a cooperative.

The general insurance business has had difficulty keeping combined ratios at acceptable levels for the rating. The Company is looking at better segmentation to improve results and has been investing in technology and process improvement to achieve a better customer experience. Financial leverage is at reasonable level and supportive of the rating.

Fairfax Financial Holdings Limited, proud issuer of FFH.PR.C, FFH.PR.E, FFH.PR.G, FFH.PR.I and FFH.PR.K, was confirmed at Pfd-3 by DBRS:

Over the long term, Fairfax has generally achieved strong investment results on the investment portfolios it manages for its insurance subsidiaries. With willingness to take advantage of market disruptions and distressed valuations for particular securities and purchase hedges against general market downturns versus the actual portfolio investments, the active investment management generates volatile financial results.

Financial leverage (preferred shares and debt-to-total capital), although declining from September 2013, remains at the upper range for the rating in the mid-thirties. Fixed charge coverage ratios have been very low for the last few years, with low profitability, but the year-to-date (September 2014) results have yielded a desirable ratio. The Company maintains a minimum balance of $1 billion in cash and marketable securities at the holding company for liquidity and contingent subsidiary capital needs, which is viewed as prudent given the earnings volatility.

The Company’s management culture places a high reliance on local management to manage their businesses prudently. The decentralized structure has allowed Fairfax to grow by acquisition globally to take advantage of profitable niches held by existing businesses. DBRS realizes this decentralized management structure contrasts sharply with most Canadian financial institutions, but notes that, if done correctly and with the right businesses and people, it can be a successful strategy, which the Company has been able to demonstrate.

HSBC Bank Canada, proud issuer of HSB.PR.C and HSB.PR.D, has been confirmed at Pfd-2 by DBRS (for NVCC non-compliant shares):

With Canada being a priority market for the HSBC Group, HSBC Bank Canada benefits from the strength of the Parent and the international capabilities and relationships of one of the largest banking groups in the world. HSBC has good intrinsic strengths, including its low cost-to-income ratio and superior customer service model, somewhat offset by geographic and industry concentrations, its historically higher interest-rate risk tolerance and scale challenges in its retail banking and wealth management businesses.

The Bank continues to execute on its strategy of growing its Commercial Banking and its Global Banking and Markets segments. At the same time, HSBC has made strides to increase presence with credit cards, mortgages and wealth products, particularly with its globally affluent customers. Earnings have continued to be good, with ROE in the mid-teens and risk metrics strong, although somewhat lumpy due to the proportions of commercial and wholesale lending.

Notable business changes over the past couple of years are largely complete, allowing the Bank to concentrate on its strategy, although implementing HSBC Group-wide improvements in compliance and risk controls may continue to occupy management attention. The run-off of the consumer finance portfolio is proceeding as planned, as is the repositioning of business banking towards clients with multi-product opportunities and lower compliance risk.

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts losing 20bp, FixedResets off 8bp and DeemedRetractibles down 11bp. Volatility was minor, but exciting anyway. Volume was slightly below average.

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	-0.2134 %	2,517.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2134 %	3,985.6
Floater	2.99 %	3.11 %	63,840	19.39	4	-0.2134 %	2,676.2
OpRet	4.39 %	-12.05 %	27,216	0.08	2	0.0782 %	2,760.6
SplitShare	4.27 %	3.63 %	43,605	3.75	5	0.1347 %	3,195.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0782 %	2,524.3
Perpetual-Premium	5.42 %	-2.85 %	75,995	0.09	20	0.1387 %	2,485.9
Perpetual-Discount	5.14 %	5.03 %	116,328	15.40	15	-0.2037 %	2,668.6
FixedReset	4.17 %	3.57 %	193,501	8.63	74	-0.0849 %	2,577.4
Deemed-Retractible	4.97 %	-0.75 %	98,012	0.16	40	-0.1128 %	2,613.5
FloatingReset	2.54 %	1.89 %	60,591	3.49	5	-0.1097 %	2,548.6

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.A	FixedReset	-5.09 %	This is a real drop, since several trades were executed below 20.50, but the volume around these levels (about 1,600 shares, late in the day) was low relative to the day’s trading of 19,629 shares. The VWAP was $20.99. The weakness is probably related to yesterday’s new issue announcement. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-03 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 3.88 %
BAM.PF.D	Perpetual-Discount	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-03 Maturity Price : 21.90 Evaluated at bid price : 22.23 Bid-YTW : 5.60 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.N	FixedReset	707,152	New issue settled today. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 3.72 %
TRP.PR.A	FixedReset	281,206	Scotia crossed 177,100 at 21.27. Will reset at 3.266% December 31.YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-03 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 3.86 %
ENB.PR.P	FixedReset	71,210	RBC crossed 50,000 at 24.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-03 Maturity Price : 22.93 Evaluated at bid price : 24.23 Bid-YTW : 3.95 %
ENB.PF.C	FixedReset	62,053	RBC crossed 50,000 at 25.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-03 Maturity Price : 23.21 Evaluated at bid price : 25.20 Bid-YTW : 3.96 %
FTS.PR.M	FixedReset	60,325	Nesbitt crossed 50,000 at 25.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 3.62 %
FTS.PR.H	FixedReset	57,062	Nesbitt crossed 50,000 at 20.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-03 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 3.50 %
There were 27 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
SLF.PR.G	FixedReset	Quote: 20.55 – 20.90 Spot Rate : 0.3500 Average : 0.2382 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 5.10 %
MFC.PR.H	FixedReset	Quote: 26.00 – 26.45 Spot Rate : 0.4500 Average : 0.3496 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 2.71 %
BAM.PR.T	FixedReset	Quote: 25.26 – 25.59 Spot Rate : 0.3300 Average : 0.2323 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-03 Maturity Price : 23.60 Evaluated at bid price : 25.26 Bid-YTW : 3.68 %
FTS.PR.J	Perpetual-Discount	Quote: 24.20 – 24.55 Spot Rate : 0.3500 Average : 0.2582 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-03 Maturity Price : 23.81 Evaluated at bid price : 24.20 Bid-YTW : 4.92 %
SLF.PR.D	Deemed-Retractible	Quote: 22.96 – 23.24 Spot Rate : 0.2800 Average : 0.1897 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.96 Bid-YTW : 5.49 %
IFC.PR.A	FixedReset	Quote: 24.34 – 24.65 Spot Rate : 0.3100 Average : 0.2234 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.34 Bid-YTW : 3.90 %

They’re playing a sad song in Australia:

Australia’s economy expanded slower than economists forecast in the third quarter, underscoring the central bank’s decision to keep interest rates at a record low. The currency fell to its lowest since July 2010.

Gross domestic product advanced 0.3 percent from the previous three months, when it rose 0.5 percent, a Bureau of Statistics report released in Sydney today showed. The result compared with a median estimate of a 0.7 percent gain from a Bloomberg News survey of 29 economists.

The Reserve Bank of Australia has kept its benchmark rate unchanged at a record low for 16 months as it seeks to encourage spending by consumers and companies to offset falling mining investment. Australian firms, outside of property, have opted to pay dividends or salt away cash rather than invest in new projects as they wait for higher household demand, which has been damped by an 11-year-high unemployment rate.

and there are funding cuts all over:

Funding cuts at Australia’s leading scientific institution CSIRO have led to world-leading researchers seeing their positions abolished. At least one of these, Dr. San Thang, is so committed to his work that he has continued his role unpaid. What makes the story even more poignant is that at the same time Thang was let go, there was speculation he might share a Nobel Prize in Chemistry.

… and the same tune in Russia:

Russia’s economic crisis deepened as the government acknowledged it’s heading for recession and a former central banker spoke of “some panic” in the financial system as oil prices plunged.

Speaking a day after President Vladimir Putin said Russia is scrapping a proposed $45 billion pipeline to Europe, the government predicted the economy will contract next year and canceled a bond auction. It was also forced to pledge 39.95 billion rubles ($740 million) to support OAO Gazprombank, at least the third lender to secure a capital injection since U.S. and European Union sanctions curbed their ability to borrow.

SBN.PR.A was confirmed at Pfd-3 by DBRS:

Based on the most recent dividend paid on the BNS Shares, the dividend income net of management fees and other expenses is expected to cover approximately 47% of the Preferred Share distributions. Holders of the Class A Shares are expected to receive regular monthly cash distributions in an amount targeted to be 6% per annum on the net asset value of the Class A Shares.

On September 5, 2014, DBRS confirmed the ratings of the Preferred Shares at Pfd-3. Since then, the performance of the Company has been volatile, with downside protection decreasing since the last rating action in September 2014 (50.3% as of November 20, 2014). Despite the drop, downside protection remain at levels typically seen at the Pfd-3 level.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 18bp, FixedResets off 12bp and DeemedRetractibles gaining 7bp. Volatility was average, dominated by FixedReset losers. Volume was above average.

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	0.1710 %	2,522.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.1710 %	3,994.1
Floater	2.99 %	3.10 %	62,509	19.41	4	0.1710 %	2,681.9
OpRet	4.40 %	-12.64 %	26,659	0.08	2	-0.0391 %	2,758.5
SplitShare	4.28 %	3.85 %	45,402	3.75	5	0.0820 %	3,191.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0391 %	2,522.4
Perpetual-Premium	5.42 %	-7.85 %	76,863	0.09	20	-0.0391 %	2,482.4
Perpetual-Discount	5.13 %	5.06 %	113,667	15.37	15	-0.1807 %	2,674.1
FixedReset	4.17 %	3.55 %	177,070	8.51	73	-0.1158 %	2,579.6
Deemed-Retractible	4.97 %	-1.97 %	98,743	0.16	40	0.0703 %	2,616.5
FloatingReset	2.53 %	1.20 %	60,844	0.16	5	-0.1252 %	2,551.4

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.B	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-02 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 3.70 %
FTS.PR.K	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-02 Maturity Price : 23.14 Evaluated at bid price : 24.77 Bid-YTW : 3.46 %
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 : 20.70 Bid-YTW : 5.01 %
GWO.PR.Q	Deemed-Retractible	1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : 4.92 %

Volume Highlights
Issue	Index	Shares Traded	Notes
W.PR.J	Perpetual-Premium	120,100	Desjardins bought 115,800 from anonymous at 25.18. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-01 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 2.86 %
CU.PR.E	Perpetual-Discount	77,000	Nesbitt crossed 75,000 at 24.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-02 Maturity Price : 24.09 Evaluated at bid price : 24.51 Bid-YTW : 5.01 %
TRP.PR.A	FixedReset	41,583	Will reset 2014-12-31 to 3.266% YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-02 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 3.90 %
BMO.PR.S	FixedReset	40,194	Nesbitt crossed 36,700 at 25.52. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 3.55 %
TRP.PR.D	FixedReset	36,067	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-02 Maturity Price : 23.31 Evaluated at bid price : 25.30 Bid-YTW : 3.65 %
BMO.PR.J	Deemed-Retractible	30,335	Nesbitt crossed 25,600 at 25.79. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-01 Maturity Price : 25.50 Evaluated at bid price : 25.75 Bid-YTW : -6.35 %
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.I	Deemed-Retractible	Quote: 23.20 – 23.68 Spot Rate : 0.4800 Average : 0.3165 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 5.41 %
NEW.PR.D	SplitShare	Quote: 32.69 – 33.45 Spot Rate : 0.7600 Average : 0.6146 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-26 Maturity Price : 32.07 Evaluated at bid price : 32.69 Bid-YTW : 2.09 %
MFC.PR.H	FixedReset	Quote: 26.07 – 26.45 Spot Rate : 0.3800 Average : 0.2395 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 26.07 Bid-YTW : 2.58 %
MFC.PR.C	Deemed-Retractible	Quote: 23.21 – 23.50 Spot Rate : 0.2900 Average : 0.2095 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.21 Bid-YTW : 5.43 %
FTS.PR.K	FixedReset	Quote: 24.77 – 25.00 Spot Rate : 0.2300 Average : 0.1686 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-02 Maturity Price : 23.14 Evaluated at bid price : 24.77 Bid-YTW : 3.46 %
PWF.PR.L	Perpetual-Premium	Quote: 25.24 – 25.45 Spot Rate : 0.2100 Average : 0.1510 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 4.54 %

Moody’s downgraded Japan:

Moody’s Investors Service on Monday downgraded Japan’s sovereign debt rating by one notch to A1, citing rising uncertainty over the country’s ability to hit its debt-reduction goal.

The announcement briefly sent the yen to a seven-year low against the dollar and pushed 10-year Japanese government bond (JGB) futures down by 10 ticks.
…
The U.S. rating agency said the outlook was stable.

Tom Byrne, regional credit officer of Moody’s, said the downgrade was closely linked to [Japanese Prime Minister] Mr. [Shinzo] Abe’s decision to delay next year’s scheduled sales tax hike, which made it more challenging for Japan to achieve its target of reducing the primary budget deficit in fiscal 2020.

“There is concern that fiscal policy in its current state will not achieve the long-term fiscal goals,” he said.

Hours before Moody’s announcement, Mr. Abe had stressed in a televised public debate that Japan remained committed to fiscal reform, and that the Bank of Japan’s ultraloose policy was not aimed at monetizing public debt.

But Moody’s warned that the BOJ’s efforts to achieve its 2-per-cent inflation target through aggressive money printing may push up bond yields and raise government borrowing costs.

Remember that US recovery that would save the world?

U.S. stocks fell for a second day as weaker data on Black Friday sales and China manufacturing overshadowed a rebound in oil and expansion in American factories.

Retailers in the Standard & Poor’s 500 Index (SPX) fell the most in a month as post-Thanksgiving holiday sales came in below forecasts. Apple Inc. fell as much as 6.4 percent in early trading before paring the loss in half. Chevron Corp. and Exxon Mobil Corp. gained at least 2 percent as crude oil ended a four-day skid.

The S&P 500 fell 0.7 percent to 2,053.44 at 4 p.m. in New York. The Dow Jones Industrial Average slumped 51.44 points, or 0.3 percent, to 17,776.8. The technology-heavy Nasdaq 100 Index lost 1.2 percent. About 7.6 billion listed shares changed hands in the U.S., 13 percent higher than the three-month daily average.

Black Friday, as noted above, was a fizzle:

Spending tumbled an estimated 11 percent over the weekend from a year earlier, the Washington-based National Retail Federation said yesterday. And more than 6 million shoppers who had been expected to hit stores never showed up.

Consumers were unmoved by retailers’ aggressive discounts and longer Thanksgiving hours, raising concern that signs of recovery in recent months won’t endure. Retailers also were targeted by protesters, who called on consumers to boycott Black Friday to make a statement about police violence. Still, the NRF cast the decline in a positive light, saying it showed shoppers were confident enough to skip the initial rush for discounts.

There may be relatively little effect on Canada, though, as Roy Osing reminds us that our main product is mewling sycophancy:

… I was less than impressed with the organization structure he proposed. It was a structure I had “lived with” in my previous life and could see the pluses and minuses.

When asked whether I could support the proposed structure, I asked for time to consider it before declaring my position.

One of my peers virtually condemned it and with his “outside voice” declared his non-support; he left the company soon thereafter.

A previous president once told me “Roy, if your boss puts forward what you consider to be a ‘dumb idea’, you only have two choices: one, support it and try to make it work; or two, leave.”

And there’s the usual amount of rate punditry:

Poloz will keep his benchmark overnight rate at 1 percent Dec. 3 according to all 22 economists surveyed by Bloomberg News through Nov. 28, stretching the pause that began with Mark Carney in 2010. That would make it the longest since February 1944 to September 1950, exceeding the October 1950 to January 1955 hiatus.
…
While Fed policy makers debate the language they might use to flag potential policy-rate increases, their Canadian counterparts say they remain focused on providing stimulus to bring the world’s 11th-largest economy back to full output over the next two years.

Canada’s economic growth slowed to a 2.8 percent annualized pace in the third quarter from 3.6 percent the prior three months, Statistics Canada reported Nov. 28. In contrast, U.S. growth came in at 3.9 percent.
…
Poloz won’t raise rates until the fourth quarter of next year, according to a Bloomberg economist survey. The quarter-point increase forecast for Canada compares with an estimated Fed move to 1 percent from 0.25 percent over that time.

The anticipation of rising Fed rates has is already helping keep Canadian bond yields lower than Treasuries. Canada’s five-year bonds had a 1.35 percent yield at 9:25 a.m. Toronto time today, while similar Treasuries yielded 1.46 percent.

In honour of Cyber Monday, the Canadian preferred share market was on sale today, with PerpetualDiscounts down 12bp, FixedResets losing 18bp and DeemedRetractibles off 11bp. Volatility was high and comprised almost entirely of losers. Volume was below average.

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	-0.9738 %	2,518.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.9738 %	3,987.3
Floater	2.99 %	3.11 %	62,372	19.39	4	-0.9738 %	2,677.3
OpRet	4.39 %	-12.35 %	25,827	0.08	2	-0.0195 %	2,759.6
SplitShare	4.28 %	3.90 %	47,274	3.75	5	-0.3161 %	3,188.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0195 %	2,523.3
Perpetual-Premium	5.42 %	-8.03 %	71,155	0.09	20	-0.0897 %	2,483.4
Perpetual-Discount	5.12 %	5.06 %	114,040	15.36	15	-0.1241 %	2,678.9
FixedReset	4.17 %	3.51 %	178,614	8.64	73	-0.1848 %	2,582.5
Deemed-Retractible	4.97 %	-1.78 %	99,350	0.09	40	-0.1064 %	2,614.6
FloatingReset	2.53 %	-0.48 %	59,985	0.08	5	-0.0469 %	2,554.6

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.A	FixedReset	-4.13 %	Completely legitimate and not just another Toronto Stock Exchange screw up, for a change. The closing quote was 21.81-00 and all trades after 2:30 pm were under 22.00, although the VWAP for the day was 22.22. The thumping is probably due to the HSE new issue, FixedReset, 4.50%+313 announced today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-01 Maturity Price : 21.47 Evaluated at bid price : 21.81 Bid-YTW : 3.61 %
MFC.PR.F	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.81 Bid-YTW : 4.59 %
BAM.PR.M	Perpetual-Discount	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-01 Maturity Price : 21.73 Evaluated at bid price : 22.08 Bid-YTW : 5.46 %
GWO.PR.N	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.03 Bid-YTW : 4.74 %
BAM.PR.B	Floater	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-01 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 3.11 %
CGI.PR.D	SplitShare	-1.06 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 3.62 %
MFC.PR.G	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 2.65 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.A	FixedReset	172,040	RBC crossed 142,100 at 21.39. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-01 Maturity Price : 21.32 Evaluated at bid price : 21.32 Bid-YTW : 3.86 %
RY.PR.B	Deemed-Retractible	124,636	National crossed 120,000 at 25.44. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.40 Bid-YTW : -1.48 %
TRP.PR.D	FixedReset	80,232	RBC crossed 65,000 at 25.46. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-01 Maturity Price : 23.33 Evaluated at bid price : 25.39 Bid-YTW : 3.63 %
ENB.PR.N	FixedReset	57,172	RBC crossed 37,600 at 24.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-01 Maturity Price : 23.13 Evaluated at bid price : 24.66 Bid-YTW : 3.98 %
TD.PF.A	FixedReset	51,001	Scotia crossed 41,400 at 25.53. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-01 Maturity Price : 23.32 Evaluated at bid price : 25.50 Bid-YTW : 3.47 %
PWF.PR.L	Perpetual-Premium	47,395	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 4.03 %
There were 26 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.G	FixedReset	Quote: 25.80 – 26.30 Spot Rate : 0.5000 Average : 0.2987 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 3.81 %
BAM.PF.F	FixedReset	Quote: 25.71 – 26.15 Spot Rate : 0.4400 Average : 0.2765 YTW SCENARIO Maturity Type : Call Maturity Date : 2019-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 4.05 %
GWO.PR.Q	Deemed-Retractible	Quote: 25.11 – 25.50 Spot Rate : 0.3900 Average : 0.2728 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 5.07 %
TD.PR.R	Deemed-Retractible	Quote: 26.32 – 26.79 Spot Rate : 0.4700 Average : 0.3614 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 25.75 Evaluated at bid price : 26.32 Bid-YTW : -15.06 %
SLF.PR.A	Deemed-Retractible	Quote: 24.25 – 24.50 Spot Rate : 0.2500 Average : 0.1663 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 5.11 %
CU.PR.G	Perpetual-Discount	Quote: 22.50 – 22.75 Spot Rate : 0.2500 Average : 0.1686 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-12-01 Maturity Price : 22.19 Evaluated at bid price : 22.50 Bid-YTW : 5.01 %

Update, 2014-11-30: A large portion of the material previously published in this post has been given its own dedicated post, Prof. Jeffrey MacIntosh on the National Securities Regulator

European inflation is still elusive:

Consumer prices rose 0.3 percent from a year earlier, the European Union’s statistics office in Luxembourg said today. That was in line with the median forecast of 41 economists in a Bloomberg News survey. Unemployment (UMRTEMU) held at 11.5 percent in October, Eurostat said in a separate report.
…
The Eurostat report showed that energy prices fell 2.5 percent in November from a year earlier. Crude oil has plunged more than 30 percent in the past three months. Food, alcohol and tobacco prices increased 0.5 percent.

Core inflation, which strips out volatile items such as energy, food, tobacco and alcohol, stayed at 0.7 percent in November, according to Eurostat.

“The only crumb of comfort for the ECB –- and it is not much -– is that November’s renewed drop in inflation was entirely due to an increased year-on-year drop in energy prices,” said Howard Archer, chief European economist at IHS Global Insight in London.

… and at least one pundit is muttering that the oil price graph will not be V-shaped:

But Andy Xie, the often-contrarian former top Asia-Pacific economist for Morgan Stanley, warned that the massive investment overhang in China, valued at more than $6-trillion, will dramatically affect its energy demand growth, and will, as a result, rein in oil prices for a long time to come.

“China’s energy demand, the only source of growth for a decade, has fallen sharply,” he said in an interview. “There are several conspiracy theories out there. None can affect demand supply balance, which determines prices.”

In mid-September, more than a month before Goldman Sachs rocked markets with its prediction that oil prices would fall to $70 a barrel, Mr. Xie told a conference in Kuwait that he expected oil prices to nosedive to $60. The audience laughed. Now, he’s being invited back to speak again.

BMO Capital Trust is redeeming a big slug of Innovative Tier 1 Capital (or AT1, as the cool guys call it):

BMO Capital Trust (the “Trust”), a subsidiary of Bank of Montreal, today announced its intention to redeem at par all of its Trust Capital Securities – Series D (“BMO BOaTS – Series D”), on December 31, 2014. The BMO BOaTS – Series D are redeemable at the Trust’s option from December 31, 2014, at a redemption amount equal to $1,000 plus unpaid indicated distributions. Notice will be delivered to BMO BOaTS – Series D holders in accordance with the terms outlined in the BMO BOaTS – Series D prospectus.

After December 31, 2014, holders of BMO BOaTS – Series D will be entitled only to receiving the redemption price and will no longer be entitled to indicated distributions and exercising any other rights.

According to the 2013 Annual Report:

After December 31, 2014, the distribution [on BOaTS Series D] will be at the Bankers’ Acceptance Rate plus 1.5%.
…
The BMO BOaTS Series D and E and BMO T1Ns – Series A will each be automatically exchanged for 40 Class B non-cumulative preferred shares of the bank, Series 11, 12 and 20, respectively, without the consent of the holders on the occurrence of specific events, such as a wind-up of the bank, a regulatory requirement to increase capital or violations of regulatory capital requirements.

LBS.PR.A was confirmed at Pfd-3(low) by DBRS:

The performance of the Portfolio has experienced some volatility over the past few months, with the downside protection fluctuating between 46.4% and 52.0% from July to October. As of October 31, 2014, the downside protection available to the Preferred Shares is approximately 49.2% and the dividend coverage ratio is about 1.1 times. The Pfd-3 (low) rating of the Preferred Shares is based primarily on the downside protection available and the additional protection provided by an asset coverage test, which does not permit any distributions to holders of the Class A Shares if the NAV of the Company falls below $15.

The main constraints to the rating are (1) the Company’s dependence on the value and dividend policies of the securities in the Portfolio and (2) the reliance on the manager to generate a high yield on the Portfolio to meet distributions and other trust expenses without having to liquidate portfolio securities.

The Asset Coverage Ratio for this issue was 2.1-:1 as of November 27.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 26bp, FixedResets off 9bp and DeemedRetractibles gaining 4bp. Volatility was high, with the winners being exclusively BAM PerpetualDiscounts. Volume was quite low.

And that’s it for November!

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	0.0565 %	2,543.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0565 %	4,026.5
Floater	2.96 %	3.08 %	63,165	19.47	4	0.0565 %	2,703.7
OpRet	4.04 %	-3.56 %	98,179	0.08	1	0.0000 %	2,760.1
SplitShare	4.27 %	3.89 %	49,223	3.76	5	-0.2898 %	3,198.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,523.8
Perpetual-Premium	5.44 %	-8.19 %	71,631	0.09	19	-0.0123 %	2,485.6
Perpetual-Discount	5.11 %	5.01 %	110,753	15.41	16	0.2586 %	2,682.2
FixedReset	4.16 %	3.57 %	184,950	4.90	73	-0.0873 %	2,587.3
Deemed-Retractible	4.95 %	-1.48 %	99,875	0.09	40	0.0414 %	2,617.4
FloatingReset	2.55 %	-4.71 %	59,284	0.08	6	-0.0456 %	2,555.8

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.G	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 3.23 %
CGI.PR.D	SplitShare	-1.16 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 3.47 %
TRP.PR.A	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-28 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 3.98 %
PWF.PR.F	Perpetual-Premium	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-28 Maturity Price : 24.69 Evaluated at bid price : 25.01 Bid-YTW : 5.29 %
BAM.PF.C	Perpetual-Discount	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-28 Maturity Price : 22.14 Evaluated at bid price : 22.46 Bid-YTW : 5.48 %
BAM.PR.M	Perpetual-Discount	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-28 Maturity Price : 21.98 Evaluated at bid price : 22.36 Bid-YTW : 5.38 %
BAM.PR.N	Perpetual-Discount	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-28 Maturity Price : 21.88 Evaluated at bid price : 22.36 Bid-YTW : 5.37 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSB.PR.D	Deemed-Retractible	62,900	RBC bought 11,000 from Desjardins at 25.35. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : -0.18 %
BNS.PR.M	Deemed-Retractible	62,674	Nesbitt crossed blocks of 28,600 and 30,000, both at 25.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-28 Maturity Price : 25.50 Evaluated at bid price : 25.84 Bid-YTW : -7.48 %
BAM.PF.F	FixedReset	37,330	Desjardins crossed 31,000 at 25.76. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.73 Bid-YTW : 4.02 %
FTS.PR.M	FixedReset	30,180	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.54 %
BAM.PF.A	FixedReset	26,000	Nesbitt crossed 22,000 at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.81 Bid-YTW : 3.81 %
TRP.PR.B	FixedReset	24,537	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-28 Maturity Price : 18.54 Evaluated at bid price : 18.54 Bid-YTW : 3.76 %
There were 19 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.G	FixedReset	Quote: 25.52 – 25.93 Spot Rate : 0.4100 Average : 0.2564 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 3.23 %
W.PR.J	Perpetual-Premium	Quote: 25.20 – 25.46 Spot Rate : 0.2600 Average : 0.1694 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-28 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.07 %
SLF.PR.B	Deemed-Retractible	Quote: 24.45 – 24.69 Spot Rate : 0.2400 Average : 0.1601 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 5.05 %
ENB.PR.F	FixedReset	Quote: 24.54 – 24.79 Spot Rate : 0.2500 Average : 0.1778 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-28 Maturity Price : 23.14 Evaluated at bid price : 24.54 Bid-YTW : 3.99 %
IAG.PR.A	Deemed-Retractible	Quote: 23.61 – 23.95 Spot Rate : 0.3400 Average : 0.2720 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.61 Bid-YTW : 5.29 %
TD.PR.R	Deemed-Retractible	Quote: 26.46 – 26.77 Spot Rate : 0.3100 Average : 0.2423 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-28 Maturity Price : 25.75 Evaluated at bid price : 26.46 Bid-YTW : -21.41 %

It’s a tangled web we weave when attempting to control the flow of capital:

Foreigners who illegally buy homes in Australia should face higher fines, a parliamentary committee said, calling on authorities to better police existing rules.

The current A$85,000 ($72,769) fine for foreigners breaching the rules, “seen by many as simply the cost of doing business,” should be replaced with penalties tied to the property’s value, the House Economics Committee said in a report that made 12 recommendations. Third parties who help foreigners break the rules should be fined, and gains from illegally purchased homes should be forfeited to the government, it said.
…
The committee started the inquiry in March on concerns that foreign, particularly Chinese, buyers were pricing Australians out of the home market. Sydney’s median asking price for detached houses topped a record A$1 million this month, while prices across the nation’s major cities jumped 9 percent in the 12 months through October to the highest ever.
…
To fund better policing, the committee recommended a “modest” administration fee. An A$1,500 fee would generate revenue of A$158.7 million over four years, yet amount to less than 0.3 percent of the purchase price of a home in Sydney or Melbourne, according to the report.

How’s that for good news for sellers? There will be a tax on the sale of a house so the government can ensure that high bidders with deep pockets are disqualified.

Structural subordination is becoming important for European bank bonds:

Senior bonds sold by Barclays Plc and Royal Bank of Scotland Group Plc yield as much as 38 basis points more than equivalent securities issued by the units they use to make loans. There was little difference in yields before this month.

The divergence underscores growing investor concern that senior bonds sold by parent holding companies could suffer losses if a bank fails, while debt of the operating companies will remain intact — a scenario regulators endorse. Investors are also anticipating a surge in issuance of senior debt that can be written down as lenders prepare for the biggest overhaul of financial debt in a generation.
…
S&P this week told investors it will probably remove any assumption of government support when assigning senior ratings to bank holding companies, meaning these bonds may be downgraded because of the risk of being bailed in.

It’s a red letter day! The Canadian Securities Administrators are proposing something sensible!

The Canadian Securities Administrators (CSA) today published for comment proposed amendments that would create a streamlined prospectus exemption for rights offerings by reporting issuers.

“Although rights offerings can be one of the fairest ways for issuers to raise capital, in that they allow all existing investors to participate on a pro rata basis, they are seldom used because of the time and costs associated with them,” said Bill Rice, Chair of the CSA and Chair and Chief Executive Officer of the Alberta Securities Commission. “The proposed exemption is designed to make rights offerings more attractive to reporting issuers by decreasing both the time and costs involved.”

One of the key proposals is to remove the current regulatory review process prior to use of the rights offering circular. The CSA anticipates this will significantly decrease the amount of time it takes to conduct an offering. The CSA also proposes increased investor protection through the addition of civil liability for secondary market disclosure, and the introduction of a more user-friendly form of rights offering circular document.

The proposed amendments would also update other rights offering requirements and repeal the prospectus exemption for rights offerings by non-reporting issuers.

The CSA notice and proposed amendments are available on CSA members’ websites. The comment period is open until February 25, 2015.

The price of oil is catching up to the real economy:

West Texas Intermediate oil tumbled 6.3 percent to $69.05 a barrel in electronic trading, as Brent crude fell to its lowest level since 2010. Canadian energy companies sank the most since 2011, dragging the Standard & Poor’s/TSX Composite Index down 0.8 percent by 4:30 p.m. in Toronto.
…
The Organization of Petroleum Exporting Countries maintained its collective production ceiling of 30 million barrels a day at a meeting in Vienna, resisting calls from Venezuela that a supply cut was needed to stem the rout that has sent oil prices into a bear market this year. Global energy stocks are down 25 percent in 2014, while fixed-income assets have rallied as the drop in crude damps inflation. German price growth climbed the least since 2010, data today showed, and most U.S. markets were closed for Thanksgiving.
…
The ruble weakened to an all-time low of 48.6550 per dollar in Moscow, while Norway’s krone, the second-worst performer against the dollar this year among 16 major currencies, lost 1.4 percent to 6.9272 per dollar. Norway is the biggest oil producer in Western Europe.

And what with one thing and another, the Great Game is making a comeback!

Russian President Vladimir Putin will seek to bolster energy ties with India on a visit next month, his latest move to expand trade links with Asian nations to counter sanctions from the U.S. and its allies.
…
Gas exporter OAO Gazprom (OGZD) reached a $400 billion deal with China in May to build a pipeline and start supplies after more than a decade of talks. In September, Putin offered to sell a stake in Vankor, the country’s second-biggest oil project, to “Chinese friends.” OAO Russian Railways is seeking to build a 2.8 trillion-ruble, high-speed line linking Moscow and Beijing.

“India is looking very closely at that — it’ll want to get in on the action,” said Sinderpal Singh, a senior research fellow at the Singapore-based Institute of South Asian Studies. “The Russians want to diversify, India wants hydrocarbons. Trade imperatives bind all these countries.”

India, which spent $143 billion to import crude last year, may look to diversify suppliers by buying more oil from Russia and Latin America to guard against geopolitical risks, Oil Minister Dharmendra Pradhan said in an October interview.

Economic ties between India and Russia are largely limited to arms transfers, and those have decreased over the past few decades. While the Soviet Union was India’s largest trading partner in 1981, Russia wasn’t among its top 15 commercial partners last year, according to data compiled by Bloomberg.

Russia and the Soviet Union have been India’s biggest weapons suppliers, accounting for about 70 percent of its arms imports since 1950, according to data compiled by the Stockholm International Peace Research Institute. The U.S. surpassed Russia as India’s top supplier of defense equipment in the three years to March, according to Indian government data.

US consumers aren’t spending:

The U.S. Commerce Department reported Wednesday that personal consumption spending increased a slim 0.2 per cent in October from September, less than economists had expected after September’s flat reading. The U.S. economy is accelerating, but consumer spending isn’t. For the past 12 months, real (i.e. inflation-adjusted) disposable personal income has risen 2.5 per cent, the fastest pace in nearly two years; but personal consumption expenditures are up 2.2 per cent, the lowest in eight months.

The U.S. Conference Board’s latest consumer confidence index reading, released this week, was at a five-month low. Somehow, the combination of third-quarter economic growth of nearly 4 per cent annualized, strong employment growth and tumbling gasoline prices isn’t enough to impress our grumpy old Uncle Spender.

I don’t quote Willem Buiter much any more, which is a shame. But he has favoured us with his golden wisdom:

The initiative requiring the Swiss National Bank to hold a fixed portion of its assets in gold makes no sense, according to Citigroup Inc., which said the metal was the equivalent of the virtual currency bitcoin.

“There is no economic or financial case for a central bank to hold any single commodity, even if this commodity had intrinsic value,” Willem Buiter, the bank’s chief economist and a former Bank of England policy maker, wrote in a report dated yesterday. “Forbidding a central bank from ever selling any gold it owns reduces the value of those gold holdings to zero.”
…
Like bitcoin, gold has no intrinsic value and is costly to produce and store, Buiter wrote. “If the central bank is to invest in commodities, better to have a balanced portfolio of commodities or, more conveniently, a balanced portfolio of commodity ETFs or other derivatives,” he said.

And I have to admit, Japanese bond yields are more amusing than usual:

The Bank of Japan’s record bond buying is crowding out individual buyers, narrowing the investor base on which the world’s second-largest bond market stands.

The government last month canceled sales of sovereign notes maturing in 2016 through financial companies to households because buyers would have to pay more in broker fees than they would get in interest, according to the Ministry of Finance. The BOJ’s 80 trillion yen ($681 billion) a year in debt purchases has cut yields, with the latest two-year securities offering a 0.038 percent coupon, less than half the rate in June last year, and compared with about 0.02 percent interest on bank deposits.
…
The ratio of government bonds held by individuals was 2 percent at the end of June, compared with 21.2 percent for the BOJ and 57.7 percent for banks, life insurers and mutual funds, according to central bank data.

But despite these efforts…:

Japan’s consumer price gains slowed for a third straight month, challenging Bank of Japan Governor Haruhiko Kuroda’s effort to stoke faster inflation.

Consumer prices excluding fresh food increased 2.9 percent in October from a year earlier, the statistics bureau said today in Tokyo, matching the median projection in a Bloomberg News survey (JNCPIXFF) of economists. Stripped of the effect of April’s sales-tax increase, core inflation — the BOJ’s key measure — was 0.9 percent.

Tumbling oil prices are complicating the task of stoking inflation in an economy that slid into recession last quarter. The inflation number is the last key data point on consumer price changes before an election next month, with Prime Minister Shinzo Abe seeking a renewed mandate for his economic growth strategy.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 4bp, FixedResets down 8bp and DeemedRetractibles gaining 3bp. Volatility was average. Volume was very low.

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	0.5823 %	2,541.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.5823 %	4,024.2
Floater	2.97 %	3.08 %	64,161	19.48	4	0.5823 %	2,702.1
OpRet	4.04 %	-3.70 %	99,241	0.08	1	0.0000 %	2,760.1
SplitShare	4.25 %	3.88 %	51,253	3.76	5	0.3938 %	3,208.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,523.8
Perpetual-Premium	5.44 %	-7.09 %	70,331	0.08	19	-0.0595 %	2,485.9
Perpetual-Discount	5.12 %	5.01 %	108,751	15.42	16	-0.0396 %	2,675.3
FixedReset	4.15 %	3.57 %	187,739	6.40	73	-0.0807 %	2,589.6
Deemed-Retractible	4.95 %	-1.23 %	98,695	0.09	40	0.0266 %	2,616.3
FloatingReset	2.55 %	-6.56 %	60,021	0.08	6	0.0978 %	2,557.0

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.G	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-27 Maturity Price : 23.33 Evaluated at bid price : 25.18 Bid-YTW : 3.52 %
PWF.PR.A	Floater	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-27 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 2.75 %
CGI.PR.D	SplitShare	1.18 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 3.31 %
BAM.PR.B	Floater	3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-27 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 3.08 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.A	FixedReset	118,550	Nesbitt crossed 100,000 at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.54 Bid-YTW : 3.50 %
FTS.PR.H	FixedReset	65,639	Nesbitt crossed 50,000 at 20.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-27 Maturity Price : 20.42 Evaluated at bid price : 20.42 Bid-YTW : 3.64 %
TRP.PR.A	FixedReset	63,447	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-27 Maturity Price : 21.42 Evaluated at bid price : 21.70 Bid-YTW : 3.91 %
RY.PR.I	FixedReset	58,500	Desjardins crossed 10,800 at 25.66; RBC crossed 36,000 at 25.64. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 2.92 %
TRP.PR.B	FixedReset	39,449	Nesbitt crossed 19,300 at 18.68. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-27 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 3.73 %
SLF.PR.G	FixedReset	34,998	Nesbitt crossed 25,800 at 21.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 4.82 %
There were 19 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.A	Floater	Quote: 19.20 – 19.73 Spot Rate : 0.5300 Average : 0.3794 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-27 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 2.75 %
MFC.PR.B	Deemed-Retractible	Quote: 23.80 – 24.15 Spot Rate : 0.3500 Average : 0.2352 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 5.26 %
NEW.PR.D	SplitShare	Quote: 32.67 – 33.48 Spot Rate : 0.8100 Average : 0.7102 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-06-26 Maturity Price : 32.07 Evaluated at bid price : 32.67 Bid-YTW : 2.15 %
BAM.PR.N	Perpetual-Discount	Quote: 22.10 – 22.43 Spot Rate : 0.3300 Average : 0.2383 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-27 Maturity Price : 21.67 Evaluated at bid price : 22.10 Bid-YTW : 5.44 %
MFC.PR.C	Deemed-Retractible	Quote: 23.38 – 23.60 Spot Rate : 0.2200 Average : 0.1570 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.38 Bid-YTW : 5.33 %
ENB.PR.A	Perpetual-Premium	Quote: 25.53 – 25.70 Spot Rate : 0.1700 Average : 0.1103 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-27 Maturity Price : 25.00 Evaluated at bid price : 25.53 Bid-YTW : -19.74 %